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The Impact of Social Screening on the Performance of US and European Funds
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Author(s): Joana Pena (School of Economics and Management, University of Minho, Portugal)and Maria Céu Cortez (NIPE, Portugal & School of Economics and Management, University of Minho, Portugal)
Copyright: 2022
Pages: 26
Source title:
Handbook of Research on New Challenges and Global Outlooks in Financial Risk Management
Source Author(s)/Editor(s): Mara Madaleno (GOVCOPP, University of Aveiro, Portugal), Elisabete Vieira (GOVCOPP, University of Aveiro, Portugal)and Nicoleta Bărbuță-Mișu (University of Galati, Romania)
DOI: 10.4018/978-1-7998-8609-9.ch009
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Abstract
This chapter investigates the relationship between the performance and the screening strategies of US and European socially responsible funds. For the full sample and, in particular, for US funds, the results show a curvilinear relationship between screening intensity and fund performance. Continental European funds exhibit a positive relationship between the number of screens and performance. Furthermore, for the full sample and US funds, screening on governance impacts performance positively. In turn, environment and products screens have a negative impact on US fund performance. Finally, funds certified with social labels tend to yield higher performance. Overall, the geographical differences in the impact of the screening process on SRI fund performance are consistent with the contextual nature of socially responsible investments.
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