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The Performance of Socially Responsible Funds: Does the Screening Process Matter?

Listed author(s):
  • Gunther Capelle-Blancard

    ()

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Stephanie Monjon

    (CIRED - Centre International de Recherche sur l'Environnement et le Développement - CIRAD - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - EHESS - École des hautes études en sciences sociales - AgroParisTech - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique)

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.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number hal-00802363.

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Length:
Date of creation: Jun 2014
Publication status: Published in European Financial Management, 2014, 20 (3), pp.494-520. <10.1111/j.1468-036X.2012.00643.x>
Handle: RePEc:hal:cesptp:hal-00802363
DOI: 10.1111/j.1468-036X.2012.00643.x
Note: View the original document on HAL open archive server: https://hal-enpc.archives-ouvertes.fr/hal-00802363
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

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  1. Gunther Capelle-Blancard & Stéphanie Monjon, 2010. "Socially Responsible Investing: it Takes More than Words," Working Papers 2010-15, CEPII research center.
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