The social responsibility of sovereign wealth funds and its implications on the performance of their portfolios.

Summary The rapid growth of sovereign wealth funds (SWFs) over the past two decades has been accompanied by a new interest in socially responsible investments (SRIs) by these funds. This thesis, which is structured around three essays, proposes to examine the implications of this strategy on the performance of their portfolios. The first study examines the efficiency of SFs in terms of financial and social responsibility performance. To estimate the latter, we constructed and computed the first score assessing the social responsibility of SFs. We employ a non-parametric methodology using several combinations of inputs-outputs. We show on the one hand that many SFs are efficient, and on the other hand that the involvement of SFs in SRI is increasing and non-negligible. In a second study, we analyze the impact of the implementation of an SRI strategy, negative screening, on the financial performance of SFs. Our results indicate that a negative screening strategy does not harm the returns of SFs, and decreases their overall risk. Finally, in the last study, we examine the influence of negative screening on the value of companies excluded from the SFs' portfolio by considering the case of the Norwegian fund, the largest SF in terms of size, and renowned for its social responsibility. Through event studies, we show that excluded firms suffer a loss in value. This is especially the case for companies excluded for non-compliance with ESG values, whose valuation decreases significantly in the long run. This implies that the Norwegian fund, through the disclosure of new information, sends a signal about the ESG performance of excluded companies and thus contributes to the efficiency of financial markets. Our three studies thus suggest that the implementation of SRI would not only have no negative impact on the performance of SFs, but could also improve the social responsibility of the companies in their portfolios. The conceptual and empirical results of this thesis contribute to the growing literature on the social responsibility of SFs, and are of interest to public and private market actors.