Robust Corporate Social Responsibility investment screening

Although a priori company screening is a constitutive feature of Socially Responsible Investment (SRI) funds, it is not easy to substantiate that such screening effectively differentiates between companies on the basis of their Corporate Social Responsibility (CSR) calibre. Fundamentally, this is because CSR comprises several dimensions for which an undisputed aggregative model is lacking. We assess the robustness of companies' CSR rankings with respect to several modelling assumptions. We then build on Gini's transvariation concept to select/reject specific companies in the SRI eligible universe of assets. We illustrate our approach with some specific screening issues as confronted by the ethical advisory committee of a large Belgian bank.

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