The Performance of Socially Responsible Funds : Does the Screening Process Matter ?
In this study, we examine whether the financial performances of socially responsible investment (SRI) mutual funds are related to the features of the screening process. Based on a sample of French SRI funds, we find evidence that a greater screening intensity slightly reduces financial performance (but the relationship runs in the opposite direction when screening gets tougher). Further, we show that only sectoral screens – such as avoiding ‘sin’ stocks – decrease financial performance, while transversal screens – commitment to UN Global Compact Principles, ILO/Rights at Work, etc. – have no impact. Lastly, when the quality of the SRI selection process is proxied by the rating provided by Novethic, its impact is not significant, while a higher strategy distinctiveness amongst SRI funds, which also gives information on the quality of the selection process, is associated with better financial performance.
|Date of creation:||Jun 2014|
|Date of revision:|
|Publication status:||Published in European Financial Management, 2014, Vol. 20, no. 3. pp. 494-520.Length: 26 pages|
|Contact details of provider:|| Web page: http://www.dauphine.fr/en/welcome.html|
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