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Effect of social screening on funds’ performance: empirical evidence of European equity funds

Abstract: The aim of this study is to evaluate the financial performance of European socially responsible investment (SRI) funds for the period 1993–2012 to contrast whether there is a relationship between the application of social screening on investment decisions and funds’ financial performance measured by Carhart’s alpha. Regression analysis has been used to test the hypotheses of this research with a sample free of survivorship bias of 184 SRI equity funds from 14 European countries and the population of conventional funds from the same country and investment objective. The main conclusion of this study is that the application of social criteria in investment decisions carries a cost to the investor in terms of lower financial performance caused by differences in screening intensity.

 Autoría: Sánchez J., Sotorrío L.,

 Fuente: Spanish Journal of Finance and Accounting, 2014 Vol. 43, No. 1, 91–109

Editorial: AECA

 Año de publicación: 2014

Nº de páginas: 20

Tipo de publicación: Artículo de Revista

 DOI: 10.1080/02102412.2014.890828

ISSN: 0210-2412

Url de la publicación: http://www.tandfonline.com/doi/abs/10.1080/02102412.2014.890828