Eduardo Ortas

Sustainable supply chain and company performance

Purpose – This paper aims to investigate the link between a sustainable supply chain and companies’ financial performance (FP) and provide empirical evidence about the relationship between these two constructs. This link is an important, but still unclear, subject. Design/methodology/approach – Multivariate measures of sustainable supply chain performance and companies’ FP are used for Granger causality tests on a large, diverse sample of 3,900 companies in a time frame of eight years (2004-2011). Findings – Results indicate general bidirectional causality between sustainable supply chain performance and companies’ margins and revenue. However, the link between firms’ profitability and sustainable supply chain performance is unidirectional. In addition, the recent financial crisis altered this link between the studied constructs. Finally, a wide diversity in relationship patterns between sustainable supply chain performance and companies’ FP emerges when the full sample is divided into different geographi...

Are stock markets influenced by sustainability matter? Evidence from European companies

The emergence of ethical investment is a sign of the increasing interest of shareholders in the impact of corporate activities on sustainable development. The objective of this article is to analyse the relationship between the sustainable performance of a company and its financial performance measured by stock market value. Belonging to the Dow Jones Sustainability Index, disclosing a Global Reporting Initiative Sustainability Report and Sustainable Ratings are used as proxies for sustainability. This article is based on sustainability as a multivariate issue, and exploratory factor analysis is used to model the sustainability performance of a sample of European companies.

Sustainability stock exchange indexes and investor expectations: Multivariate evidence from DJSI-Stoxx

ABSTRACT This research sets out to assess the market reaction to events related to inclusion in and exclusion from the Dow Jones Sustainability Stoxx Index, which are associated with good and bad levels of Corporate Social Performance. The present work introduces a new effect—non-exclusion of the index—which reflects a corporate effort on maintaining higher levels of sustainability. An event study approach is applied with the aim of assessing market reactions to the announcement of changes in the index composition and the effective release to the market of the new sustainable equity index for an annual period. A novelty of this research is the use of a Multivariate Regression Model, with the purpose of mitigating some limitations identified in previous studies when «event clustering» is observed. The empirical analysis is focused on five years sliding window (2003–2007), a period with a relevant increase of the Socially Responsible Investment worldwide.

Do social and environmental screens influence ethical portfolio performance? Evidence from Europe

This work aims to test whether social and environmental screening processes could determine the financial performance of ethical or Socially Responsible Investment (SRI) strategies in the European context. We compare the risk-adjusted returns and systematic risk levels obtained by the two mainstream SRI equity indexes in Europe with those achieved by their official benchmarks. We find that, although these SRI indexes do not underperform their benchmarks in terms of risk-adjusted returns, they experience higher levels of risk. Additionally, the results show that higher screening intensity results in higher risk for the SRI indexes. Furthermore, the underperformance in terms of risk associated with the SRI indexes is worse in periods when there is a market downturn. This may indicate that SRI indexes are more sensitive to changes in the market cycle, because SRI indexes include companies that are more affected by market fluctuations.

Exploring Sustainability in Spanish Companies

This chapter focuses on the analysis of the International Corporate Sustainability Barometer (ICSB) results in Spain, which is the fourteenth largest economy in the world by nominal GDP. A total of 23 Spanish listed companies have participated in the survey, representing about 4.9 % of the total number of companies involved in the ICSB project. Although the results show that Spanish companies carry out similar sustainability practices to those observed on international average, there are three main differences that should be highlighted. Firstly, environmental aspects are the main sustainability issues for Spanish companies. Secondly, a strong link is observed between sustainability issues and the core business of the Spanish companies. Thirdly, the main driver for the corporate social responsibility and sustainability performance of Spanish companies seems to be the legitimation of their activities. Evidence for this can be found with regard to corporate motivation (e.g. the strong influence of society-oriented stakeholders), implementation of sustainability management issues (which is strongly related to stakeholder demands) and use of sustainability reporting tools which are widely implemented by Spanish companies.

Dinámica del coeficiente beta asociado a las carteras de inversión sectoriales en el mercado español

La inversion sectorial ha experimentado un crecimiento signifi cativo durante los ultimos anos en los mercados bursatiles internacionales y, en particular, en el mercado espanol. Por ello, la estimacion precisa del coefi ciente de riesgo beta constituye una actuacion relevante de los gestores de carteras de inversion sectoriales para llevar a cabo decisiones de inversion mas efi cientes. En este contexto, el presente trabajo analiza la dinamica del riesgo sistematico referente a las carteras de inversion sectoriales del mercado de valores espanol. Sobre la base de la evidencia empirica previa, se proponen diferentes variantes del modelo de mercado en su especifi cacion espacio-estado que permiten contrastar diversas hipotesis acerca del proceso estocastico dinamico experimentado por las series analizadas. Dado que trabajamos con datos de mercado diarios, se permite que los errores de las ecuaciones de observacion, presentes en los modelos mencionados, sean de caracter condicionalmente heterocedasticos, aspecto escasamente explorado en la literatura. Finalmente, se propone un estudio comparativo del comportamiento predictivo de los modelos estimados, lo que constituye una novedad en la investigacion para el mercado bursatil espanol.RESUMEN La inversión sectorial ha experimentado un crecimiento significativo durante los últimos años en los mercados bursátiles internacionales y, en particular, en el mercado español. Por ello, la estimación precisa del coeficiente de riesgo beta constituye una actuación relevante de los gestores de carteras de inversión sectoriales para llevar a cabo decisiones de inversión más eficientes. En este contexto, el presente trabajo analiza la dinámica del riesgo sistemático referente a las carteras de inversión sectoriales del mercado de valores español. Sobre la base de la evidencia empírica previa, se proponen diferentes variantes del modelo de mercado en su especificación espacio-estado que permiten contrastar diversas hipótesis acerca del proceso estocástico dinámico experimentado por las series analizadas. Dado que trabajamos con datos de mercado diarios, se permite que los errores de las ecuaciones de observación, presentes en los modelos mencionados, sean de carácter condicionalmente heterocedásticos, aspecto escasamente explorado en la literatura. Finalmente, se propone un estudio comparativo del comportamiento predictivo de los modelos estimados, lo que constituye una novedad en la investigación para el mercado bursátil español.

Carbon Accounting: A Review of the Existing Models, Principles and Practical Applications

The Kyoto Protocol has opened up an international debate about the appearance of different regulations which focus on carbon accounting and reporting. Specifically, the Kyoto Protocol established that the Conference of the Parties shall define the relevant principles, models, rules and guidelines, in particular for verification, reporting and accountability for carbon allowances. As a consequence, many companies remain confused as to the appropriate carbon accounting model. Due to the existing controversies on the topic, the aim of the present work is twofold. Firstly, and from a macroeconomic point of view, this work attempts to analyse the different carbon accounting regulations existing at the international level. Secondly, and from a firm level, describe the main practical carbon accounting principles and applications in different industries. Main results reveal the existence of different approaches at the corporate level in the international context about carbon accounting and reporting. This has several implications from a company point of view, being one of the most important the impact of the carbon accounting model choice on companies’ financial performance.

Volatilidad condicional en índices bursátiles socialmente responsables: Análisis del mercado de valores español .

La mayoria de las economias a nivel mundial entraron a mitad del ano 2008 en un periodo de recesion economica, principalmente motivado por la aparicion de una fuerte crisis de caracter financiero a nivel global. Este aspecto ha motivado que la volatilidad en los distintos mercados de valores a lo largo de todo el mundo se haya incrementado de forma significativa. Ante este escenario, surge la necesidad de efectuar una medicion lo mas precisa posible sobre el riesgo que soportan las diferentes carteras de inversion, estableciendo estrategias que permitan una diversificacion eficiente. Asi, el objetivo del presente trabajo consiste en analizar los niveles de riesgo, a traves de la estimacion de los niveles de volatilidad condicional, asociados a las carteras de inversion que toman posiciones en indices bursatiles socialmente responsables en el mercado espanol. Asi mismo, se realizara una comparativa con estrategias de inversion tradicionales.