The Opportunity Cost of Negative Screening in Socially Responsible Investing

The Opportunity Cost of Negative Screening in Socially Responsible Investing
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社会责任投资中负面筛选的机会成本

DOI：
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
Bert Scholtens
Bert Scholtens
中科院分区：
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文献类型：
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作者：
Pieter Jan Trinks;Bert Scholtens

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本文研究了负面筛选对投资领域以及财务绩效的影响。我们提出了一种新的识别过程，因此，通过关注个别公司的行为和研究更广泛的问题，我们偏离了主流的社会责任投资文献。首先，我们研究了14个潜在争议问题的规模和财务表现：堕胎、成人娱乐、酒精、动物试验、避孕、有争议的武器、毛皮、赌博、基因工程、肉类、核能、猪肉、（胚胎）干细胞和烟草。我们调查了20多年来超过1600只股票的国际样本。然后，我们分析了将负面筛选应用于市场投资组合的影响。我们的研究结果表明，负面筛选策略的选择对投资范围的大小以及风险调整后的回报表现都很重要。在许多情况下，投资有争议的股票会带来额外的风险调整回报，而不投资这些股票可能会降低财务业绩。这些发现表明，阴性筛查存在机会成本。
This paper investigates the impact of negative screening on the investment universe as well as on financial performance. We come up with a novel identification process and as such depart from mainstream socially responsible investing literature by concentrating on individual firms’ conduct and by studying a much wider range of issues. Firstly, we study the size and financial performance of fourteen potentially controversial issues: abortion, adult entertainment, alcohol, animal testing, contraceptives, controversial weapons, fur, gambling, genetic engineering, meat, nuclear power, pork, (embryonic) stem cells, and tobacco. We investigate an international sample of more than 1,600 stocks for more than twenty years. We then analyze the impact of applying negative screens to a market portfolio. Our findings suggest that the choice for negative screening strategies does matter for the size of the investment universe as well as for risk-adjusted return performance. Investing in controversial stocks in many cases results in additional risk-adjusted returns, whereas excluding them may reduce financial performance. These findings suggest that there are opportunity costs to negative screening.