Abstract
Following the literature about Socially Responsible Investment performance, the purpose of this paper is to study the investment style and the performance of French ethical funds from January 1994 to January 2007. The performance measurement aims to verify if an active management based on specific research of sustainability can add value with regard to the market from a retail investor perspective. The comparison of the ethical funds with their relevant Benchmark is performed through Jensen’s alpha. Results show a general but non- significant underperformance of the ethical funds. A common conservative attitude towards the market risk was also observed. The style analysis a la Fama and French confirms the existence of a small cap bias, already found in previous studies. However, no clear investment strategy, with regard to growth or value stocks, was observed. Finally, using Carhart model, we found that French equity ethical funds don’t have any particular Momentum strategy.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
