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

This paper investigates the performance, investment styles and managerial abilities of French socially responsible investment (SRI) funds investing in Europe during crisis and non-crisis periods. Our results show that SRI funds significantly underperform characteristics-matched conventional funds during non-crisis periods, but match the performance of their peers during market downturns. The underperformance of SRI funds during good economic states is driven by funds that use negative screens, since funds that use only positive screens perform similarly to conventional funds across different market conditions. SRI and conventional funds show significant differences in risk exposures during non-crisis periods but exhibit much more similar investment styles during crises. Furthermore, we find little evidence of significant differences in managerial abilities during bad economic states. Yet, during non-crisis periods, SRI and conventional fund managers exhibit significantly different style-timing abilities and these differences are also related to screening strategies. (C) 2015 Elsevier Inc. All rights reserved.