Robust CSR Investment Screening
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.
|Date of creation:||Feb 2009|
|Date of revision:|
|Contact details of provider:|| Web page: http://research.hubrussel.be|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- 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.
- 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.
- Giuseppe Munda, 2005. "“Measuring Sustainability”: A Multi-Criterion Framework," Environment, Development and Sustainability, Springer, vol. 7(1), pages 117-134, 01.
- Angela Montanari, 2004. "Linear Discriminant Analysis and Transvariation," Journal of Classification, Springer, vol. 21(1), pages 71-88, March.
- 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.
- 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.
- 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 University Rotterdam.
- 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.
- Krajnc, Damjan & Glavic, Peter, 2005. "How to compare companies on relevant dimensions of sustainability," Ecological Economics, Elsevier, vol. 55(4), pages 551-563, December.
- 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.
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:hub:wpecon:200905. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sabine Janssens)
If references are entirely missing, you can add them using this form.