Julie Whittaker

Performance and Performance Persistence of 'Ethical' Unit Trusts in the UK

We examine performance, and persistence in the performance, of UK ethical or SRI funds and find that performance appears to be time-varying, showing that conclusions on performance itself are influenced by whether a static or time varying model is employed. Given evidence that many UK funds which claim to be international in nature may exhibit home bias in their portfolio allocations, we also propose a new measure for performance of international funds that allows for this and show that such recognition has important implications for the conclusions drawn with respect to these funds. We find evidence that supports persistence in performance, particularly at longer time horizons. There is some evidence that for domestic funds, past winning SRI funds outperform losing SRI funds to a greater extent than their control portfolio counterparts.

Economics for sustainable rural systems

Abstract Critics often reproach the discipline of economics for supporting developments that result in environmental and social degradation. This article identifies where such censure is valid, but proceeds to argue that the rationale underlying economic techniques is at fault, rather than the techniques themselves. Within the rural context, we suggest that economics can make a valuable contribution to the design and achievement of sustainable ways of living. Valid criticism of economics focuses on its assumptions about value, since this has led to emphasis of favourable effects of markets, and laissez-faire. Policies exposing rural areas to more rigorously competitive market conditions encourage their transformation by increasing mechanisation, industrialisation and a less sustainable use of resources. New approaches and policies are required if different outcomes are to be achieved. An initial step is to identify desirable outcomes, a matter of social choice. However, society makes multiple demands on rural resources, and such issues cannot be adequately captured within a neo-classical welfare model. An alternative, hierarchical framework in the tradition of systems thinking, capable of analysing the complex relations associated with rural resource use, provides appropriate emphasis to the economic links between goals at different levels within the system, and appears to have some heuristic value. An empirical counterpart of the hierarchical framework, input–output analysis, generates information to support social choices and can also contribute to the understanding of economic systems and their interaction with the wider social, cultural, ethical and environmental universe. The article concludes with some revised economic policy prescriptions to promote rural sustainability.

Do Markets Value Corporate Social Responsibility in the United Kingdom

In this paper, using corporate social responsibility (CSR) measures constructed from EIRIS data and mapped onto Environment, Employee and Community dimensions, as well as a Composite indicator, we show that all two out of the three dimensions of CSR, together with the Composite measure, are positively valued by markets. We show that these effects are robust to alternative deflation measures, and that CSR effects are manifested at least in part by an increased persistence in abnormal earnings. Finally we show that the long-run growth in residual income implied by prices is higher in the case of high CSR engagement firms compared to zero engagement firms for our Composite indicator. Overall, our results are consistent with CSR engagement enhancing shareholder value.

Do Markets Value Corporate Social Responsibility

Renneboog, Ter Horst and Zhang (2008) highlight that the question of whether or not corporate social responsibility (CSR) is priced remains an open one. In this paper, using a comprehensive set of KLD indicators in Ohlson-model framework with robust two-way cluster analysis of standard errors, we show that indicators of corporate social responsibility are valued by markets. We also show that some valuation effects appear to be stronger in the post millennium period. Consistent with other evidence on implied cost of capital and CSR, we show that there are significant differences in factor loadings between high and low CSR stocks. Finally, we show that CSR effects are manifested at least in part by an increased persistence in abnormal earnings. Our evidence is consistent both with high CSR firms having a lower cost of capital and also with high CSR firms having lower expected adverse cash flow shocks.