165 research outputs found
Item Response Models to measure Corporate Social Responsibility
Corporate Social Responsibility (CSR) is a multidimensional con-
cept that involves several aspects, ranging from Environment, to Social
and Governance. Companies aiming to comply with CSR standards
have to face challenges that vary from one aspect to the other and
from one industry to the other. Latent variable models may be use-
fully employed to provide a unidimensional measure of the grade of
compliance of a firm with CSR standards that is both understand-
able and theoretically solid. A methodology based on Item Response
Theory has been implemented on the multidimensional sustainability
rating as expressed by KLD dataset from 1991 to 2007. Results sug-
gest that companies in the industry Oil & Gas together with firms
in Industrials, Basic Materials and Telecommunications have a higher
difficulty to meet the CSR standards. Criteria based on Human rights,
Environment, Community and Product quality have a large capacity
to select the best performing firms, as they are very discriminant, while
Governance does not exhibit similar behavior. A stock selection based
on the ranking of the firms according to the proposed CSR measure
supports the hypothesis of a positive relationship between CSR and
financial performanc
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On the price of morals in markets: an empirical study of the Swedish AP-Funds and the Norwegian Government Pension Fund
This study empirically analyses the exclusion of companies from investors’ investment universe due to a
company’s business model (sector-based exclusion) or due
to a company’s violations of international norms (normbased exclusion). We conduct a time-series analysis of the performance implications of the exclusion decisions of two leading Nordic investors, Norway’s Government Pension Fund-Global (GPFG) and Sweden’s AP-funds. We find that their portfolios of excluded companies do not generate an abnormal return relative to the funds’ benchmark index. While the exclusion portfolios show higher risk than the respective benchmark, this difference is only statistically
significant for the case of GPFG. These findings suggest
that the exclusion of the companies generally does not
harm funds’ performance. We interpret these findings as
indicative that with exclusionary screening, as practiced by the sample funds, asset owners can meet the ethical
objectives of their beneficiaries without compromising
financial returns
Principle Guided Investing: The Use of Exclusionary Screens and Its Implications for Green Investors
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