Socially Responsible Investment Performance in France

In 2008, the EDHEC Risk and Asset Management Research Centre studied the performance of socially responsible investment (SRI) funds distributed in France. This study covered a six-year period (2002-2007) and focused more specifically on funds invested in assets from France, the Euro zone, and Europe.


Véronique Le Sourd

Using the Fama-French threefactor model to compute alpha, we did not identify alpha values both positive and statistically significant for SRI funds. In fact, for most SRI funds, we obtained negative, but not statistically significant alpha, indicating that SRI security selection in itself does not lead to outperformance. Our results show that SRI fund performance is accounted for instead by style biases and market cycles.
After the results of the study were made public in April 2008, we received some comments from businesses involved in SRI.
In response to this criticism, we include in the sample for our initial study the group of funds invested in World assets, which we had first set aside because it was more heterogeneous than funds invested in France, Euro zone, and Europe assets. We also perform computations over shorter periods and including a greater number of funds.
The remainder of this document is organised as follows. In the first part, we review the definition of the notion of socially responsible investment, the recent evolution of this definition, and the image conveyed by this type of investment. 

(-1.00 B)
Type: Position paper
Date: le 16/12/2008
Research Cluster : Finance

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