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Robust CSR Investment Screening

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Author Info

  • Van den Bossche, Filip

    ()
    (Hogeschool-Universiteit Brussel (HUB), Belgium
    Katholieke Universiteit Leuven, Belgium)

  • Rogge, Nicky

    ()
    (Hogeschool-Universiteit Brussel (HUB), Belgium
    Katholieke Universiteit Leuven, Belgium)

  • Devooght, Kurt

    ()
    (Hogeschool-Universiteit Brussel (HUB), Belgium
    Katholieke Universiteit Leuven, Belgium)

  • Van Puyenbroeck , Tom

    ()
    (Hogeschool-Universiteit Brussel (HUB), Belgium
    Katholieke Universiteit Leuven, Belgium)

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    Abstract

    Although a priori company screening is a constitutive feature of socially responsible investment (SRI) funds, it is not easy to substantiate that such screening effectively differentiates between companies on the basis of their Corporate Social Responsibility (CSR) calibre. Fundamentally, this is because CSR comprises several dimensions for which an undisputed aggregative model is lacking. We assess the robustness of companies CSR rankings with respect to several modelling assumptions. We then build on Ginis transvariation concept to select/reject specific companies in the SRI eligible universe of assets. We illustrate our approach with some specific screening issues as confronted by the ethical advisory committee of a large Belgian bank.

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    File URL: https://lirias.hubrussel.be/bitstream/123456789/2471/1/09HRP05.pdf
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    Bibliographic Info

    Paper provided by Hogeschool-Universiteit Brussel, Faculteit Economie en Management in its series Working Papers with number 2009/05.

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    Length: 20 pages
    Date of creation: Feb 2009
    Date of revision:
    Handle: RePEc:hub:wpecon:200905

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    Web page: http://research.hubrussel.be
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    Related research

    Keywords: Corporate Social Responsibility; Asset Selection; Composite Indicators; Robustness Analysis;

    References

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    1. M. Saisana & A. Saltelli & S. Tarantola, 2005. "Uncertainty and sensitivity analysis techniques as tools for the quality assessment of composite indicators," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 168(2), pages 307-323.
    2. Krajnc, Damjan & Glavic, Peter, 2005. "How to compare companies on relevant dimensions of sustainability," Ecological Economics, Elsevier, vol. 55(4), pages 551-563, December.
    3. Hallerbach, W.G.P.M. & Ning, H. & Soppe, A.B.M. & Spronk, J., 2002. "A Framework for Managing a Portfolio of Socially Responsible Investments," ERIM Report Series Research in Management ERS-2002-54-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
    4. Graafland, J.J. & Eijffinger, S.C.W. & Smid, H., 2004. "Benchmarking of corporate social responsibility: Methodological problems and robustness," MPRA Paper 20771, University Library of Munich, Germany.
    5. Ebert, Udo & Welsch, Heinz, 2004. "Meaningful environmental indices: a social choice approach," Journal of Environmental Economics and Management, Elsevier, vol. 47(2), pages 270-283, March.
    6. Angela Montanari, 2004. "Linear Discriminant Analysis and Transvariation," Journal of Classification, Springer, vol. 21(1), pages 71-88, March.
    7. Giuseppe Munda, 2005. "“Measuring Sustainability”: A Multi-Criterion Framework," Environment, Development and Sustainability, Springer, vol. 7(1), pages 117-134, 01.
    8. Michela Nardo & Michaela Saisana & Andrea Saltelli & Stefano Tarantola & Anders Hoffman & Enrico Giovannini, 2005. "Handbook on Constructing Composite Indicators: Methodology and User Guide," OECD Statistics Working Papers 2005/3, OECD Publishing.
    9. Laurens Cherchye & Willem Moesen & Nicky Rogge & Tom Puyenbroeck, 2007. "An Introduction to ‘Benefit of the Doubt’ Composite Indicators," Social Indicators Research, Springer, vol. 82(1), pages 111-145, May.
    10. Dubbink, G.W. & Graafland, J.J. & Liederkerke, L., 2008. "CSR: Transparency and the role of intermediate organisations," MPRA Paper 17892, University Library of Munich, Germany.
    11. Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "Socially responsible investments: Institutional aspects, performance, and investor behavior," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1723-1742, September.
    12. Laurens Cherchye & Wim Moesen & Nicky Rogge & Tom Van Puyenbroeck & Michaela Saisana & A. Saltelli & R. Liska & S. Tarantola, 2006. "Creating Composite Indicators with DEA and Robustness Analysis: the case of the Technology Achievement Index," Public Economics Working Paper Series ces0613, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, Working Group Public Economics.
    13. Ness, Barry & Urbel-Piirsalu, Evelin & Anderberg, Stefan & Olsson, Lennart, 2007. "Categorising tools for sustainability assessment," Ecological Economics, Elsevier, vol. 60(3), pages 498-508, January.
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