The Performance of Socially Responsible Funds: Does the Screening Process Matter?
研究法国社会责任共同基金的筛选过程特征与财务绩效的关系，发现筛选强度略降收益但严格筛选时相反，行业筛选（如避开“罪恶股”）降低收益，而横向筛选无影响，策略独特性与更好绩效相关。
Abstract 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 .