Abstract
"The development of socially responsible investment (SRI) in the mid-1990s opened up a vast area of research in portfolio construction. Indeed, investors are breaking with traditional financial theory by integrating extra-financial elements into their portfolio management strategies. In this sense, the emergence of this new type of investment has triggered a craze in the scientific community about the performance of SRI, which has led to mixed results. One of the possible explanations for this heterogeneity of results is that the methodology employed by the different studies has an inevitable influence on its result, or that the financial performance of SRI can be influenced by the measure of financial performance employed (risk or profitability variable). For this reason, the analysis of our data is conducted using a principal component analysis of financial performance, which permits the construction of a synthetic index that includes most of the variables used to measure financial performance in the empirical literature. The objective here is to capture a general trend in the impact of SRI on this composite index of financial performance. The results of the multivariate test on the composite index show that non-SRI firms have a negative and statistically significant impact on the financial performance index. Similarly, the effect of investments made by Engaged companies has a negative, but not statistically significant impact on financial performance."
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