We obtain information from SIF on the social screening activity of SRI funds. SIF pro vides information about the use of screens in eleven screening categories: alcohol, tobacco, gambling, defense/ weapons, animal testing, products/services, environment, human rights, labor relations, employment/equality, and community investment. We also obtain information from SIF on whether social screening is performed in-house or delegated to an external firm. In our tests, we exclude from the sample those observations of SRI and conventional funds with missing values for risk-adjusted performance (Section 2 describes the procedure employed to estimate risk-adjusted performance), expenses, loads, or any of the control.
