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

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Date
2014
Dewey
Economie financière
Sujet
Sustainable and Responsible Investment; Investissement socialement responsable (ISR); Socially Responsible Investing (SRI); Ratings; choix de portefeuille; Portfolio Choice; responsabilité sociale des entreprises (RSE); Corporate Social Responsibility (CSR); investissement éthique; Ethical Investment; investissement responsable et durable
JEL code
C.C3.C32; Q.Q5.Q56; G.G1.G11
Journal issue
European Financial Management
Volume
20
Number
3
Publication date
2014
Article pages
494-520
Publisher
Wiley
DOI
http://dx.doi.org/10.1111/j.1468-036X.2012.00643.x
URI
https://basepub.dauphine.fr/handle/123456789/7347
Collections
  • LEDa : Publications
Metadata
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Author
Capelle-Blancard, Gunther
15080 Centre d'économie de la Sorbonne [CES]
Monjon, Stéphanie
status unknown
Type
Article accepté pour publication ou publié
Abstract (EN)
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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