Social responsibility investment(SRI)has attracted worldwide attention for its potential in promoting investment sustainability and stability.We developed a three-step framework by incorporating environmental,social,a...Social responsibility investment(SRI)has attracted worldwide attention for its potential in promoting investment sustainability and stability.We developed a three-step framework by incorporating environmental,social,and governance(ESG)performance into portfolio optimization.In comparison to studies using weighted ESG rating scores,we constructed a data envelopment analysis(DEA)model with quadratic and cubic terms to enhance the evidence of two or more aspects,as well as the interaction between the environmental,social,and governance attributes.We then combined the ESG scores with financial indicators to select assets based on a cross-efficiency analysis.The portfolio optimization model incorporating ESG scores with selected assets was constructed to obtain a social responsibility investment strategy.To illustrate the effectiveness of the proposed approach,we applied it in the United States industrial stock market from 2005 to 2017.The empirical results show that the obtained SRI portfolio may be superior to traditional investment strategies in many aspects and may simultaneously achieve the consistency of investment and social values.展开更多
This study empirically examines the relationship between a firm＇s fulfilling of corporate social responsibility （CSR） and performance. We developed a CSR index （CSRI） to quantitatively evaluate CSR, which consist...This study empirically examines the relationship between a firm＇s fulfilling of corporate social responsibility （CSR） and performance. We developed a CSR index （CSRI） to quantitatively evaluate CSR, which consists of four dimensions measuring a firm＇s contributions to the economy, society, environment, and corporate governance, respectively. With data from publicly-listed firms in Taiwan during the period of 2004--2009, results of quantile regression show that fulfilling CSR has a significantly positive impact on firm performance, and that the impact in a more profitable firm tends to be significantly greater than that in a less profitable firm. Specifically, when a firm is more profitable, its management would be more willing to implement CSR. The implication is that a firm could pursue better performance while serving as a good corporate citizen.展开更多
基金supported by the National Natural Science Foundation of China(Nos.71771082,71801091)Hunan Provincial Natural Science Foundation of China(Nos.2017JJ1012 and 2020JJ5377)
文摘Social responsibility investment(SRI)has attracted worldwide attention for its potential in promoting investment sustainability and stability.We developed a three-step framework by incorporating environmental,social,and governance(ESG)performance into portfolio optimization.In comparison to studies using weighted ESG rating scores,we constructed a data envelopment analysis(DEA)model with quadratic and cubic terms to enhance the evidence of two or more aspects,as well as the interaction between the environmental,social,and governance attributes.We then combined the ESG scores with financial indicators to select assets based on a cross-efficiency analysis.The portfolio optimization model incorporating ESG scores with selected assets was constructed to obtain a social responsibility investment strategy.To illustrate the effectiveness of the proposed approach,we applied it in the United States industrial stock market from 2005 to 2017.The empirical results show that the obtained SRI portfolio may be superior to traditional investment strategies in many aspects and may simultaneously achieve the consistency of investment and social values.
文摘This study empirically examines the relationship between a firm＇s fulfilling of corporate social responsibility （CSR） and performance. We developed a CSR index （CSRI） to quantitatively evaluate CSR, which consists of four dimensions measuring a firm＇s contributions to the economy, society, environment, and corporate governance, respectively. With data from publicly-listed firms in Taiwan during the period of 2004--2009, results of quantile regression show that fulfilling CSR has a significantly positive impact on firm performance, and that the impact in a more profitable firm tends to be significantly greater than that in a less profitable firm. Specifically, when a firm is more profitable, its management would be more willing to implement CSR. The implication is that a firm could pursue better performance while serving as a good corporate citizen.
