Title :

Equity SRI funds vacillate between ethics and money: an analysis of the funds' stock holding decisions

Author(s) :

Joliet, Robert [Auteur]
Lille économie management - UMR 9221 [LEM]
Titova, Yulia [Auteur]

Journal title :

Journal of Banking and Finance

Publisher :

Elsevier

Publication date :

2018-09

ISSN :

0378-4266

HAL domain(s) :

Sciences de l'Homme et Société/Gestion et management

English abstract : [en]

We provide a detailed holdings-based analysis of investment decisions made by U.S. equity SRI funds. Besides incorporating conventional fundamental factors, such as earnings growth, leverage, dividend yield, stock return ...
Show more >We provide a detailed holdings-based analysis of investment decisions made by U.S. equity SRI funds. Besides incorporating conventional fundamental factors, such as earnings growth, leverage, dividend yield, stock return and volatility, SRI funds adjust portfolio weights by considering companies’ relative ESG performance. This holds for all categories of passively and actively managed funds, while for active funds ESG scores have a higher economic impact for value rather than growth funds. The timing of inclusion of companies in active SRI funds or their exclusion is driven primarily by fundamentals rather than by ESG performance. We find that both active SRI and matched conventional funds integrate ESG information as well as financial criteria in their investment decisions, but SRI portfolios exhibit higher average sustainability scores. Finally, we posit that SRI screening criteria effectively guide investment decisions, positive screening resulting in higher active portfolio weights of best performers in a corresponding ESG pillar.Show less >

Language :

Anglais

Popular science :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL