Browse > Article
http://dx.doi.org/10.5351/CSAM.2013.20.2.115

Portfolio Selection for Socially Responsible Investment via Nonparametric Frontier Models  

Jeong, Seok-Oh (Department of Statistics, Hankuk University of Foreign Studies)
Hoss, Andrew (Department of Statistics, University of Georgia)
Park, Cheolwoo (Department of Statistics, University of Georgia)
Kang, Kee-Hoon (Department of Statistics, Hankuk University of Foreign Studies)
Ryu, Youngjae (Sustinvest Co.)
Publication Information
Communications for Statistical Applications and Methods / v.20, no.2, 2013 , pp. 115-127 More about this Journal
Abstract
This paper provides an effective stock portfolio screening tool for socially responsible investment (SRI) based upon corporate social responsibility (CSR) and financial performance. The proposed approach utilizes nonparametric frontier models. Data envelopment analysis (DEA) has been used to build SRI portfolios in a few previous works; however, we show that free disposal hull (FDH), a similar model that does not assume the convexity of the technology, yields superior results when applied to a stock universe of 253 Korean companies. Over a four-year time span (from 2006 to 2009) the portfolios selected by the proposed method consistently outperform those selected by DEA as well as the benchmark.
Keywords
Corporate social responsibility; data envelopment analysis; efficiency; ESGF-efficiency; free disposal hull;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
연도 인용수 순위
1 Banker, R. D., Charnes, R. F. and Cooper, W. W. (1984). Some models for estimating technical and scale inefficiencies in data envelopment analysis, Management Science, 30, 1078-1092.   DOI   ScienceOn
2 Belu, C. (2009). Ranking corporations based on sustainable and socially responsible practices. A data envelopment analysis (DEA) approach, Sustainable Development, 17, 257-268.   DOI   ScienceOn
3 Charnes, A., Cooper, W. W. and Rhodes, E. (1978). Measuring efficiency of decision making units, European Journal of Operational Research, 2, 429-444.   DOI   ScienceOn
4 Chen, K. H. and Metcalf, R. W. (1980). The relationship between pollution control record and financial indicators revisited, Accounting Review, 55, 168-177.
5 Coelli, T. J., Rao, D. S. P., O'Donnell, C. J. and Battese, G. E. (2005). An Introduction to Efficiency and Productivity Analysis, 2nd Edition, Springer.
6 Cortez, M., Silva, F. and Areal, N. (2009). The performance of European socially responsible funds, Journal of Business Ethics, 87, 573-588.   DOI
7 Deprins, D., Simar, L. and Tulkens, H. (1984). Measuring labor inefficiency in post offices, in Marchand, M., Pestieau, P. and Tulkens, H. (eds.), The Performance of Public Enterprizes: Concepts and Measurements, 243-267.
8 Edmans, A. (2010). Does the stock market fully value intangibles- Employee satisfaction and equity prices, Journal of Financial Economics, Forthcoming.
9 Einolf, K.W. (2007). Building a socially responsible equity portfolio using data envelopment analysis, Philosophica, 80, 71-103.
10 Galema, R., Plantinga, A. and Scholtens, B. (2008). The stocks at stake: return and risk in socially responsible investment, Journal of Banking and Finance, 32, 2646-2654.   DOI   ScienceOn
11 Gijbels, I., Mammen, E., Park, B. U. and Simar, L. (1999). On estimation of monotone and concave frontier functions, Journal of the American Statistical Association, 94, 220-228.   DOI   ScienceOn
12 Hamilton, J. T. (1995). Pollution as news: Media and stock market reactions to the toxics release inventory data, Journal of Environmental Economics and Management, 28, 98-113.   DOI   ScienceOn
13 Jeong, S.-O. (2004). Asymptotic distribution of DEA efficiency scores, Journal of the Korean Statistical Society, 33, 449-458.   과학기술학회마을
14 Mahapatra, S. (1984). Investor reaction to a corporate social accounting, Journal of Business Finance and Accounting, 11, 29-40.   DOI
15 Jeong, S.-O. and Park, B. U. (2006). Large sample approximation of the distribution for convex-hull estimators of boundaries, Scandinavian Journal of Statistics, 33, 139-151.   DOI   ScienceOn
16 Kneip, A., Park, B. U. and Simar, L. (1998). A Note on the convergence of nonparametric DEA estimators for production efficiency scores, Econometric Theory, 14 783-793.
17 Kneip, A., Simar, L. and Wilson, P. W. (2008). Asymptotics and consistent bootstraps for DEA estimators in non-parametric frontier models, Econometric Theory, 24, 1663-1697.   DOI   ScienceOn
18 Mercer (2009). Shedding light on responsible investment: approaches, returns, and impacts. (http://www.mercer.com/ri)
19 Park, B. U., Jeong, S.-O. and Simar, L. (2010). Asymptotic distribution of conical-hull estimators of directional edges, Annals of Statistics 38, 1320-1340.   DOI
20 Spicer, B. H. (1978). Investors, corporate social performance and information disclosure: An empirical study, Accounting Review, 53, 94-111.
21 Wagner, M. (2001). A Review of Empirical Studies Concerning the Relation between Environmental and Economic Performance: What Does the Evidence Tell Us-, Center for Sustainability Management: Luneburg.
22 World Business Council for Sustainable Development (2000). Eco-efficiency: Creating more value with less impact.
23 Yamashita, M., Swapan, S. and Roberts, M. C. (1999). The rewards for environmental conscientiousness in the U. S. capital markets, Journal of Financial and Strategic Decisions, 12, 73-82.