The Wages of Social Responsibility

Statman, Meir; Glushkov, Denys

doi:10.2139/ssrn.1372848

Cited by 51 publications

(57 citation statements)

References 30 publications

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“…The coefficient of social (SOC) is positive and insignificant; this finding is similar with Filbeck, Gorman, & Zhao (2009). For the governance aspect, Statman & Glushkov (2009) and Core, Guay, & Rusticus (2006) find that this aspect does not affect firm performance. Meanwhile, this study shows the coefficients of governance (GOV) are negative but only significant in the Tobin regression.…”

Section: Truncated Regression Modelsupporting

confidence: 57%

The Effects of Environmental, Social and Governance on the Corporate Performance of Malaysian Government-Linked Companies

et al. 2017

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This study examines the impacts of ESG on the corporate performance government-linked companies (GLCs) in Malaysia. For the period 2006-2012, ESG disclosure data were extracted from the Sustainalytics ESG performance reports, while financial data were obtained from the Bloomberg database. Data development analysis (DEA) was used to estimate efficiency in the first stage; a regression analysis was performed to test the relationship between ESG and efficiency in the second stage. The empirical results of this study show that GLCs focused more on governance disclosures, followed by social and environmental aspects. Moreover, governance will improve firm efficiency, but social and environmental factors have no similar effect. In conclusion, this study provides insight on the limited literature on ESG and informs the relevant stakeholders on the important ESG components for financial and investment decisions.

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Section: Truncated Regression Modelsupporting

confidence: 57%

The Effects of Environmental, Social and Governance on the Corporate Performance of Malaysian Government-Linked Companies

et al. 2017

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“…There are now a number of studies on SRI which have investigated the following aspects, primarily through the lens of mutual funds, but also through regional SRI indexes for not only the US, but also Europe and other major developed economies. (a) Performance (i.e., risk-return characteristics relative to conventional indexes), using mutual funds and broad market indexes [11,12, and at firm-level [3,34,[39][40][41][42][43][44][45]. These studies, however, fail to provide clear-cut empirical evidence on whether SRI does yield higher returns after adjusting for risks.…”

Section: Literature Reviewmentioning

confidence: 99%

Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations

2017

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This paper explores the potential diversification benefits of socially responsible investments for conventional stock portfolios by examining the risk spillovers and dynamic correlations between conventional and sustainability stock indexes from a number of regions. We observe significant unidirectional volatility transmissions from conventional to sustainable equities, suggesting that the criteria applied for socially responsible investments do not necessarily shield these securities from common market shocks. While significant dynamic correlations are observed between sustainable and conventional stocks, particularly in Europe, the analysis of both in-and out-of-sample dynamic portfolios suggests that supplementing conventional stock portfolios with sustainable counterparts improves the risk/return profile of stock portfolios in all regions. The findings overall suggest that sustainable investments can indeed provide diversification gains for conventional stock portfolios globally.

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“…While there are some studies that report upon a superior nancial performance of certain SRI criteria (Moskowitz, 1972;Luck and Pilotte, 1993;Derwall et al, 2005;Edmans, 2011), others nd empirical evidence of a nancial underperformance (Brammer et al, 2006;Renneboog et al, 2008a;Hong and Kacperczyk, 2009;Mǎnescu, 2011). There is also a bulk of studies which sees no signi cant differences between the nancial performance of SRI and conventional investments (Hamilton et al, 1993;Kurtz and DiBartolomeo, 1996;Guerard, 1997;Bauer et al, 2005;Schröder, 2007;Statman and Glushkov, 2008). For more details on the nancial performance of SRI, we refer to the excellent review articles of Renneboog et al (2008b), Margolis et al (2009), andCapelle-Blancard andMonjon (2012).…”

Section: Introductionmentioning

confidence: 99%

Are they any good at all? A financial and ethical analysis of socially responsible mutual funds

Utz¹,

Wimmer

2014

J Asset Manag

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In this article, we examine a broad sample of socially responsible (SR) and conventional mutual funds with respect to nancial and ethical parameters. We cannot document profound differences in their nancial performance. With regard to ethical performance, we indeed nd that an investor who seeks to avoid the least ethical of all available funds can do so by purchasing SR mutual funds. Still, we also demonstrate that SR mutual funds are not holding considerably more ethical assets on average. Moreover, the label 'SR mutual fund' does not in any way guarantee the exclusion of clearly unethical rms, which contrasts to the common perception of screening out poor assets.

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The Wages of Social Responsibility

Cited by 51 publications

References 30 publications

The Effects of Environmental, Social and Governance on the Corporate Performance of Malaysian Government-Linked Companies

The Effects of Environmental, Social and Governance on the Corporate Performance of Malaysian Government-Linked Companies

Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations

Are they any good at all? A financial and ethical analysis of socially responsible mutual funds

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