The study critically reviews the application of the Sharia investment screening process, from both Sharia and practical perspectives. In practice, there appears to be inconsistencies in the Sharia investment screening criteria among Islamic investment institutions, especially in terms of the tolerance level, as well as the changing of the Sharia rules. This certainly affects the confidence in the Sharia screening criteria standards, which might adversely affect the Islamic mutual funds industry. The non-income generating aspects, such as social and environmental concerns, are not incorporated in the contemporary Islamic investment screening process. This seems to be rather paradoxical, since it contradicts the Sharia-embedded ethical values of fairness, justice and equity. The thesis contends that external audits regarding the implementation of Sharia rules should be adopted to ensure the compliance of the investment with Sharia guidelines. Furthermore, it is desirable for Sharia boards to adopt corporate governance practice and take proactive roles, especially in Muslim countries, in order to influence companies to adopt Sharia-compliant investment practices. The tolerance levels of conventional finance activities of companies in Muslim countries should be re-evaluated and lowered in the Islamic investment screening criteria. This is partly due to the popularity and wide availability of Islamic banking and alternative Sharia instruments to interest-based finance, coupled with the fact that Muslim shareholders form the majority and hence, can vote to influence companies to adopt Sharia-compliant financing modes. In addition, the study provides empirical evidence that the Sharia screening process does not seem to have an adverse impact on either the absolute or the risk-adjusted performance of Islamic equity mutual funds in Saudi Arabia, compared to their conventional counterpart equity mutual funds and also compared to their market benchmarks. This is regardless of the geographical investment focus subgroup examined and the market benchmark used (whether Islamic or conventional). Furthermore, the systematic risk analysis shows that in most cases Islamic equity mutual funds in Saudi Arabia tend to be significantly less exposed to market risk compared to their conventional counterpart equity mutual funds, and compared to their conventional market benchmarks. Thus, the assumption that Sharia investment constraints lead to inferior performance and riskier investment portfolios because of the relatively limited investment universe seems to be rejected. This implies that Muslim investors in Saudi Arabia can choose Islamic investments that are consistent with their beliefs without being forced to either sacrifice performance or expose themselves to higher risk. The investment style analysis also shows that the Sharia screening process does not seem to influence Islamic equity mutual funds in Saudi Arabia towards small or growth companies compared to their conventional counterparts of similar geographical investment focus. Moreover, the study provides empirical evidence that the performance difference between Islamic and conventional socially responsible indices is insignificant despite applying different sets of screening criteria. However, Islamic indices tend to be associated with relatively lower systematic risk compared to their conventional socially responsible counterparts. Therefore, Islamic investment portfolios can be marketed to socially responsible investors who share similar beliefs in terms of excluding certain industries such as tobacco, alcohol, pornography, defense, etc., in spite of no financial filters being used by conventional socially responsible investors. This finding is especially appealing in Muslim countries where there are usually no mutual funds categorized as socially responsible, but rather Islamic. Moreover, the study also provides empirical evidence that incorporating conventional sustainability criteria into the traditional Sharia screening process does not lead to inferior performance or higher exposure to systematic risk. The results indicate that regardless of the restriction used - whether Islamic, socially responsible or Islamic socially responsible - restricted investment portfolios do not seem to be associated with inferior performance or higher exposure to risk. This finding opens the door for Sharia scholars and Muslim investors to reconsider broader social and environmental aspects as part of the Sharia investment screening process. With regards to investment style, Islamic and Islamic socially responsible indices seem to be skewed towards growth cap as compared to their conventional and conventional socially responsible indices, while Islamic socially responsible also leans towards a large cap. This implies that despite the performance similarity between, Islamic, conventional and conventional socially responsible indices, the returns driver of each type of investment tends to be different.

L’instabilité et le manque de régulation à l’origine des crises financières devenues cycliques ont été des facteurs propices à un questionnement sur l’éthique de la finance. Cette thèse se propose dans un premier temps de s’interroger sur l’épistémologie de la « science financière » et ses attributs normatifs. Cette interrogation nous a permis de mettre en avant les imbrications logiques qu’il existait entre démarche positiviste et posture normative avant de proposer une cartographie du référentiel éthique qui façonne le discours financier. Ce travail théorique a préfiguré les questionnements empiriques développés, dans le second volet de cette thèse, autour de la confrontation de deux référentiels éthiques et financiers distincts : l’Investissement Socialement Responsable (ISR) et de l’Investissement shariah¬-compatible (ISC). Nos travaux identifient leurs éléments de différenciation et les passerelles possibles entre ces deux déclinaisons de la finance éthique. Dans la première étude, après avoir pris en compte le profil stochastique de 24 indices domestiques, nous mesurons et identifions l’origine de leur performance respective. Les résultats confirment la meilleure résilience des indices ISC durant la crise des subprimes tout en soulignant l’influence du niveau de développement et d’intégration des marchés boursiers. La seconde étude empirique explore le lien de causalité entre les critères ISR et ISC en investiguant la relation entre la performance sociale d’une entreprise (PSE) et sa structure financière. Les résultats obtenus à partir d’un échantillon de 1745 entreprises américaines indiquent que seules les petites entreprises controversées (non-engagées dans une démarche RSE) ont plus systématiquement recours au financement par dette et sont donc plus susceptibles d’être exclues des portefeuilles ISC. La dernière étude mesure, à travers une démarche expérimentale, l’impact financier de la combinaison des critères ISR et ISC. Contrairement aux prédictions suggérées par la théorie du portefeuille, les résultats n'indiquent aucun effet négatif sur la performance dû à l'application conjointe de filtres islamiques et ESG. / The instability and lack of regulation that originated the cyclical financial crises were factors conducive to questioning the ethics of finance. This thesis proposes first to question the epistemology of "Financial science" and its normative attributes. This question allows us to highlight the logical interconnections that exist between positivist and normative approaches before proposing a mapping of ethical reference shaping financial decisions. This theoretical work prefigures the empirical questions developed in the second part of the thesis. In this part, we confront two distinct ethical and financial practices: Socially Responsible Investment (SRI) and Shariah-Compliant Investment (SCI). Our studies identify their distinguishing features and the possible links between them. In the first study, after taking into account the stochastic profile of 24 domestic indexes we measure and identify the origin of their respective performance. The results confirm the resilience of SCI indexes during the subprimes crisis, while emphasizing the influence of the level of development and integration of stock markets. The second empirical study explores the causal link between the SCI and SRI criteria by investigating the relationship between Companies Social Performance (CSP) and its debt structure. The results obtained from a sample of 1,745 US companies indicate that only small and strictly controversial firms (not engaged in any CSR policy) have a significant higher leverage, therefore suggesting that these firms are more likely to be excluded from SCI portfolios. The last study measures, through an experimental approach, the financial impact of the combination of SRI and SCI criteria. Contrary to predictions suggested by modern portfolio theory, the results indicate no negative effect on performance due to the joint application of Islamic and ESG filters.