Publication

The opportunity cost of negative screening in socially responsible investing

Trinks, P. J. & Scholtens, B., 27-Jan-2017, In : Journal of Business Ethics. 140, 2, p. 193-208 16 p.

Research output: Contribution to journalArticleAcademicpeer-review

APA

Trinks, P. J., & Scholtens, B. (2017). The opportunity cost of negative screening in socially responsible investing. Journal of Business Ethics, 140(2), 193-208. https://doi.org/10.1007/s10551-015-2684-3

Author

Trinks, Pieter Jan ; Scholtens, Bert. / The opportunity cost of negative screening in socially responsible investing. In: Journal of Business Ethics. 2017 ; Vol. 140, No. 2. pp. 193-208.

Harvard

Trinks, PJ & Scholtens, B 2017, 'The opportunity cost of negative screening in socially responsible investing', Journal of Business Ethics, vol. 140, no. 2, pp. 193-208. https://doi.org/10.1007/s10551-015-2684-3

Standard

The opportunity cost of negative screening in socially responsible investing. / Trinks, Pieter Jan; Scholtens, Bert.

In: Journal of Business Ethics, Vol. 140, No. 2, 27.01.2017, p. 193-208.

Research output: Contribution to journalArticleAcademicpeer-review

Vancouver

Trinks PJ, Scholtens B. The opportunity cost of negative screening in socially responsible investing. Journal of Business Ethics. 2017 Jan 27;140(2):193-208. https://doi.org/10.1007/s10551-015-2684-3


BibTeX

@article{f985e76eae834de3b387c9d1f0ad2190,
title = "The opportunity cost of negative screening in socially responsible investing",
abstract = "This paper investigates the impact of negative screening on the investment universe as well as on financial performance. We come up with a novel identification process and as such depart from mainstream Socially Responsible Investing (SRI) literature by concentrating on individual firms’ conduct and studying a much wider range of issues. Firstly, we study the size and financial performance of fourteen potentially controversial issues: abortion, adult entertainment, alcohol, animal testing, contraceptives, controversial weapons, fur, gambling, genetic engineering, meat, nuclear power, pork, (embryonic) stem cells, and tobacco. We investigate an international sample of more than 1,600 stocks for more than twenty years. We then analyze the impact of applying negative screens to a market portfolio. Our findings suggest that the choice for negative screening strategies does matter for the size of the investment universe as well as for risk-adjusted return performance. Investing in controversial stocks in many cases results in additional risk-adjusted returns, whereas excluding them may reduce financial performance. These findings suggest that there are opportunity costs to negative screening.",
keywords = "controversial investments, market capitalization, responsible investing, risk-adjusted returns, screening, socially responsible investing, QUANTILE REGRESSION, COVARIANCE-MATRIX, STOCK RETURNS, SIN, INVESTMENT, BEHAVIOR, PERFORMANCE, ATTITUDES, INDUSTRY, MARKET",
author = "Trinks, {Pieter Jan} and Bert Scholtens",
year = "2017",
month = "1",
day = "27",
doi = "10.1007/s10551-015-2684-3",
language = "English",
volume = "140",
pages = "193--208",
journal = "Journal of Business Ethics",
issn = "0167-4544",
publisher = "SPRINGER",
number = "2",

}

RIS

TY - JOUR

T1 - The opportunity cost of negative screening in socially responsible investing

AU - Trinks, Pieter Jan

AU - Scholtens, Bert

PY - 2017/1/27

Y1 - 2017/1/27

N2 - This paper investigates the impact of negative screening on the investment universe as well as on financial performance. We come up with a novel identification process and as such depart from mainstream Socially Responsible Investing (SRI) literature by concentrating on individual firms’ conduct and studying a much wider range of issues. Firstly, we study the size and financial performance of fourteen potentially controversial issues: abortion, adult entertainment, alcohol, animal testing, contraceptives, controversial weapons, fur, gambling, genetic engineering, meat, nuclear power, pork, (embryonic) stem cells, and tobacco. We investigate an international sample of more than 1,600 stocks for more than twenty years. We then analyze the impact of applying negative screens to a market portfolio. Our findings suggest that the choice for negative screening strategies does matter for the size of the investment universe as well as for risk-adjusted return performance. Investing in controversial stocks in many cases results in additional risk-adjusted returns, whereas excluding them may reduce financial performance. These findings suggest that there are opportunity costs to negative screening.

AB - This paper investigates the impact of negative screening on the investment universe as well as on financial performance. We come up with a novel identification process and as such depart from mainstream Socially Responsible Investing (SRI) literature by concentrating on individual firms’ conduct and studying a much wider range of issues. Firstly, we study the size and financial performance of fourteen potentially controversial issues: abortion, adult entertainment, alcohol, animal testing, contraceptives, controversial weapons, fur, gambling, genetic engineering, meat, nuclear power, pork, (embryonic) stem cells, and tobacco. We investigate an international sample of more than 1,600 stocks for more than twenty years. We then analyze the impact of applying negative screens to a market portfolio. Our findings suggest that the choice for negative screening strategies does matter for the size of the investment universe as well as for risk-adjusted return performance. Investing in controversial stocks in many cases results in additional risk-adjusted returns, whereas excluding them may reduce financial performance. These findings suggest that there are opportunity costs to negative screening.

KW - controversial investments

KW - market capitalization

KW - responsible investing

KW - risk-adjusted returns

KW - screening

KW - socially responsible investing

KW - QUANTILE REGRESSION

KW - COVARIANCE-MATRIX

KW - STOCK RETURNS

KW - SIN

KW - INVESTMENT

KW - BEHAVIOR

KW - PERFORMANCE

KW - ATTITUDES

KW - INDUSTRY

KW - MARKET

U2 - 10.1007/s10551-015-2684-3

DO - 10.1007/s10551-015-2684-3

M3 - Article

VL - 140

SP - 193

EP - 208

JO - Journal of Business Ethics

JF - Journal of Business Ethics

SN - 0167-4544

IS - 2

ER -

ID: 25548113