IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-02315452.html
   My bibliography  Save this paper

Do Social Responsibility Screens Matter when Assessing Mutual Fund Performance?

Author

Listed:
  • Marie Brière

    (LEDa - Laboratoire d'Economie de Dauphine - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres)

  • Jonathan Peillex

    (Research Center - Léonard de Vinci Pôle Universitaire - De Vinci Research Center, CRIISEA - Centre de Recherche sur les Institutions, l'Industrie et les Systèmes Économiques d'Amiens - UR UPJV 3908 - UPJV - Université de Picardie Jules Verne)

  • Loredana Ureche-Rangau

    (CRIISEA - Centre de Recherche sur les Institutions, l'Industrie et les Systèmes Économiques d'Amiens - UR UPJV 3908 - UPJV - Université de Picardie Jules Verne)

Abstract

Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices.

Suggested Citation

  • Marie Brière & Jonathan Peillex & Loredana Ureche-Rangau, 2017. "Do Social Responsibility Screens Matter when Assessing Mutual Fund Performance?," Post-Print hal-02315452, HAL.
    • Handle: RePEc:hal:journl:hal-02315452
    DOI: 10.2469/faj.v73.n3.2
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Peillex, Jonathan, 2023. "Réaction des investisseurs à la création de fonds éthiques [Investor reaction to the creation of ethical funds]," MPRA Paper 118930, University Library of Munich, Germany.
    2. Abid, Ilyes & Benlemlih, Mohammed & El Ouadghiri, Imane & Peillex, Jonathan & Urom, Christian, 2023. "Fossil fuel divestment and energy prices: Implications for economic agents," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 1-16.
    3. Alexandra Huang, 2019. "Déterminants des encours nationaux socialement responsables : Une analyse exploratoire internationale," Working Papers hal-02242796, HAL.
    4. Jonathan Peillex & Sabri Boubaker & Breeda Comyns, 2021. "Does It Pay to Invest in Japanese Women? Evidence from the MSCI Japan Empowering Women Index," Journal of Business Ethics, Springer, vol. 170(3), pages 595-613, May.
    5. Hooi Hooi Lean & Fabio Pizzutilo, 2021. "Performances and risk of socially responsible investments across regions during crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3556-3568, July.
    6. Yang Gao & Stephen Satchell & Nandini Srivastava, 2020. "Styles through a convergent/divergent lens: the curious case of ESG," Journal of Asset Management, Palgrave Macmillan, vol. 21(1), pages 4-12, February.
    7. An-Pin Wei & Chi-Lu Peng & Hao-Chen Huang & Shang-Pao Yeh, 2020. "Effects of Corporate Social Responsibility on Firm Performance: Does Customer Satisfaction Matter?," Sustainability, MDPI, vol. 12(18), pages 1-18, September.
    8. Barda, Kelly, 2020. "Analyser la performance financière des indices boursiers environnementaux [Analyzing financial performance of green stock market indices]," MPRA Paper 102537, University Library of Munich, Germany.
    9. Peillex, Jonathan & Erragragui, Elias & Bitar, Mohammad & Benlemlih, Mohammed, 2019. "The contribution of market movements, asset allocation and active management to Islamic equity funds’ performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 32-38.
    10. Vincent Lavaine, 2020. "Intérêts et Limites de la labélisation du marché français de l'ISR," Working Papers hal-02494009, HAL.
    11. Doyle, Joanne & Eades, Kenneth & Marshall, Brooks, 2021. "Estimating the effect of active management and private equity for defined benefit pension funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 161-169.
    12. Delâtre, Chloë, 2022. "Désinvestissement des combustibles fossiles: quelles conséquences pour la gestion de portefeuille ? [Fossil fuel divestment and portfolios implications]," MPRA Paper 114633, University Library of Munich, Germany.
    13. Peillex, Jonathan, 2022. "Comment expliquer la décision de création d’un fond éthique ? [What explain the creation of ethical funds?]," MPRA Paper 115067, University Library of Munich, Germany.
    14. Richard Bofinger & Simon Cornée & Ariane Szafarz, 2024. "When in Rome, Do as the Romans Do: Disclosure Regulation and ESG Fund Management by Social and Conventional Banks," Working Papers CEB 24-003, ULB -- Universite Libre de Bruxelles.
    15. Laura Starks, 2022. "Considerations on ESG Investment Implementation," Policy Hub, Federal Reserve Bank of Atlanta, vol. 2022(7), June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-02315452. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.