scholarly journals Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors

2021 ◽  
Vol 13 (16) ◽  
pp. 9388
Author(s):  
Julian Amon ◽  
Margarethe Rammerstorfer ◽  
Karl Weinmayer
Keyword(s):  
Financial Performance ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Factor Model ◽  
Five Factor Model ◽  
Strong Support ◽  
Socially Responsible ◽  
A Value ◽  
Significant Difference ◽  
The Impact

In this article, we investigate the notion of doing well while doing good from the perspective of passive portfolio strategies. We analyze a number of asset allocation strategies based on ESG-weighting and compare their financial and ESG performance for the US and Europe. We find no significant difference in the financial performance but superior ESG performance of ESG-based strategies. It can be concluded that, compared to a naive strategy, socially responsible investors are willing to pay a small premium for the impact of the portfolio via transaction costs when rebalancing the portfolio according to their preferences for social responsibility. In addition, when comparing the ESG-based strategies to a value-weighted strategy, we observe no significant difference in ESG performance but a high degree of significance in the superior financial performance of the ESG-based strategy. We also analyze the strategies with regards to the factor loadings given by the Fama–French five-factor model and a sixth factor denoted GMB (Good minus Bad) and find significant differences across the regions and strategies. Overall, the results show strong support of ESG-based strategies being preferred by socially responsible investors but also suggest that such strategies might be preferred by conventional investors looking for a passively managed alternative compared to a value-weighted index. Furthermore, it seems that such a strategy might be a more adequate benchmark for active SRI funds.

scholarly journals Environmental Portfolios—Evidence from Screening and Passive Portfolio Management

2021 ◽  
Vol 13 (22) ◽  
pp. 12647
Author(s):  
Julian Amon ◽  
Margarethe Rammerstorfer ◽  
Karl Weinmayer
Keyword(s):  
Financial Performance ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Risk Premium ◽  
Factor Model ◽  
Five Factor Model ◽  
Selection Strategy ◽  
Environmental Criteria ◽  
Performance Reduction ◽  
Asset Selection

Environmental portfolios via screening or optimization with respect to ecological criteria are not clear-cut concepts. Often, they urge investors to reduce the asset universe, which is accompanied by diversification losses. In this article, we show that a simple passive asset selection strategy based on environmental criteria allows ecological investors to adjust their portfolios without compromising or even reducing risk-adjusted financial performance. In detail, we show that screening does not lead to a significant financial performance reduction. Moreover, we propose an asset selection based on an environmental criteria that improves the portfolios’ financial performance, and further improves its potential positive environmental impact. Our results suggest that a combination of a screening and an environmental-scoring-based asset allocation seems to be a viable option for environmentally responsible investors leveraging the advantages of both strategies. Furthermore, we construct a risk factor CMP (clean minus polluting) and document a significant factor loading when added to the Fama–French five-factor model, suggesting the existence of a risk premium based on a firm’s environmental performance.

scholarly journals Analysis of Pre and Post Merger and Acquisition Financial Performance of Banks in Pakistan

2014 ◽  
Vol 6 (4) ◽  
pp. 177-190
Author(s):  
Qamar Abbas ◽  
Rashid Saeed . ◽  
Ehsan-Ul-Hassan . ◽  
Muhammad Shahzad Ijaz .
Keyword(s):  
Financial Performance ◽  
Banking Sector ◽  
Merger And Acquisition ◽  
Business Environment ◽  
Study Data ◽  
Financial Statement ◽  
Acquisition Performance ◽  
Significant Difference ◽  
Insignificant Difference ◽  
The Impact

Merger and Acquisition is a strategy adopted by the organizations globally to meet the needs of dynamic business environment. This strategy also has much importance in Pakistan mostly in banking sector. Therefore, the objective of the study is to assess the impact of M&A on the financial performance of banks in Pakistan. The accounting and financial data of 10 banks were used in this study. Data was taken from the financial statement analysis (FSA) by State Bank of Pakistan from the period of 20062011. For the analysis of pre and post Merger and Acquisition performance 15 financial ratios were used in the study. To compare the results Paired sample t-Test was used to measure the significant difference between pre and post M&A financial performance. The overall results show that there is no significant difference in financial performance. It is concluded that there is insignificant difference between pre and post M&A performance of banks in Pakistan.

Herding and Delegated Portfolio Management: The Impact of Relative Performance Evaluation on Asset Allocation

2011 ◽  
Vol 01 (02) ◽  
pp. 265-292 ◽  
Author(s):  
Ernst Maug ◽  
Narayan Naik
Keyword(s):  
Performance Evaluation ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Relative Performance ◽  
Optimal Contracts ◽  
Fund Managers ◽  
Portfolio Managers ◽  
Delegated Portfolio Management ◽  
The Impact ◽  
Allocation Decisions

This paper investigates the effect of fund managers' performance evaluation on their asset allocation decisions. We derive optimal contracts for delegated portfolio management and show that they always contain relative performance elements. We then show that this biases fund managers to deviate from return-maximizing portfolio allocations and follow those of their benchmark (herding). In many cases, the trustees of the fund who employ the fund manager prefer such a policy. We also show that fund managers in some situations ignore their own superior information and "go with the flow" in order to reduce deviations from their benchmark. We conclude that incentive provisions for portfolio managers are an important factor in their asset allocation decisions.

The effect of business cycle, market return and momentum on financial performance of socially responsible investing mutual funds

2017 ◽  
Vol 13 (3) ◽  
pp. 513-528 ◽  
Author(s):  
Karen Paul
Keyword(s):  
Business Cycle ◽  
Financial Performance ◽  
Mutual Funds ◽  
Factor Model ◽  
Social Performance ◽  
Socially Responsible ◽  
Content Type ◽  
Responsible Investing ◽  
Market Return ◽  
Three Factor

Purpose This study examines the effect of business cycle, market return and momentum on the financial performance of socially responsible investing (SRI) mutual funds using data from two complete business cycles as defined by the National Bureau of Economic Research (NBER). Design/methodology/approach A “fund of funds” approach is used to identify the extent to which SRI financial performance is affected by the macroeconomic climate. The Fama-French Three-Factor model and the Carhart four-factor model are used to bring the results into alignment with commonly used finance methodologies. Findings The results indicate that SRI tends to preserve value during economic contraction more than it adds value during economic expansion. Market return is important during both expansion and contraction, while momentum is important only during expansion. Research limitations/implications These findings suggest that double screening, for both financial and social performance, enables portfolio managers of SRI funds to have insight into those companies that are particularly vulnerable during times of economic contraction. Practical implications These results bring added clarity to the mixed findings found by previous researchers examining the relationship between corporate social performance (CSP) and financial performance. Social implications This study reinforces the idea that the financial performance of companies with high ethical standards is comparable to the financial performance of the market as a whole during times of economic expansion and superior to the market as a whole during times of economic contraction. Originality/value Business cycle analysis, along with the Fama-French Three-Factor model and the Carhart four-factor model, brings SRI research more into the realm of conventional financial analysis than previous studies.

scholarly journals Hierarchy in the Library: Egalitarian Dynamics in Victorian Novels

2008 ◽  
Vol 6 (4) ◽  
pp. 147470490800600 ◽  
Author(s):  
John A. Johnson ◽  
Joseph Carroll ◽  
Jonathan Gottschall ◽  
Daniel Kruger
Keyword(s):  
Life History Theory ◽  
Factor Model ◽  
Five Factor Model ◽  
Human Life ◽  
Real Life ◽  
Emotional Responses ◽  
Affiliative Behavior ◽  
Online Questionnaire ◽  
Victorian Novels ◽  
The Impact

The current research investigated the psychological differences between protagonists and antagonists in literature and the impact of these differences on readers. It was hypothesized that protagonists would embody cooperative motives and behaviors that are valued by egalitarian hunter-gatherers groups, whereas antagonists would demonstrate status-seeking and dominance behaviors that are stigmatized in such groups. This hypothesis was tested with an online questionnaire listing characters from 201 canonical British novels of the longer nineteenth century. 519 respondents generated 1470 protocols on 435 characters. Respondents identified the characters as protagonists, antagonists, or minor characters, judged the characters' motives according to human life history theory, rated the characters' traits according to the five-factor model of personality, and specified their own emotional responses to the characters on categories adapted from Ekman's seven basic emotions. As expected, antagonists are motivated almost exclusively by the desire for social dominance, their personality traits correspond to this motive, and they elicit strongly negative emotional responses from readers. Protagonists are oriented to cooperative and affiliative behavior and elicit positive emotional responses from readers. Novels therefore apparently enable readers to participate vicariously in an egalitarian social dynamic like that found in hunter-gatherer societies. We infer that agonistic structure in novels simulates social behaviors that fulfill an adaptive social function and perhaps stimulates impulses toward these behaviors in real life.

scholarly journals Sexual offending hierarchies, personality attributions, and the clinical implications

2017 ◽  
Vol 19 (3) ◽  
pp. 190-197 ◽  
Author(s):  
Laura Elizabeth Challinor ◽  
Simon Duff
Keyword(s):  
Risk Assessment ◽  
Factor Model ◽  
Sexual Offending ◽  
Five Factor Model ◽  
Personality Characteristics ◽  
Individual Risk ◽  
Sexual Offence ◽  
Content Type ◽  
Perceived Severity ◽  
The Impact

Purpose The purpose of this paper is to examine sexual offending hierarchies constructed by the general public and forensic staff based on personal attitudes and perceived severity of offence. In addition, six sexual offence perpetrators are differentiated using the Five Factor Model of personality. Design/methodology/approach Vignettes represented six sexual offence perpetrators. Participants built a hierarchy based on perceived severity of offence, before attributing personality characteristics to each offender using a Likert-type scale. Findings Contact offenders were perceived as more dangerous than non-contact offenders. Rapists were perceived as the most dangerous, and voyeurs the least dangerous. Offenders were attributed significantly different personality traits. Generally, men who sexually offend are perceived to be low in agreeableness, openness and conscientiousness and high in impulsivity, manipulativeness and neuroticism. Practical implications The research highlights the importance of individual risk assessment in determining best practice treatment for men who have sexually offended (MSO). The Five Factor Model has been proven to be a useful tool to explore the impact staff attitudes have on risk assessment and treatment. Low-risk and high-risk MSO would benefit from divergent treatment. Consideration should be given to personality characteristics in addition to level of risk. Originality/value The research determines a hierarchy of men who sexually offend, and goes beyond the “label” of sexual offenders to explore how personality impacts on formation of attitudes.

scholarly journals EXPLICATING THE ROLE OF TRUST IN KNOWLEDGE SHARING: A STRUCTURAL EQUATION MODEL TEST

2017 ◽  
Vol 18 (4) ◽  
pp. 758-778 ◽  
Author(s):  
Rasa SMALIUKIENĖ ◽  
Svajonė BEKEŠIENĖ ◽  
Eugenijus CHLIVICKAS ◽  
Marius MAGYLA
Keyword(s):  
Organizational Culture ◽  
Knowledge Management ◽  
Knowledge Sharing ◽  
Structural Equation ◽  
Factor Model ◽  
Five Factor Model ◽  
Large Body ◽  
Equation Model ◽  
Impact Of Technology ◽  
The Impact

Although the large body of literature suggests that trust is a prerequisite for knowledge sharing, the understanding of mediational pathways remains limited. The paper fills the gap by combining two separate streams in knowledge sharing, where the first reflects the paradigm of the organizational behaviour theory and highlights the impact of organizational culture and employees’ trust; where the second one discloses the impact of technology deployment in knowledge sharing. Building on the premises that interdependence between variables that affect knowledge sharing raises form organizational culture of trust and available technologies, we examine the structural origins of knowledge sharing. As a method structural equation modelling test was used to analyse the data. Hypothesised five-factor model was tested through two stages using AMOS software. The findings carry theoretical implications for the knowledge management body of knowledge since they extended the research on knowledge sharing by integrating organisational culture and technological solutions into one complex system. Form practical perspective, the relationship among four predictors – trust in leadership, trust in co-workers, trust in technologies for knowledge management, and fear of losing one’s value – provide a proof on how organizations knowledge sharing is composed and how it could be developed.

scholarly journals The Relationship between Paranormal Belief and the hexaco Domains of Personality

2016 ◽  
Vol 29 (2) ◽  
pp. 212-238
Author(s):  
Emyr Williams ◽  
Ben L.H. Roberts
Keyword(s):  
Undergraduate Students ◽  
Factor Model ◽  
Five Factor Model ◽  
Strong Support ◽  
Personality Factors ◽  
Alternative Measure ◽  
Correlational Design ◽  
Paranormal Belief ◽  
Belief Scale ◽  
The Relationship

Thehexaco-pi-r(Ashton & Lee, 2007) has been presented as an alternative measure of the Five Factor Model, with the inclusion of the dimension of honesty/humility. This new measure of personality was utilised alongside the Revised Paranormal Belief Scale (rpbs) in a correlational design among 137 undergraduate students in Wales. Multiple regression analysis demonstrated that superstition was significantly negatively correlated with conscientiousness and openness to experience, while precognition was significantly negatively correlated with honesty/humility. No other personality factors were statistically significant predictors of any dimensions of paranormal belief. While these results do not provide strong support for previous findings, it is concluded that the inclusion of the honesty/humility dimension renders thehexaco-pi-ra useful measure for considering relationships between personality and paranormal belief.

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