Mónica García-Melón, Blanca Pérez-Gladish, Tomás Gómez-Navarro , Paz Mendez-Rodriguez
Annals of Operations Research
There are an increasing number of individual or corporate investors who demand social responsibility (SR) to a financial asset. Social responsibility is a multi-dimensional concept that requires identifying a number of criteria and their weights to be assessed in a financial asset. Currently a varied discussion is held among practitioners and academics with respect to this question. The common practice is to equally weight all the SR criteria. However, investors may wish to prioritize a particular dimension depending on their preferences. Therefore, the aim of this paper is to tackle this issue, e.g. to provide different weights for the different SR criteria according to the opinion of different stakeholders. These weights are later used in order to build a composite measure of SR and to rank mutual funds. To that end, Vigeo’s list of SR criteria is taken as the starting point for discussion. The Equitics® database gives the information for the companies’ SR performance according to those criteria. Stakeholders are selected according to various proposals and the Analytic Hierarchy Process is applied to weighting the Vigeo’s criteria according to the stakeholders’ preferences. The methodology allows not only assessing the financial assets but also tracking their evolution with the periodic Equitics® database updates. To prove the feasibility and utility of the methodology, a case study analysing Spanish equity mutual funds has been carried out. Among other results, the method shows that the so-called “responsible” funds do not perform particularly well in the SR assessment. Besides, we have found that there are few mutual funds with a good balance between financial and SR behaviour.