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25Novembre 2016

SolvingtheSRIpuzzle?AnoteonthemainstreamingofethicalinvestmentFinanceResearchLetters(2016)

EliasErragragui(KEDGEBusinessSchool)ThomasLagoarde-Segot(KEDGEBusinessSchool&LEST,UMRCNRS7317)

Post Crisis Finance Research NetworkFrom crisis to viability: finance reconsidered

The ongoing economic, social and environmental crisis has revealed the need to redefine the function of finance. Academicfinance bears significant responsibility in this process addressing the interaction between finance and society. As a response, manyprivate actors have broadened their definition of ‘value’ in order to include environmental and social elements into their managementand asset allocation practices. Such practices, however, appear incompatible with the current theoretical and methodologicalfoundations of academic mainstream finance, which is heavily influenced by logical positivism and the methodological individualismhypothesis based on the maximization of the shareholder utility function. Academic finance focuses on the micro level andemphasizes econometric modelling rather than adopting a longer-run view incorporating the lessons from economic history. Thisparadox challenges us to reconsider the epistemological and theoretical foundations of modern finance, and, in particular, thedominant role played by shareholders. It is our responsibility to question the idea that social welfare and ethics are simply the resultof shareholders value maximization and to enrich finance research, particularly with perspectives and contributions from other socialsciences. In particular, we argue that there is a need to turn the order upside down: economy and finance must be embedded inenvironmental and social welfare in order to confront the challenges we face, rather than the other way around. Should we promoteanother character, as a substitute to the shareholder? How might we (re)define the concept of value? The network will serve as aninterdisciplinary forum for the rethinking of academic finance, with a view to carving out sustainable paths for financial research andpractices in the 21st century.

Themes of interest include:• (Re)defining value(s) and wealth• Alternatives to shareholder value maximization and promote a long term and sustainable perspective.• Critical perspectives in accounting• Economic history and finance• Finance and comparative capitalism • Finance and the Global South• Financialization, networks and interconnectivity• New metaphors for the study of post crisis finance• Rethinking education in finance• Social banking and finance

Keywords: ethics; financialization; critical perspectives, crisis, sustainability, social impact finance, networks

L’ISRetlarecherche en financeLe‘puzzle’empirique

§ Impactdéfavorable desfiltres surlafrontière d’efficience§ RSEetcompétitivité desfirmes§ Résultats inconclusifs (Revelli andViviani,2015)

Une controverse àdépasser?

§ Ontologie sociale:leréalisme critique(Downward,2016)§ Lafinanciarisation comme structureproductrice dedonnées?§ L’hypothèse del’intégration (‘mainstreaming’)

L’hypothèse d’intégration (mainstreaming)

“adoubleprocessofupstreamingethicalstocksintoconventionalindicesandportfolios,anddownstreaming conventionalstocksinto

ethicalindicesandportfolios”

§ L’intégration parl’amont (upstreaming)reflète l’inclusion desconstituentsdesindicesISRdans lesindicesconventionnels

§ L’intégration parl’aval (downstreaming)reflète lesenjeuxméthodologiques dufiltrage

§ Opérationalisation:nullité desécarts deperformanceISRvs.portefeuilles conventionnels

Données etméthodologieDonnées

§ 24indicesconventionnels,islamiques,ISR§ 5marchés développés:USA,GB,Japon,Canada,Australie§ 3marchés émergents:Brésil,Inde,Afrique duSud§ IndicesMSCIhorsdividendes

Méthodologie

§ Statistiques descriptives +rendements glissants§ Testbivarié surlesdifférentiels deratiosdeSharpeannualisés§ Testmultivarié surlesdifférentiels deratiosdeSharpeannualisés

(LeungandWong,2008)§ Modèle d’évaluation desactifs (EGARCHavecclustersICSS)§ Testsurlesdifférences entrealfas

Market Country Indxe type Index name Ticker

Developed

Australia

Conventional MSCI Australia MXAUIslamic MSCI Australia Islamic MIAU

SRI MSCI Australia SRI MXAUSI

CanadaConventional MSCI Canada MXCAIslamic MSCI Canada Islamic MICA SRI MSCI Canada SRI MXCASI

JapanConventional MSCI Japan M3JPIslamic MSCI Japan Islamic MIJPSRI MSCI Japan SRI MXJPSI

U-K

Conventional MSCI United Kingdom M3GB

Islamic MSCI United Kingdom Islamic MIGB

SRI MSCI United Kingdom SRI MXGBSI

United-StatesConventional MSCI USA MXUSIslamic MSCI USA Islamic MIUSSRI MSCI USA SRI MXUSSI

Emerging

Brazil

Conventional MSCI Brazil MXBRIslamic MSCI Brazil Islamic MIBRO

SRI MSCI Brazil ESG MXBRSI

IndiaConventional MSCI India MXINIslamic MSCI India Islamic MIINSRI MSCI India ESG MXINSI

South Africa

Conventional MSCI South Africa M3ZA

Islamic MSCI South Africa Islamic MIZA

SRI MSCI South Africa ESG M3ZASI

Données

-.6-.4

-.20

.2.4

01jan2008 01jan2010 01jan2012 01jan2014day

Roll_us Roll_ussriRoll_usisl

United States

Rendements glissants – 6mois

-1.5

-1-.5

0.5

1

01jan2008 01jan2010 01jan2012 01jan2014day

Roll_bra Roll_braislRoll_braesg

Brazil

Rendements glissants – 6mois

Considérons le vecteur kx1 des ratios de Sharpe des k portefeuilles observés:

𝜇 𝜃 =𝜇$𝜎$, … ,

𝜇(𝜎(

′

Définissons lamatrice C k-1×k suivante:

÷÷÷÷÷÷

ø

ö

çççççç

è

æ

-

--

-

=

1...000

1.........0..................1100......1100...011

C

L’hypothèse d’égalité des k ratios de Sharpe s’écrit H0:Cμθ=0 versus H0:Cμθ≠0.

Testmultivarié surlesratiosdeSharpe

Estimationdesalfas:E-GARCHetdummiesICSS

§ Filtrage initialGARCH(1,1)§ Identificationdepicsdevolatilité endogène (Bacmann &Dubois,2002)§ Insertiondesdummiesdans l’équation devarianced’unmodèle E-GARCH:

§ Trois spécifications:sansdummies,avecdummies,avecdummiessignificatives§ Comparaison desalphasparune statistique detestZ

(𝑟, − 𝑟.,) = 𝛼 + 𝛽(𝑟3, − 𝑟.,) + 𝜀, with 𝜀, = 𝑧, ℎ,�

𝐿𝑜𝑔 𝑉𝑎𝑟 𝜀, 𝜀,>$ = 𝐿𝑜𝑔 𝜎,? = 𝐿𝑜𝑔 ℎ,

= 𝜔 + 𝑑$𝐷$ + ⋯+ 𝑑D𝐷D + 𝛾𝑍,>$ + 𝜃 𝑍,>$ − 𝐸 𝑍,>$

+ 𝜑𝐿𝑜𝑔(ℎ,>$)

Testsurles alphas

Conclusions

§ Le“matchnul”entretenantsetcontempteurs d’une surperformancedesfonds ISRreflète l’intégration del’investissement éthique dans uneréalité financiarisée

§ Hypothèse soutenue parune batterie detestsmenée surlapériode2008-2014

§ Questionnements:

1. Travailquantitatif:descendre auniveau micropouranalyser lesconstituentsdesindices

2. Travailqualitatif:comprendre lemodèle réel d’allocation desactifsutilisé parlesgérants deportefeuille

3. Travailconceptuel:redéfinir lavaleur pourré-encastrer lesdécisionsfinancières dans lescontraintes desoutenablité