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A reassessment of the European SRI Funds "underperformance": does the intensity of extra-financial negative screening matter?

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Listed:
  • Yves Jegourel

    (LAREFI, BEM Bordeaux Management School)

  • Samuel Maveyraud

    (GREThA)

Abstract

Social responsible investment is surging in all industrial countries, despite the conventional wisdom that the inclusion of extra-financial criteria in the stock selection process should arm the financial performance of these funds. As a consequence, many papers have attempted to measure the financial performance of SRI funds and compared it to the performance of conventional funds with similar characteristics. According to this literature, we use a traditional CAPM model that allows for time-varying volatility to compare the risk-adjusted returns of several portfolios of SRI funds with differences in the intensity of extra-financial negative screening. Our key result shows that both alpha and beta are negatively correlated to the intensity of negative screenings. Thus, it appears that the risk-adjusted returns of SRI funds significantly differ from the returns of conventional funds if this latter criterion is taken into account.

Suggested Citation

  • Yves Jegourel & Samuel Maveyraud, 2010. "A reassessment of the European SRI Funds "underperformance": does the intensity of extra-financial negative screening matter?," Economics Bulletin, AccessEcon, vol. 30(1), pages 913-923.
    • Handle: RePEc:ebl:ecbull:eb-09-00563
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    References listed on IDEAS

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    Cited by:

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    2. Cabello, J.M. & Ruiz, F. & Pérez-Gladish, B. & Méndez-Rodríguez, P., 2014. "Synthetic indicators of mutual funds’ environmental responsibility: An application of the Reference Point Method," European Journal of Operational Research, Elsevier, vol. 236(1), pages 313-325.
    3. Petrillo, Antonella & De Felice, Fabio & García-Melón, Mónica & Pérez-Gladish, Blanca, 2016. "Investing in socially responsible mutual funds: Proposal of non-financial ranking in Italian market," Research in International Business and Finance, Elsevier, vol. 37(C), pages 541-555.
    4. Panos Xidonas & Eric Essner, 2024. "On ESG Portfolio Construction: A Multi-Objective Optimization Approach," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 21-45, January.
    5. Jacquelyn Humphrey & David Tan, 2014. "Does it Really Hurt to be Responsible?," Journal of Business Ethics, Springer, vol. 122(3), pages 375-386, July.

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    More about this item

    Keywords

    Socially responsible investment; International asset pricing; volatility;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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