The financial performance of socially responsible investments: insights from the intertemporal CAPM

© 2015 Springer Science+Business Media Dordrecht This study formulates a two-factor empirical model under the intertemporal CAPM framework to evaluate the cross-sectional implications of socially responsible investments in the US equity market. Our results show that socially responsible investments have no asset pricing impact on the US market. We argue that this ‘no financial impact’ finding indicates that investors will not be disadvantaged financially by investing in socially responsible funds or corporations.

Do socially responsible fund managers really invest differently?

To date, research into socially responsible investment (SRI), and in particular the socially responsible investment funds industry, has focused on whether investing in SRI assets has any differential impact on investor returns. Prior findings generally suggest that, on a risk-adjusted basis, there is no difference in performance between SRI and conventional funds. This result has led to questions about whether SRI funds are really any different from conventional funds. This paper examines whether the portfolio allocation across industry sectors and the stock-picking ability of SRI managers are different when compared to conventional fund managers. The study finds that SRI funds exhibit different industry betas consistent with different portfolio positions, but that these differences vary from year to year. It is also found that there is little difference in stock-picking ability between the two groups of fund managers.

On the comparative performance of socially responsible and Islamic mutual funds

This is the first study to provide comprehensive analyses of the relative performance of both socially responsible investment (SRI) and Islamic mutual funds. The analysis proceeds in two stages. In the first, the performance of the two categories of funds is measured using partial frontier methods. In the second stage, we use quantile regression techniques.By combining two variants of the Free Disposal Hull (FDH) methods (order-m and order-?) in the first stage of analysis and quantile regression in the second stage, we provide detailed analyses of the impact of different covariates across methods and across different quantiles. In spite of the differences in the screening criteria and portfolio management of both types of funds, variation in the performance is only found for some of the quantiles of the conditional distribution of mutual fund performance. We established that for the most inefficient funds the superior performance of SRI funds is significant. In contrast, for the best mutual funds this evidence vanished and even Islamic funds perform better than SRI.These results show the benefits of performing the analysis using quantile regression.

On the comparative performance of socially responsible and Islamic mutual funds

This is the first study to provide comprehensive analyses of the relative performance of both socially responsible investment (SRI) and Islamic mutual funds. The analysis proceeds in two stages. In the first, the performance of the two categories of funds is measured using partial frontier methods. In the second stage, we use quantile regression techniques. By combining two variants of the Free Disposal Hull (FDH) methods (order- m and order- α) in the first stage of analysis and quantile regression in the second stage, we provide detailed analyses of the impact of different covariates across methods and across different quantiles. In spite of the differences in the screening criteria and portfolio management of both types of funds, variation in the performance is only found for some of the quantiles of the conditional distribution of mutual fund performance. We established that for the most inefficient funds the superior performance of SRI funds is significant. In contrast, for the best mutual funds this evidence vanished and even Islamic funds perform better than SRI. These results show the benefits of performing the analysis using quantile regression. © 2013 Elsevier B.V.

Do ethics imply persistence? The case of Islamic and socially responsible funds

We analyse the performance persistence of Islamic and Socially Responsible Investment (SRI) mutual funds. We adopt a multi-stage strategy in which, in the first stage, partial frontiers’ approaches are considered to measure the performance of the different funds in the sample. In the second stage, the results yielded by the partial frontiers are plugged into different investment strategies based on a recursive estimation methodology whose persistence performance is evaluated in the third stage of the analysis. Results indicate that, for both types of funds, performance persistence actually exists, but only for the worst and, most notably, best funds. This result is robust not only across methods (and different choices of tuning parameters within each method) but also across both SRI and Islamic funds—although in the case of the latter persistence was stronger for the best funds. The persistence of SRI and Islamic funds represents an important result for investors and the market, since it provides information on both which funds to invest in and which funds to avoid. Last but not least, the use of the aforementioned techniques in the context of mutual funds could also be of interest for the non-conclusive literature.

The effect of the business cycle on the performance of socially responsible equity mutual funds

The current study applies a two-state switching regression model to examine the behavior of a hypothetical portfolio of ten socially responsible (SRI) equity mutual funds during the expansion and contraction phases of US business cycles between April 1991 and June 2009, based on the Carhart four-factor model, using monthly data. The model identified a business cycle effect on the performance of SRI equity mutual funds. Fund returns were less volatile during expansion/peaks than during contraction/troughs, as indicated by the standard deviation of returns. During contraction/troughs, fund excess returns were explained by the differential in returns between small and large companies, the difference between the returns on stocks trading at high and low Book-to-Market Value, the market excess return over the risk-free rate, and fund objective. During contraction/troughs, smaller companies offered higher returns than larger companies (ci = 0.26, p = 0.01), undervalued stocks out-performed high growth stocks (h i = 0.39, p <0.0001), and funds with growth objectives out-performed funds with other objectives (oi = 0.01, p = 0.02). The hypothetical SRI portfolio was less risky than the market (bi = 0.74, p <0.0001). During expansion/peaks, fund excess returns were explained by the market excess return over the risk-free rate, and fund objective. Funds with other objectives, such as balanced funds and income funds out-performed funds with growth objectives (oi = −0.01, p = 0.03). The hypothetical SRI portfolio exhibited similar risk as the market (bi = 0.93, p <0.0001). The SRI investor adds a third criterion to the risk and return trade-off of traditional portfolio theory. This constraint is social performance. The research suggests that managers of SRI equity mutual funds may diminish value by using social and ethical criteria to select stocks, but add value by superior stock selection. The result is that the performance of SRI mutual funds is very similar to that of the market. There was no difference in the value added among secular SRI, religious SRI, and vice screens.

When a local competitor (slightly) shakes up the global giant: a case on the soft drink market

As marcas globais mantiveram muita atenção no campo do marketing (Kotler, 1997; Holt, Quelch, e Taylor, 2004; Özsomer e Altaras, 2008), enquanto as marcas locais foram subestimadas (Ger, 1999; Schuiling e Kapferer, 2004). No entanto, o debate adaptação contra padronização foi amplamente discutido. Centra-se na definição de como uma empresa internacional deve construir a sua estratégia: ao padronizar sua estratégia de marketing ou, adaptando para melhor atender a cultura e às necessidades locais (Levitt, 1983; Subhash, 1989; Herbig, 1998; Holt, 2004; Melewar e Vemmervik , 2004; Heerden e Barter, 2008). No entanto, este assunto não foi discutido no contexto específico do consumo alternativo oferecido por concorrentes locais específicos. Hoje em dia, um aumento na oferta de produtos alternativos é observado. O consumo socialmente responsável está crescendo (Sen e Bhattacharya, 2001; Holt, 2002; Loureiro, 2002; François-Lecompte e Valette-Florence, 2006). O mercado dos refrigerantes de cola é de interesse particular. Colas alternativas são refrigerantes de cola que surgiram durante a última década em algumas regiões ou zonas específicas do mundo. Estas colas claramente posicionam-se como uma alternativa ao refrigerante global Coca-Cola. A alternativa não é baseada no preço mas nas características especiais dos produtos que constituem uma proposição de valor específica, diferente da Coca-Cola. Na França, desde uma década, o número de colas regionais aumentou, sendo mais de quinze hoje. O refregirante Breizh Cola foi lançado em 2002 e atinge quase uma quota de mercado de 10% na região Bretanha hoje. Em 2009, a Coca-Cola Entreprise iniciou uma campanha de marketing específica, na Bretanha, baseada em recursos visuais e parcerias regionais. Este caso de adaptação em um contexto de concorrência local específico é explorado nesta dissertação que incide sobre as razões da preferência para Breizh Cola, de um lado, e sobre as acções empreendidas pela Coca-Cola na Bretanha, do outro lado. Este estudo mostra que a Coca-Cola anda nos passos de Breizh Cola, a fim de melhor atender às expectativas local.

Questionable antibiotic practices: Obtaining reliable estimates of consumer behaviours

Background: Significant recent attention has focussed on the role of antibiotic prescribing and usage with the aim of combating antibiotic resistance, a growing worldwide health concern. A significant gap in this literature concerns the consumption patterns and beliefs of consumers about antibiotics and their effects. We seek to remedy this gap by exploring a range of questionable antibiotic practices and obtaining reliable estimates of their prevalence as well as their normative status. Methods: We conducted an online survey of over 100 consumers. We used a new incentive compatible technique, the Bayesian Truth Serum (BTS), to elicit more truthful responding than standard self-report measures. We asked participants to indicate whether they engaged in a number of practices including whether they had: taken antibiotics when they are out of date and stored antibiotics at home for later use. We then sought estimates of the percentage of other patients (like them) who had engaged in each behaviour, as well as asking them among those patients who had, the percentage that would admit to having done so. We also asked about social acceptability and responsibility of the practices. Results: These results will show for each type of questionable practice how prevalent it is and whether consumers view it as both socially acceptable and socially responsible. We will gain the relative prevalence of each of these practices. Conclusion: These findings are of paramount importance in gaining a better understanding of consumers’ antibiotic consumption patterns. These will be vital for better targeting educational campaigns to lower inappropriate antibiotic consumption.

Customer perceptions of responsible retailing in Australia

For retailers, the adoption of Corporate Social Responsibility (CSR) can act as a source of differentiation and affect reputation, customer loyalty, and competitive advantage. Despite these potential benefits, there has been limited empirical investigation of CSR within the retailing literature. This paper proposes that for retailers to implement CSR to strategic benefit, they must understand how their customers perceive the concept. This paper utilises Carroll’s (1979, 1991) four-part framework of corporate behaviours to operationalise the concept of CSR. To build on Carroll’s (1979, 1991) framework, respondents are asked to identify specific behaviours that constitute socially responsible behaviour for a retail supermarket. Results support the four corporate behaviours proposed by Carroll, but do not support the rank order of economic corporate behaviours being first and foremost. The findings suggest the inclusion of ‘supply chain management’ and ‘provision of customer value’ as additional factors for retailer CSR. From these findings, an initial model of retailer CSR is proposed for further investigation. For academics, such a model provides greater clarity in understanding CSR, allowing future development across alternative retail settings. The model provides retailers with a tool for implementing CSR for strategic benefit, by way of meeting customer CSR demands.

Corporate social responsibility and sport event sponsorship

Demonstrating socially responsible behaviour has become increasingly important for corporations. Using the Psychological Continuum Model (PCM) as its theoretical framework, this paper examines the meditational role of corporate social responsibility (CSR) on the relationship between sport participation motivation, event attachment and purchase intent of a sport event’s sponsors’ products. A questionnaire was distributed to a sample of sport event participants (N=689) to measure sport participation motivation (recreation and charity), attachment to the event, CSR, and purchase intent of sponsors’ products. Results reveal that CSR fully mediates the link between purchase intent and sport participation motivation and partially mediates the influence of attachment on purchase intent. The authors propose that corporations strategically align with sport events in which participants are attached to allow for CSR and the meaning elicited by the event to work jointly.

Is providing micro-credit social responsible?

Micro-finance, which includes micro-credit as one it its services, has become big business with a range of models – from those that operate on a strictly business basis to those who come from a philanthropic base, through Non Government organisations (NGOs). Success is often measured by the numbers involved and the repayment rates – which are very high, largely because of the lending models used. The purpose of this paper is to identify whether the means used to deliver micro-credit services to the poor are socially responsible. This paper will explore the range of models currently used and propose a model that addresses some of the social responsibility issues that appear to plague delivery. The model is being developed in Beira, the second largest city in Mozambique. Mozambique exhibits many of the characteristics found in other African countries, so the model, if successful, may have implications for other poor African nations.

Converse consumption : the converse blank canvas project

Research background For almost 80 years the Chuck Taylor (or Chuck T's) All Star basketball shoe has been an iconic item of fashion apparel. The Chuck T's were first designed in 1921 by Converse, an American shoe company and over the decades they became a popular item not purely for sports and athletic purposes but rather evolved into the shoe of choice for many subcultural groups as a fashion item. In some circles the Chuck Taylor is still seen as the "coolest" sneaker of all time - one which will never go out of fashion regardless of changing trends. With over 600 millions pairs sold all over the world since its release, the Converse shoe is representative of not only a fashion culture - but also of a consumption culture - that evolved as the driving force behind the massive growth of the Western economic system during the 20th Century. Artisan Gallery (Brisbane), in conjunction with the exhibition Reboot: Function, Fashion and the Sneaker, a history of the sneaker, selected 20 designers to customise and re-design the classic Converse Chuck Taylor All Stars shoe and in doing so highlighted the diversity of forms possible for creative outcomes. As Artisan Gallery Curator Kirsten Fitzpatrick states “We were expecting people to draw and paint on them. Instead, we had shoes... mounted as trophies.." referring to the presentation of "Converse Consumption". The exhibition ran from 21 June – 16 August 2012: Research question The Chuck T’s is one of many overwhelmingly commercially successful designs of the last century. Nowadays we are faced with the significant problems of overconsumption and the stress this causes on the natural ecosystem; and on people as a result. As an active member of the industrial design fraternity – a discipline that sits at the core of this problem - how can I use this opportunity to comment on the significant issue of consumption? An effective way to do this was to associate consumption of goods with consumption of sugar. There are significant similarities between our ceaseless desires to consume products and our fervent need to consume indulgent sweet foods. Artisan Statement Delicious, scrumptious, delectable... your pupils dilate, your blood pressure spikes, your liver goes into overdrive. Immediately, your brain cuts off the adenosine receptors, preventing drowsiness. Your body increases dopamine production, in-turn stimulating the pleasure receptors in your brain. Your body absorbs all the sweetness and turns it into fat – while all the nutrients that you actually require are starting to be destroyed, about to be expelled. And this is only after one bite! After some time though, your body comes crashing back to earth. You become irritable and begin to feel sluggish. Your eyelids seem heavy while your breathing pattern changes. Your body has consumed all the energy and destroyed all available nutrients. You literally begin to shut down. These are the physiological effects of sugar consumption. A perfect analogy for our modern day consumer driven world. Enjoy your dessert! Research contribution “Converse Consumption” contributes to the conversation regarding over-consumption by compelling people to reflect on their consumption behaviour through the reconceptualising of the deconstructed Chuck T’s in an attractive edible form. By doing so the viewer has to deal with the desire to consume the indulgent looking dessert with the contradictory fact that it is comprised of a pair of shoes. The fact that the shoes are Chuck T’s make the effect even more powerful due to their iconic status. These clashing motivations are what make “Converse Consumption” a bizarre yet memorable experience. Significance The exhibition was viewed by an excess of 1000 people and generated exceptional media coverage and public exposure/impact. As Artisan Gallery Curator Kirsten Fitzpatrick states “20 of Brisbane's best designers were given the opportunity to customise their own Converse Sneakers, with The Converse Blank Canvas Project.” And to be selected in this category demonstrates the calibre of importance for design prominence.

Consumers' perceptions and attitudes towards firms' green marketing initiatives: How do they influence green consumption?

This thesis examines green marketing and green consumption behaviours addressing limited understandings about how consumers interpret their green consumption behaviour in their everyday lives; what motivates people to purchase green products, and what barriers exist to this behaviour. Findings reveal that enhancing green consumption through green marketing depends on consumers' enthusiasm to engage in green practices and green behavioural influences. The research supports the need for qualitative research to provide rich insights into relationships between consumer behaviour, green marketing and green consumption and builds a stronger knowledge foundation by introducing social practice theory into the marketing discipline.

Effect of Selfish Node Behavior on Efficient Topology Design

The problem of topology control is to assign per-node transmission power such that the resulting topology is energy efficient and satisfies certain global properties such as connectivity. The conventional approach to achieve these objectives is based on the fundamental assumption that nodes are socially responsible. We examine the following question: if nodes behave in a selfish manner, how does it impact the overall connectivity and energy consumption in the resulting topologies? We pose the above problem as a noncooperative game and use game-theoretic analysis to address it. We study Nash equilibrium properties of the topology control game and evaluate the efficiency of the induced topology when nodes employ a greedy best response algorithm. We show that even when the nodes have complete information about the network, the steady-state topologies are suboptimal. We propose a modified algorithm based on a better response dynamic and show that this algorithm is guaranteed to converge to energy-efficient and connected topologies. Moreover, the node transmit power levels are more evenly distributed, and the network performance is comparable to that obtained from centralized algorithms.