An assessment of variances and covariances of European SRI funds returns: does the intensity of extra-financial negative screening matter?

Yves Jégourel and Samuel Maveyraud

No 1007, Larefi Working Papers from Larefi, Université Bordeaux 4

Abstract: Social responsible investment is surging in all industrial countries, despite the conventional wisdom that the inclusion of extra-.nancial criteria in the stock selection process should arm the .nancial performance of these funds. As a consequence, many papers attempted to measure the .nancial performance of SRI funds and compared it to the performance of conventional funds with similar characteristics. According to this literature, we use a traditional CAPM model that allows for timevarying volatility to compare the risk-adjusted returns of several portfolios of SRI funds with di¤erences in the intensity of extra-.nancial negative screening. Our key result shows that both alpha and beta are negatively correlated to the intensity of negative screenings. Thus, it appears that the risk-adjusted returns of SRI funds signicantly differ from the returns of conventional funds if this latter criteria is taken into account.

Keywords: Socially responsible investment; International asset pricing; volatility (search for similar items in EconPapers)
JEL-codes: C53 G12 G15 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2010-03
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Working Paper: An assessment of variances and covariances of European SRI funds returns: does the intensity of extra-financial negative screening matter? (2010)
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