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)

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... ional model. After controlling for market risk and others factors, we find evidences supporting the conjecture that the performance differential between firms classified as Socially Responsible and the others is insignificant.