Social and environmental ratings provided by social rating agencies are multidimensional. Using the six sub-ratings provided by the Vigeo rating agency, we perform a principal component analysis and we highlight three main socially responsible (SR) dimensions related to (1) the direct non-financial stakeholders (employee, customers and suppliers), (2) the indirect stakeholders (environment and society) and (3) the financial stakeholders (stockholders and debt holders).We explore the link between stock returns and these three SR dimensions. Our main result is that, for each SR dimension, investors ask for an additional risk premium when they decide to hold non SR stocks. The cost of equity is thus lower for socially responsible firms. The average premium over the period 2003-2010 is larger for the components "direct non-financial stakeholders" and "financial stakeholders" than for the component "indirect stakeholders". For this last component, the premium obviously exists only since the end of 2008. Environment and community involvement have only recently become a more important risk factor in investors' minds. About the former risk premia ("direct non-financial stakeholders" and "financial stakeholders"), investors appear to penalize firms with the worst behavior in respect to their direct non-financial stakeholders and reward firms with good corporate governance practices
Social and environmental ratings provided by social rating agencies are multidimensional. Using the six sub-ratings provided by the Vigeo rating agency, we perform a principal component analysis and we highlight three main socially responsible (SR) dimensions related to (1) the direct non-financial stakeholders (employee, customers and suppliers), (2) the indirect stakeholders (environment and society) and (3) the financial stakeholders (stockholders and debt holders).We explore the link between stock returns and these three SR dimensions. Our main result is that, for each SR dimension, investors ask for an additional risk premium when they decide to hold non SR stocks. The cost of equity is thus lower for socially responsible firms. The average premium over the period 2003-2010 is larger for the components "direct non-financial stakeholders" and "financial stakeholders" than for the component "indirect stakeholders". For this last component, the premium obviously exists only since the end of 2008. Environment and community involvement have only recently become a more important risk factor in investors' minds. About the former risk premia ("direct non-financial stakeholders" and "financial stakeholders"), investors appear to penalize firms with the worst behavior in respect to their direct non-financial stakeholders and reward firms with good corporate governance practices
L'investissement socialement responsable connaît une croissance rapide ces dernières années, ceci traduisant une préoccupation réelle des investisseurs. Cette étude propose une modélisation théorique formalisant les implications de ce goût nouveau pour l'investissement socialement responsable sur le prix des actions. Nous retraçons les différentes phases d'introduction de l'éthique sur les marchés financiers. Nous montrons, en particulier, que l'émergence d'une notation éthique entraîne une hausse du prix des titres éthiques, et donc une diminution du coût du capital de ces entreprises. Cet avantage peut inciter des entreprises à s'adapter à la demande des investisseurs en adoptant un comportement éthique, et ce jusqu'à ce que la baisse du coût du capital induite s'équilibre avec le coût supporté pour investir dans des programmes de mise en conformité aux normes sociales.
Le comportement socialement responsable (SR) d’une entreprise est conditionné par le contexte institutionnel du pays, qui résulte de la culture nationale et se reflète partiellement dans le système légal. Notre étude est menée sur 23 pays et confronte notes sociales de l’agence Vigeo Eiris avec mesures du comportement culturel de Hofstede. Les entreprises des pays individualistes et féminins sont plus soucieuses de leurs parties prenantes directes non financières; celles des pays à grande distance hiérarchique et fort contrôle de l’incertitude se préoccupent davantage de leur engagement sociétal; les pays tolérants face à l’incertitude exigent une bonne gouvernance financière.
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