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A reassessment of the European SRI Funds "underperformance": does the intensity of extra-financial negative screening matter?

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  • Yves Jegourel

    ()
    (LAREFI, BEM Bordeaux Management School)

  • Samuel Maveyraud

    ()
    (GREThA)

Abstract

Social responsible investment is surging in all industrial countries, despite the conventional wisdom that the inclusion of extra-financial criteria in the stock selection process should arm the financial performance of these funds. As a consequence, many papers have attempted to measure the financial 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 time-varying volatility to compare the risk-adjusted returns of several portfolios of SRI funds with differences in the intensity of extra-financial 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 significantly differ from the returns of conventional funds if this latter criterion is taken into account.

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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 30 (2010)
Issue (Month): 1 ()
Pages: 913-923

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Handle: RePEc:ebl:ecbull:eb-09-00563

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Keywords: Socially responsible investment; International asset pricing; volatility;

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Cited by:
  1. Jacquelyn Humphrey & David Tan, 2014. "Does it Really Hurt to be Responsible?," Journal of Business Ethics, Springer, Springer, vol. 122(3), pages 375-386, July.

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