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An assessment of variances and covariances of European SRI funds returns : does the intensity of extra-financial negative screening matter?

Author

Listed:
  • Yves Jegourel

    (Larefi)

  • Samuel Maveyraud

Abstract

Social responsible investment is surging in all industrial countries, despite the conventional wisdom that the inclusion of extra-.nancial criteria in the stock selection process should arm the .nancial performance of these funds. As a consequence, many papers 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 timevarying volatility to compare the risk-adjusted returns of several portfolios of SRI funds with di¤erences in the intensity of extra-.nancial 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 signicantly differ from the returns of conventional funds if this latter criteria is taken into account.

Suggested Citation

  • Yves Jegourel & Samuel Maveyraud, 2010. "An assessment of variances and covariances of European SRI funds returns : does the intensity of extra-financial negative screening matter?," Larefi Working Papers 201007, Larefi, Université Bordeaux 4.
    • Handle: RePEc:laf:wpaper:201007
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    References listed on IDEAS

    as
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    More about this item

    Keywords

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

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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