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

Abstract : 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.
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Article dans une revue
Journal of Banking & Finance, 2018, 97
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https://hal.archives-ouvertes.fr/hal-01914880
Contributeur : Isabelle Celet <>
Soumis le : mercredi 7 novembre 2018 - 11:11:04
Dernière modification le : jeudi 8 novembre 2018 - 01:17:11

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  • HAL Id : hal-01914880, version 1

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Robert Joliet, Yulia Titova. Equity SRI funds vacillate between ethics and money: an analysis of the funds' stock holding decisions. Journal of Banking & Finance, 2018, 97. 〈hal-01914880〉

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