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Performance of European socially responsible funds during market crises: Evidence from France

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  • Leite, Paulo
  • Cortez, Maria Céu

Abstract

This paper investigates the performance, investment styles and managerial abilities of French socially responsible investment (SRI) funds investing in Europe during crisis and non-crisis periods. Our results show that SRI funds significantly underperform characteristics-matched conventional funds during non-crisis periods, but match the performance of their peers during market downturns. The underperformance of SRI funds during good economic states is driven by funds that use negative screens, since funds that use only positive screens perform similarly to conventional funds across different market conditions. SRI and conventional funds show significant differences in risk exposures during non-crisis periods but exhibit much more similar investment styles during crises. Furthermore, we find little evidence of significant differences in managerial abilities during bad economic states. Yet, during non-crisis periods, SRI and conventional fund managers exhibit significantly different style-timing abilities and these differences are also related to screening strategies.

Suggested Citation

  • Leite, Paulo & Cortez, Maria Céu, 2015. "Performance of European socially responsible funds during market crises: Evidence from France," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 132-141.
    • Handle: RePEc:eee:finana:v:40:y:2015:i:c:p:132-141
    DOI: 10.1016/j.irfa.2015.05.012
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    More about this item

    Keywords

    Fund performance evaluation; Socially responsible investments; Investment style; Selectivity; Style-timing;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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