The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?

Performance of European socially responsible funds during market crises: Evidence from France

“…Areal et al (2013) study the performance of religious, socially responsible and irresponsible 4 US funds, based on a Markov-switching conditional model. Their results show that different kinds of ethical screens seem to lead to different performance patterns across different market regimes.…”

“…Additionally, there are arguments in favour of SRI funds performing better than conventional funds in times of crisis. Indeed, as pointed out by Areal, Cortez, and Silva (2013), we might question whether the higher reputation of socially responsible companies might protect their stocks from general price declines in times of crisis. If so, in downturn periods portfolios of socially responsible stocks should yield better performance relative to unscreened portfolios.…”

“…However, empirical evidence on the performance of SRI funds during crisis and non-crisis periods is scarce and mostly focused on the US market (e.g., Areal et al, 2013;Nofsinger & Varma, 2014). Since this research topic remains practically unexplored in the context of European fund markets, the main contribution of this paper is to fill this gap by comparing the performance of French SRI funds that invest in European markets relative to characteristics-matched conventional funds across different market states.…”

“…However, besides some methodological limitations, these studies only evaluate the performance of SRI funds in relation to market indices, without comparing them to conventional funds. 3 Moreover, recent studies on SRI funds (e.g., Areal et al, 2013;Nofsinger & Varma, 2014) suggest that different types of screens do impact fund performance differently across crisis and non-crisis periods. We also address this issue that is especially relevant because screening practices vary considerably from one country to another.…”

Corporate sustainability in asset pricing models and mutual funds performance measurement

“…Renneboog et al (2008) measure negative performance of sustainability funds in the United States and many other countries. Areal et al (2013) find that the performance results for U.S. SRI funds are sensitive to the sample period considered. A more comprehensive overview of the methodological issues associated with the performance of sustainability funds can be found in Chegut et al (2011).…”