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SRI: Truths and lies

Author

Listed:
  • CANDELON Bertrand,

    (CORE, UCLouvain)

  • HASSE Jean-Baptiste,

    (Aix-Marseille School of Economics)

  • LAJAUNIE Quentin,

    (Université Paris-Dauphine)

Abstract

This paper proposes a skeptical look at the socially responsible investing (SRI) industry. Building upon a new database for European and American domestic equity mutual funds, it investigates whether there is a discrepancy between what is said (e.g., names or labels) and what is done (investments of mutual funds holdings) about SRI. It turns out that the correspondence between de jure and de facto SRI is weak. Additionally, using a novel nonlinear factor-augmented panel model, it is found that the de facto ethical positioning only matters for the funds’ financial performance. Both results shed new light on the SRI industry and pave the way for a new regulation framework.

Suggested Citation

  • CANDELON Bertrand, & HASSE Jean-Baptiste, & LAJAUNIE Quentin,, 2018. "SRI: Truths and lies," LIDAM Discussion Papers CORE 2018034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:2018034
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp2018.html
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    More about this item

    Keywords

    socially responsible investing (SRI); environmental; social and governance (ESG) criteria; ethical mutual funds; performane measurement;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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