Forecasting the environmental, social and governance rating of firms by using corporate financial performance variables: A rough sets approach

[EN] The environmental, social, and governance (ESG) rating of firms is a useful tool for stakeholders and investment decision-makers. This paper develops a rough set model to relate ESG scores to popular corporate financial performance measures. This methodology permits handling with information in an uncertain, ambiguous, and imperfect context. A large database was gathered, including ESG scores, as well as industry sector and financial variables for publicly traded European companies during the period 2013-2018. We carried out 500 simulations of the rough set model for different values in the discretization parameter and different grouping scenarios of firms regarding ESG scores. The results suggest that the variables considered are useful in the prediction of ESG rank when firms are clustered in three or four equally balanced groups. However, the prediction power vanishes when a larger number of groups is computed. 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Typologies of Dairy Farms with Automatic Milking System in Northwest Spain and Farmers’ Satisfaction

The aim of this study was to determine the characteristics of the dairy farms that installed an automatic milking system (AMS). A survey of 38 dairy farms with AMS, in Galicia (Spain), collected information on quantitative and qualitative variables. Following elimination of redundant variables, categorical principal component analysis identified 4 factors accounting for 43.7% of the total variance. Using these factors, the farms studied were subjected to hierarchical cluster analysis which differentiated 4 types of farms: (A) farms with more leisure and quality of life where the AMS covered the expectations of farmers (29%); (B) farms that removed cows more often due to AMS and farmers with more stress (34%); (C) farms with little leisure and farmers with no successor (21%); (D) large farms with many fulltime employees (FTE) where the AMS had covered farmer’s expectations the least (11%). Generally the farms were based on a family structure with a high percentage of FTE. With the adoption of AMS these farms sought to increase milk production, save labour and have more flexibility. With 87% of farms with free cow traffic the activity that took the most of the farmer’s time was fetching cows for milking (1 h/day). Nearly 58% of farmers were completely satisfied with their AMS, although this value reached 91% in farms with herd sizes below the average which were better adapted to the use of one AMS.The authors are grateful for the financial support granted by the Autonomous Government of Galicia through the Directorate General for Research & Development (PGIDT/PGIDIT Project, Ref: 07MRU013291PR)S

Mastitis diagnosis in ten Galician dairy herds (NW Spain) with automatic milking systems

Over the last few years, the adoption of automatic milking systems (AMS) has experienced significant increase. However, hardly any studies have been conducted to investigate the distribution of mastitis pathogens in dairy herds with AMS. Because quick mastitis detection in AMS is very important, the primary objective of this study was to determine operational reliability and sensibility of mastitis detection systems from AMS. Additionally, the frequency of pathogen-specific was determined. For this purpose, 228 cows from ten farms in Galicia (NW Spain) using this system were investigated. The California Mastitis Test (CMT) was considered the gold-standard test for mastitis diagnosis and milk samples were analysed from CMT-positive cows for the bacterial examination. Mean farm prevalence of clinical mastitis was 9% and of 912 milk quarters examined, 23% were positive to the AMS mastitis detection system and 35% were positive to the CMT. The majority of CMT-positive samples had a score of 1 or 2 on a 1 (lowest mastitis severity) to 4 (highest mastitis severity) scale. The average sensitivity and specificity of the AMS mastitis detection system were 58.2% and 94.0% respectively being similar to other previous studies, what could suggest limitations for getting higher values of reliability and sensibility in the current AMSs. The most frequently isolated pathogens were Streptococcus dysgalactiae (8.8%), followed by Streptococcus uberis (8.3%) and Staphylococcus aureus (3.3%). The relatively high prevalence of these pathogens indicates suboptimal cleaning and disinfection of teat dipping cups, brushes and milk liners in dairy farms with AMS in the present studyThe authors are grateful for the financial support granted by the Autonomous Government of Galicia through the Directorate General for Research & Development (PGIDT/PGIDIT Project, Ref: 07MRU013291PR)S

Multiobjective Approach to Portfolio Optimization in the Light of the Credibility Theory

[EN] The present research proposes a novel methodology to solve the problems faced by investors who take into consideration different investment criteria in a fuzzy context. The approach extends the stochastic mean-variance model to a fuzzy multiobjective model where liquidity is considered to quantify portfolio's performance, apart from the usual metrics like return and risk. The uncertainty of the future returns and the future liquidity of the potential assets are modelled employing trapezoidal fuzzy numbers. The decision process of the proposed approach considers that portfolio selection is a multidimensional issue and also some realistic constraints applied by investors. Particularly, this approach optimizes the expected return, the risk and the expected liquidity of the portfolio, considering bound constraints and cardinality restrictions. As a result, an optimization problem for the constraint portfolio appears, which is solved by means of the NSGA-II algorithm. This study defines the credibilistic Sortino ratio and the credibilistic STARR ratio for selecting the optimal portfolio. An empirical study on the S&P100 index is included to show the performance of the model in practical applications. The results obtained demonstrate that the novel approach can beat the index in terms of return and risk in the analyzed period, from 2008 until 2018.García García, F.; González-Bueno, J.; Guijarro, F.; Oliver-Muncharaz, J.; Tamosiuniene, R. (2020). Multiobjective Approach to Portfolio Optimization in the Light of the Credibility Theory. Technological and Economic Development of Economy (Online). 26(6):1165-1186. https://doi.org/10.3846/tede.2020.13189S11651186266Acerbi, C., & Tasche, D. (2002). On the coherence of expected shortfall. Journal of Banking & Finance, 26(7), 1487-1503. doi:10.1016/s0378-4266(02)00283-2Ahmed, A., Ali, R., Ejaz, A., & Ahmad, I. (2018). 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Effect of intra-alveolar placement of 0.2% chlorhexidine bioadhesive gel on the incidence of alveolar osteitis following the extraction of mandibular third molars. A double-blind randomized clinical trial

Alveolar osteitis (AO) is a common complication after third molar surgery. One of the most studied agents in its prevention is chlorhexidine (CHX), which has proved to be effective. Objectives: The aim of this randomized double-blind clinical trial was to evaluate the efficacy of 0.2% bioadhesive chlorhexidine gel placed intra-alveolar in the prevention of AO after the extraction of mandibular third molars and to analyze the impact of risk factors such as smoking and oral contraceptives in the development of AO. Study Design: The study was a randomized, double-blind, clinical trial performed in the Ambulatory Surgery Unit of Hospital Vall d’Hebron and was approved by the Ethics Committee. A total of 160 patients randomly received 0.2% bioadhesive gel (80 patients) or bioadhesive placebo (80 patients). Results: 0.2% bioadhesive chlorhexidine gel applied in the alveolus after third molar extraction reduced the incidence of dry socket by 22% compared to placebo with differences that were not statistically significant. Smoking and the use of oral contraceptives were not related to higher incidence of dry socket. Female patients and the difficulty of the surgery were associated with a higher incidence of AO with statistically significant differences. 0.2% bioadhesive chlorhexidine gel did not produce any of the side effects related to chlorhexidine rinses. Conclusions: A 22% reduction of the incidence of alveolar osteitis with the application of 0.2% bioadhesive chlorhexidine gel compared to placebo with differences that were not statistically significant was found in this clinical trial. The lack of adverse reactions and complications related to chlorhexidine gel supports its clinical use specially in simple extractions and adds some advantages compared to the rinses in terms of duration of the treatment and reduction of staining and taste disturbance

Mean-variance investment strategy applied in emerging financial markets: evidence from the Colombian stock market

In any investment, an analysis of the expected return and the assumed risk constitutes a fundamental step. Investing in financial assets is no exception. Since the portfolio selection theory was proposed by Markowitz in 1952, this methodology has become the benchmark in portfolio management. However, it is not always possible to apply it, especially when investing in emerging financial markets, which are characterised by a scant variety of available stocks and very lowliquidity. In this paper, using the Colombian case, we will examine the challenges found by investors who want to create a portfolio using only stocks listed on a scarcely developed stock market

What is the cost of maximizing ESG performance in the portfolio selection strategy? The case of The Dow Jones Index average stocks

[EN] Portfolio selection is one of the main financial topics. The original portfolio selection problem dealt with the trade-off between return and risk, measured as the mean returns and the variance, respectively. For investors more variables other than return and risk are considered to select the stocks to be included in the portfolio. Nowadays, many investors include corporate social responsibility as one eligibility criterion. Additionally, other return and risk measures are being employed. All of this, together with further constraints such as portfolio cardinality, which mirror real-world demands by investors, have made the multicriteria portfolio selection problem to be NP-hard. To solve this problem, heuristics such as the non-dominated sorting genetic algorithm II have been developed. The aim of this paper is to analyse the trade-off between return, risk and corporate social responsibility. To this end, we construct pareto efficient portfolios using a fuzzy multicriteria portfolio selection model with real-world constraints. The model is applied on a set of 28 stocks which are constituents of the Dow Jones Industrial Average stock index. The analysis shows that portfolios scoring higher in corporate social responsibility obtain lower returns. As of the risk, the riskier portfolios are those with extreme (high or low) corporate social responsibility scores. Finally, applying the proposed portfolio selection methodology, it is possible to build investment portfolios that dominate the benchmark. That is, socially responsible portfolios, measured by ESG scores, must not necessarily be penalized in terms of return or risk.García García, F.; Gankova-Ivanova, T.; González-Bueno, J.; Oliver-Muncharaz, J.; Tamosiuniene, R. (2022). What is the cost of maximizing ESG performance in the portfolio selection strategy? The case of The Dow Jones Index average stocks. Enterpreneurship and Sustainability Issues. 9(4):178-192. https://doi.org/10.9770/jesi.2022.9.3(9)1781929