Capelle-Blancard and Monjon (2014)
Capelle-Blancard, Gunther and Stéphanie Monjon. “The Performance of Socially Responsible Funds: Does the Screening Process Matter?” European Financial Management. June 2014.
From the authors' abstract: "Based on a sample of French SRI funds, we find evidence that a greater screening intensity slightly reduces financial performance (but the relationship runs in the opposite direction when screening gets tougher). Further, we show that only sectoral screens – such as avoiding ‘sin’ stocks – decrease financial performance, while transversal screens – commitment to UN Global Compact Principles, ILO/Rights at Work, etc. – have no impact."