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Que cache la performance financière des fonds éthiques : une application aux fonds socialement responsables américains

Author

Listed:
  • Radu Burlacu

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique)

  • Denis Dupré

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique)

  • Isabelle Girerd-Potin

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper studies the relation between ethical strength (ES), financial performance, and management characteristics for a sample of 51 US ethical funds and 779 US actively managed equity funds between 1992 and 2002. We propose a new ES measure for common stocks, by comparing the value held by ethical funds and the value held by equity funds for that stock. Then, we calculate the funds' ES by aggregating the ES of funds' holding common stocks. We find a strong heterogeneity for ethical funds in terms of ethical strength, with only one fifth of them being actually worth this label. These funds distinguish from others by much stronger ethical strength, higher total assets and mostly small caps stocks.Consistent with the hypothesis that ethical investment is costly for firms, we find a highly significant, negative relation between performance and ES for equity funds. This relation is robust to traditional performance determinants, such as funds' size, turnover rate, expenses, or portfolio concentration. For ethical funds, this relation is similar, except for the funds exhibiting the stronger ethical strength.

Suggested Citation

  • Radu Burlacu & Denis Dupré & Isabelle Girerd-Potin, 2006. "Que cache la performance financière des fonds éthiques : une application aux fonds socialement responsables américains," Post-Print halshs-00132212, HAL.
    • Handle: RePEc:hal:journl:halshs-00132212
    as

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