Robust CSR Investment Screening
AbstractAlthough 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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Bibliographic InfoPaper provided by Hogeschool-Universiteit Brussel, Faculteit Economie en Management in its series Working Papers with number 2009/05.
Length: 20 pages
Date of creation: Feb 2009
Date of revision:
Corporate Social Responsibility; Asset Selection; Composite Indicators; Robustness Analysis;
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