Bouchra M'Zali

An AHP-based approach to mutual funds' social performance measurement

Socially responsible investors have both, financial as well as non-financial goals in investment decision-making. Several methods for ranking mutual funds based on financial performance have been developed; nonetheless, ranking based on non-financial performance is rather underdeveloped. The aim of this article is to present a ranking method for mutual funds, based on their socially responsible performance. The suggested ranking method could complement financial information and help socially responsible mutual fund managers, individual and institutional investors in their portfolio selection process. The results reveal, after comparing the rank obtained with the proposed method with rankings derived from other socially responsible measurements based on just one decision criterion, that an integrated framework using multiple criteria decision analysis (MCDA) techniques could help the investor in selecting a suitable socially responsible mutual funds portfolio, because the consideration of several criteria reflect more precisely the multiple dimensions of this decision making problem.

The Ethics of Tax Evasion: An Empirical Study of French EMBA Students

Most studies on tax evasion have taken either an economics or public finance perspective. Not many studies have investigated tax evasion from the perspective of ethics. One exception is a 1944 doctoral dissertation by Martin Crowe, a Catholic priest who examined the Christian (mostly Catholic) theological and philosophical literature of the past 500 years. His study identified a number of arguments that have been used to justify tax evasion over the centuries. The present study constructed a survey instrument that includes 15 of those historical arguments, plus 3 newer arguments, and distributed it to a group of French EMBA students to determine the extent of support for the various arguments that exists in France today using a seven-point Likert scale. The arguments are then ranked from strongest to weakest. Male and female scores are also compared to determine if there is a significant difference in response based on gender.

Characteristics of Companies Targeted by Social Proxies: An Empirical Analysis in the Context of the United States

We compare the traits of companies receiving social policy shareholder resolutions with those of a set of matching firms. We show that targeted firms tend to be much larger and riskier, less profitable and less socially performing than their counterparts. The five largest investors in firms receiving social proxies tend to hold a lower stake in those firms vis‐a‐vis the matching firms. Firms in both samples, however, are not statistically different in terms of percentages of shares held by institutional and insider investors. We provide possible explanations for our results.

A Portfolio Analysis Approach to Assist Socially Responsible Investors in Making Decisions

The main research question addressed in this paper is concerned with the cost of being a socially responsible investor. The purpose of this research is to propose a portfolio analysis approach to address this question in an attempt to assist socially responsible investors, including portfolio managers, in making investment decisions. To be more specific, we use modern portfolio theory to construct and compare efficient frontiers of portfolios, where each portfolio is a solution to either the basic Markowitzs mathematical model or to some variant or extension of it including a socially responsible concern. Our empirical results show the cost of being a socially responsible investor nowadays.

Does Social Performance Affect the Risk of Financial Firms

This paper examines the impact of social performance (SP) on the financial firm’s risk (total, idiosyncratic, systematic and tail). We find that the aggregate measure of SP (concerns) is significantly and negatively (positively) related to a financial firm’s risk. Only some SP dimensions significantly affect the risk of financial firms. Specifically, Employee, Product and Corporate Governance concerns positively affect total risk, idiosyncratic risk, systematic risk, and the Value at Risk (VaR), whereas Product strengths positively affect the VaR. Additional analysis shows that SP affects the risk of banks and trading firms, but not insurance firms.