IDEAS home Printed from https://ideas.repec.org/p/hub/wpecon/200905.html
   My bibliography  Save this paper

Robust CSR Investment Screening

Author

Listed:
  • 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)

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.

Suggested Citation

  • Van den Bossche, Filip & Rogge, Nicky & Devooght, Kurt & Van Puyenbroeck , Tom, 2009. "Robust CSR Investment Screening," Working Papers 2009/05, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    • Handle: RePEc:hub:wpecon:200905
    as

    Download full text from publisher

    File URL: https://lirias.hubrussel.be/bitstream/123456789/2471/1/09HRP05.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Hallerbach, Winfried & Ning, Haikun & Soppe, Aloy & Spronk, Jaap, 2004. "A framework for managing a portfolio of socially responsible investments," European Journal of Operational Research, Elsevier, vol. 153(2), pages 517-529, March.
    2. Graafland, J.J. & Eijffinger, S.C.W. & Smid, H., 2004. "Benchmarking of corporate social responsibility : Methodological problems and robustness," Other publications TiSEM 730f0e78-0c51-4c83-bbab-c, Tilburg University, School of Economics and Management.
    3. 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.
    4. 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.
    5. Giuseppe Munda, 2005. "“Measuring Sustainability”: A Multi-Criterion Framework," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 7(1), pages 117-134, January.
    6. L Cherchye & W Moesen & N Rogge & T Van Puyenbroeck & M Saisana & A Saltelli & R Liska & S Tarantola, 2008. "Creating composite indicators with DEA and robustness analysis: the case of the Technology Achievement Index," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(2), pages 239-251, February.
    7. 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.
    8. 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.
    9. Laurens Cherchye & Willem Moesen & Nicky Rogge & Tom Puyenbroeck, 2007. "An Introduction to ‘Benefit of the Doubt’ Composite Indicators," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 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. 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, March.
    12. Angela Montanari, 2004. "Linear Discriminant Analysis and Transvariation," Journal of Classification, Springer;The Classification Society, vol. 21(1), pages 71-88, March.
    13. Krajnc, Damjan & Glavic, Peter, 2005. "How to compare companies on relevant dimensions of sustainability," Ecological Economics, Elsevier, vol. 55(4), pages 551-563, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Van den Bossche, Filip & Rogge, Nicky & Devooght, Kurt & Van Puyenbroeck, Tom, 2010. "Robust Corporate Social Responsibility investment screening," Ecological Economics, Elsevier, vol. 69(5), pages 1159-1169, March.
    2. Hatefi, S.M. & Torabi, S.A., 2010. "A common weight MCDA-DEA approach to construct composite indicators," Ecological Economics, Elsevier, vol. 70(1), pages 114-120, November.
    3. Salvatore Greco & Alessio Ishizaka & Menelaos Tasiou & Gianpiero Torrisi, 2019. "On the Methodological Framework of Composite Indices: A Review of the Issues of Weighting, Aggregation, and Robustness," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 141(1), pages 61-94, January.
    4. P. Zhou & B. Ang, 2009. "Comparing MCDA Aggregation Methods in Constructing Composite Indicators Using the Shannon-Spearman Measure," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 94(1), pages 83-96, October.
    5. Milica Maricic & Jose A. Egea & Veljko Jeremic, 2019. "A Hybrid Enhanced Scatter Search—Composite I-Distance Indicator (eSS-CIDI) Optimization Approach for Determining Weights Within Composite Indicators," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 144(2), pages 497-537, July.
    6. Ju, Keyi & Su, Bin & Zhou, Dequn & Zhou, P. & Zhang, Yuqiang, 2015. "Oil price crisis response: Capability assessment and key indicator identification," Energy, Elsevier, vol. 93(P2), pages 1353-1360.
    7. P. Zhou & B. Ang & D. Zhou, 2010. "Weighting and Aggregation in Composite Indicator Construction: a Multiplicative Optimization Approach," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 96(1), pages 169-181, March.
    8. Zhou, P. & Ang, B.W. & Poh, K.L., 2007. "A mathematical programming approach to constructing composite indicators," Ecological Economics, Elsevier, vol. 62(2), pages 291-297, April.
    9. Van Puyenbroeck, Tom & Rogge, Nicky, 2017. "Geometric mean quantity index numbers with Benefit-of-the-Doubt weights," European Journal of Operational Research, Elsevier, vol. 256(3), pages 1004-1014.
    10. Laurens CHERCHYE & Willem MOESEN & Nicky ROGGE & Tom VAN PUYENBROECK, 2009. "Constructing a knowledge economy composite indicator with imprecise data," Working Papers of Department of Economics, Leuven ces09.15, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    11. Mónica Domínguez-Serrano & Francisco Blancas, 2011. "A Gender Wellbeing Composite Indicator: The Best-Worst Global Evaluation Approach," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 102(3), pages 477-496, July.
    12. Susanna Sironen & Jyri Seppälä & Pekka Leskinen, 2015. "Towards more non-compensatory sustainable society index," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 17(3), pages 587-621, June.
    13. Riccardo Natoli & Segu Zuhair, 2011. "Measuring Progress: A Comparison of the GDP, HDI, GS and the RIE," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 103(1), pages 33-56, August.
    14. Miller, Harvey J. & Witlox, Frank & Tribby, Calvin P., 2013. "Developing context-sensitive livability indicators for transportation planning: a measurement framework," Journal of Transport Geography, Elsevier, vol. 26(C), pages 51-64.
    15. Rogge, Nicky, 2018. "Composite indicators as generalized benefit-of-the-doubt weighted averages," European Journal of Operational Research, Elsevier, vol. 267(1), pages 381-392.
    16. Yelin Fu & Kong Xiangtianrui & Hao Luo & Lean Yu, 2020. "Constructing Composite Indicators with Collective Choice and Interval-Valued TOPSIS: The Case of Value Measure," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(1), pages 117-135, November.
    17. Nicky Rogge & Emilia Konttinen, 2018. "Social Inclusion in the EU Since the Enlargement: Progress or Regress?," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 135(2), pages 563-584, January.
    18. Greco, Salvatore & Ishizaka, Alessio & Tasiou, Menelaos & Torrisi, Gianpiero, 2019. "Sigma-Mu efficiency analysis: A methodology for evaluating units through composite indicators," European Journal of Operational Research, Elsevier, vol. 278(3), pages 942-960.
    19. Giuseppe Coco & Raffaele Lagravinese & Giuliano Resce, 2020. "Beyond the weights: a multicriteria approach to evaluate inequality in education," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 18(4), pages 469-489, December.
    20. Zhou, Haibo & Yang, Yi & Chen, Yao & Zhu, Joe, 2018. "Data envelopment analysis application in sustainability: The origins, development and future directions," European Journal of Operational Research, Elsevier, vol. 264(1), pages 1-16.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hub:wpecon:200905. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sabine Janssens (email available below). General contact details of provider: https://edirc.repec.org/data/emhubbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.