The wages of social responsibility — where are they? A critical review of ESG investing

This paper contributes both to investigating the link between the corporate social and financial performance based on environmental, social and corporate governance (ESG) ratings and to reviewing the existing empirical evidence pertaining to this relationship. The sample used includes ESG data of ASSET4, Bloomberg and KLD for the U.S. market from 1991 to 2012. The econometrical framework applies an ESG portfolio approach using the Carhart (1997) four-factor model as well as cross-sectional Fama and MacBeth (1973) regressions. Previous empirical research indicates a relationship between ESG ratings and returns. As against this, the ESG portfolios do not state a significant return difference between companies with high and low ESG ratings. Although the Fama and MacBeth (1973) regressions reveal a significant influence of several ESG variables, investors are hardly able to exploit this relationship. The magnitude and direction of the impact are substantially dependent on the rating provider, the company sample and the particular subperiod. The results suggest that investors should no longer expect abnormal returns by trading a difference portfolio of high and low rated firms with regard to ESG aspects.     

Mapping the constructs of a business tourist service quality scorecard model

Abstract

The researchers sought to conceptualize models related to Service Quality (SQ), Balanced Scorecard (BSC), Customer Satisfaction (CS), and Customer Retention (CR). These models are evident within the tourism industry, but are not confirmed in business tourism. The empirical testing of a Service Quality Scorecard (SQSC) as a comprehensive SQ model, for explaining Business Tourist (BT) retention is proposed. Data was analyzed through a structural equation modeling procedure, resulting in a business tourist service quality scorecard (BT SQSC) causal model for the testing of SQ in the BT industry. Findings provide implications for business tourism practitioners to encourage business tourism performance.     

Fostering proactive behaviour: The role of work-related reflection,psychological empowerment,and participative safety for innovative behaviour and job crafting

This contribution aimed at investigating how work-related reflection as cognitive efforts towards developing an understanding of work tasks, the surrounding work context, and one's professional competencies adds to the role of psychological empowerment and participative safety in predicting innovative behaviour and job crafting as two forms of proactivity. Quantitative data from 295 employees of micro, small, and medium-sized organizations in the information sector were collected with a cross-sectional questionnaire. For hypotheses testing, structural equation modelling was employed. The results of the study showed that work-related reflection and psychological empowerment were substantially related to innovative behaviour and job crafting while participative safety only played a minor role. These findings imply that jobs need to contain empowering and sufficiently complex work tasks that require reflection and provide occasions for reflective interactions to enable employees to create efficient routines and adapt to changes at work. Furthermore, experiences of empowerment need to be rooted in social interactions at work. Likewise, the value of reflection will only unfold if employees and supervisors regularly engage in reflection.     

Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies

We study identification in Bayesian proxy VARs for instruments that consist of sparse qualitative observations indicating the signs of shocks in specific periods. We propose the Fisher discriminant regression and a non-parametric sign concordance criterion as two alternative methods for achieving correct inference in this case. The former represents a minor deviation from a standard proxy VAR, whereas the non-parametric approach builds on set identification. Our application to US macroprudential policies finds persistent declines in credit volumes and house prices together with moderate declines in GDP and inflation and a widening of corporate bond spreads after a tightening of capital requirements or mortgage underwriting standards.