E conomic Implications of Corporate Social Responsibility ...

ECONOMIC STUDIES DEPARTMENT OF ECONOMICS SCHOOL OF BUSINESS, ECONOMICS AND LAW UNIVERSITY OF GOTHENBURG

191 ________________________

Economic Implications of Corporate Social Responsibility

and Responsible Investments

Cristiana Manescu

ISBN 978-91-85169-53-5 ISSN 1651-4289 print ISSN 1651-4297 online

Printed in Sweden, Geson Hylte Tryck 2010

To my family, Always near, no matter how far

Contents

Acknowledgements ....................................................................................... i Abstract .................................................................................................... iii Introduction .............................................................................................. v Implicaiile economice ale responsabilitii sociale a companiilor i ale investiiilor cu considerente sociale .................................................................................... xi References............................................................................................... xiv

Paper I: Do Corporate Social Responsibility scores explain firm profitability? A case study on the publishers of the Dow Jones Sustainability Indexes

1. Introduction ........................................................................................... I-2 2. Economic Theories about the link between CSR and Firm Profitability ...................... I-4 3. Empirical evidence .................................................................................. I-6 4. Corporate Social Performance and our Firm Profitability measure ............................ I-7 4.1. Corporate social performance measures ......................................................... I-7 4.2. Firm profitability measure ........................................................................ I-8 4.3. Variables that explain firm profitability ......................................................... I-8 5. Methodological Motivation ........................................................................ I-10 5.1. Why model selection and model validation are important .................................. I-10 5.2. How to correctly estimate, validate, and compare models .................................. I-11 6. Statistical Modeling ................................................................................. I-11 6.1. Linear framework ................................................................................. I-11 6.2. Non-Linear framework ........................................................................... I-12 7. Description of the Dataset .......................................................................... I-13 8. Data analysis ......................................................................................... I-14 8.1. Linear framework ................................................................................. I-15 8.2. Non-linear framework ............................................................................ I-16 8.2.1. Contribution of non-linearity and CSR variables .......................................... I-16 8.2.2. CSR effect on ROA ............................................................................. I-17 8.2.3. Impact of non-CSR variables on ROA ....................................................... I-20 9. Conclusions ......................................................................................... I-21 Appendix A. Bagging and boosting ................................................................. I-22 Appendix B. Relative importance of input variables .............................................. I-24 Appendix C. Partial dependence function .......................................................... I-25 Appendix D. SAM CSR database .................................................................... I-25 References .............................................................................................. I-29

Paper II: Strategic Corporate Social Responsibility and Economic Performance

1. Introduction ........................................................................................... II-2 2. The CSR paradigm. Constructing an aggregate CSR measure ............................... II-5 2.1. Difficulties with current CSR measures ........................................................ II-5 2.2. How can DEA be used to construct endogenous CSR indices? ............................. II-7 2.3. DEA-constructed strategic CSR index ......................................................... II-9 3. Empirical strategy ................................................................................. II-12 4. Data ................................................................................................... II-14 5. Empirical results .................................................................................. II-16 5.1. Descriptive statistics and properties of our DEA-based CSR index ..................... II-16 5.2 Econometric analysis ........................................................................... II-19

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