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.) |
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. |