Arraiano, Irene GuiaMiralles-Quirós, María del MarMiralles-Marcelo, José Luís2018-03-142018-03-142015-11978-84-608-3576-9http://hdl.handle.net/10400.21/8249Capítulo do livro Asset pricing and investment strategies - In memoriam of Prof. José Luis Miralles-MarceloSocially Responsible Investment (SRI) has grown enormously in recent years. In this context, the aim of this study is to examine whether this kind of firms are "an asset class" in European markets. To that end, we analyze the risk-adjusted returns and risk sensibilities of these firms in ten markets over the 2001-2013 period considering three alternative criteria. Our overall results show that socially responsible firms are an asset class in all markets analyzed with all criteria. However, our results reveal the existence of market singularities that should be considered in future research, especially between the German and Nordic markets.engSocially responsible firmsEuropean marketsPerformanceSpanning testsRiskbook part