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The academic Interest in the performance of so-called Social Responsible firms has grown steadily these last years. But empirical evidences remain scarce. By studying a portfolio of firms included in the ASPI Euro zone Index, our work contributes to fill this hole. We examine the performance and risk sensitivities and try to overcome the methodological deficiencies of the some prior studies. In particular, we adopt Carhart's (1997) multifactor attribution approach and Ferson-Schadt (1996)doi:10.2139/ssrn.934770 fatcat:jrrr3i2i6jgwhbuno32wbqft3a