Measuring The Financial and Social Performance of French Mutual Funds

Download or read book Measuring The Financial and Social Performance of French Mutual Funds written by Mohamad Hassan Shahrour and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Socially responsible investors pursue both financial and non-financial goals. In this paper, we attempt to assess the performance of French socially responsible mutual funds (SRMFs). We consider the data envelopment analysis (DEA) approach, which allows us to assign a unique efficiency score while combining financial and social characteristics, using various combinations within different types of risk (total risk, market risk, and downside risk). We report the list of funds found to be DEA-efficient using various output-oriented models. We also compare our obtained results with the traditional and modern measures used in the literature (Sharpe, Treynor, and the information ratio). We contribute to the literature by testing the validity of the DEA methodology in the financial context. The findings have important implications for fund-selection processes and would be mainly of interest to investors and fund managers who integrate environmental, social, and governance (ESG) criteria into their investment choices.