Comparaison performance-taille des fonds mutuels par une analyse multicritère

L’objet de cette étude est de vérifier si certaines caractéristiques de « risque et de rendement » des fonds mutuels sont clairement reliées à la taille de ces fonds. On se place donc dans un contexte multidimensionnel, où l’on cherche à prendre simultanément en compte les diverses caractéristiques d’un tel placement. Cette vérification est effectuée à l’aide d’une analyse multicritère s’inspirant de la méthode PROMETHEE, laquelle se fonde sur des relations de surclassement.Ce type d’analyse permet également d’expliciter l’impact que peut avoir l’importance relative accordée aux critères, sur la performance des fonds.The purpose of this paper is to verify if some risk-return characteristics of mutual funds are clearly related to their size. Assuming a multidimensional setting where various funds characteristics can be explicitly and simultaneously considered. The paper applies PROMETHEE methodology, based on outranking relations, to make this verification.Such a multicriterion analysis also allows an explicit measure of the impact of the weight given to each criterion on the performance of the funds

Social capital and cost of bank loans during the financial crisis

This study examines the effect of the lender’s social capital on the link between the borrower’s social capital and the cost of bank loans. We exploit the last financial crisis as an exogenous shock to trust during which social capital becomes more valuable. Our findings suggest that when a lender’s social capital is high, borrowers with high social capital pay 46.22 basis points less on their bank loans than those with low social capital.PostprintPeer reviewe

Comparaison performance-taille des fonds mutuels par une analyse multicritère

The purpose of this paper is to verify if some risk-return characteristics of mutual funds are clearly related to their size. Assuming a multidimensional setting where various funds characteristics can be explicitly and simultaneously considered. The paper applies PROMETHEE methodology, based on outranking relations, to make this verification. L’objet de cette étude est de vérifier si certaines caractéristiques de « risque et de rendement » des fonds mutuels sont clairement reliées à la taille de ces fonds. On se place donc dans un contexte multidimensionnel, où l’on cherche à prendre simultanément en compte les diverses caractéristiques d’un tel placement. Cette vérification est effectuée à l’aide d’une analyse multicritère s’inspirant de la méthode PROMETHEE, laquelle se fonde sur des relations de surclassement.

Corporate sustainability and cost of equity capital : do managerial abilities matter?

This paper investigates whether a firm’s managerial ability affects the link between a firm’s cost of equity capital and corporate sustainability. We test our predictions by using a large U.S. sample of 17,389 firm-year observations. Our findings show that only when managerial ability is high, corporate sustainability significantly reduces a firm’s implied cost of equity capital. An important implication of our findings is that firms with high managerial abilities and limited sustainability commitment are encouraged to pursue or initiate more sustainability activities owing to their negative effect on a firm’s cost of equity capital.Publisher PDFPeer reviewe

Does corporate social responsibility affect the cost of equity in controversial industry sectors?

This study examines whether corporate social responsibility influences the cost of equity capital of firms operating controversial industry sectors. This paper computes the ex-ante cost of equity capital implied in analyst earnings forecasts and stock prices for a sample of 2,006 U.S. firm-year observations belonging to controversial industry sectors (alcohol, tobacco, gambling, military, firearms, nuclear power, oil and gas, cement and biotechnology) during the period 1991-2012. The baseline regression model links CSR score to the implied cost of equity capital (ICC) and controls for firm-specific characteristics, industry factors, and economic or market-wide factors. This model enables to capture the differential effect of CSR on ICC when the firm belongs to a specific sector of the controversial industries by adding an interaction term between CSR and the dummy variable representing this belonging. The findings show two main results. First, CSR engagement significantly reduces the implied cost of equity capital (ICC) in all controversial industry sectors, taken as a group, as well as in each one of these sectors individually. Second, this effect is more pronounced when the firm belongs to the alcohol and tobacco industry sectors. The findings have two important practical implications. First, they should increase managers’ confidence and incentives, in controversial industry sectors, to pursue CSR activities. Second, policymakers can encourage managers to undertake CSR initiatives in controversial industry sectors through tax incentives (e.g., reduce taxes for CSR related investment projects). This paper extends prior studies that investigate the perceptions of capital market participants of firm’s CSR commitment (e.g., Sharfman and Fernando, 2008; Goss and Roberts, 2011; El Ghoul et al., 2011; Jo and Na, 2012; Bouslah et al., 2013) by examining the effect of CSR on ICC in the controversial industry sectors. It contributes to the debate around the relevance of CSR in controversial sectors by providing evidence of the reduction effect of CSR activities on ICC in controversial industries and by showing that this reduction impact is more pronounced when the firm belongs to alcohol, tobacco industry sectors.PostprintPeer reviewe

A multi-dimensional analysis of corporate social responsibility : different signals in different industries

This study investigates the relation between individual dimensions of corporate social responsibility (CSR) and financial performance in different industries. Using Kinder, Lydenberg and Domini (KLD) social ratings, we find that investors seem to be more sensitive to the dimension “Environment” in mining and manufacturing sectors while they seem to be more sensitive to the dimension “Employees’ welfare” in the service industry. Our results also suggest that investors perceive an additional financial risk from firm’s irresponsible behavior and consequently, they are more pre-occupied by eventual losses caused by firms’ social irresponsibility than by potential financial gains from corporate social performance.Publisher PDFPeer reviewe