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«Sustainable Investment Amsterdam, 31 August 2010 Commissioned by Duisenberg School of Finance and Holland Financial Centre Sustainable Investment ...»

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Appendix A Tables and Figures Appendix A.1 Socially Responsible Investment Table 3 SRI fund performance: a research overview

Study Content Conclusion

Edmans, A.: Does the Stock Portfolio analysis (“100 Best Companies to Work Significantly higher return from the Market Fully Value Intangibles? for” vs. market; correction of sector distortions) with portfolio comprising companies with a Employee Satisfaction and Equity a 4-factor financial model Sustainability ratings: good working environment versus the Prices; University of Pennsylva- limited to quality of the workplace Approx. 100 US (adjusted) market portfolio nia - The Wharton School; 2008 companies; timeframe 1984-2006 Kempf, A.; Osthoff. P.: The Effect Portfolio analysis (10% of companies with the best No reduction in the performance of the of Socially Responsible Investing CSR ratings versus 10% of companies with the portfolio with a positive sustainability on Portfolio Performance, Euro- worst CSR ratings; correction of sector distortions) rating; portfolio with a negative pean Financial Management 13 with a 4-factor financial model Sustainability ratings sustainability rating produced a weaker (5), 908-920, 2007 of KLD (limited thematic spectrum) 700 – 3000 US performance companies; variable over the period 1992-2004 Bauer, R., J. Derwall, and R. Portfolio analysis of 8 sustainability funds No difference in the performance of Otten: The Ethical Mutual Fund (compared with the market or benchmark) with a 4- sustainability funds and the Performance Debate: New factor financial model Sustainability ratings: benchmark/market Evidence from Canada, Journal of different (depending on funds) 8 Canadian funds Business Ethics 70, 111-124, with global components; timeframe 1994-2003 Guenster, N., J. Derwall, R. Econometric analysis of the link between No reduction in the performance of Bauer, and K. Koedijk: The sustainability ratings and enterprise value (“Tobin companies with a positive Economic Value of Corporate Q”) (at company level) Sustainability ratings: limited sustainability rating; companies with a Eco-Efficiency, RSM Erasmus to environmental protection, in accordance with negative sustainability rating gave a University Rotterdam, 2006. Innovest 150 – 410 US companies, variable over weaker performance the period 1996-2002 Derwall, D.; Guenster, N.; Bauer, Portfolio analysis (30% of companies with the best Substantially higher average return on R.; Koedijk, K.: The Eco-Efficiency CSR ratings versus 30% of companies with the the portfolio comprising shares with a Premium Puzzle; Financial worst CSR ratings), different financial models (incl. positive sustainability rating versus Analysts Journal; Vol. 61; No. 2; correction of sector distortions) Sustainability portfolios comprising stocks with a 2005 ratings: limited to the environment (Innovest) 180 – negative sustainability rating 450 US companies; time frame 1995 – 2003 Schröder, M.: Is there a Portfolio analysis of 29 sustainability indexes No difference in the performance of Difference? The Performance (comparison with market or benchmark) with 1- sustainability indexes, and the Characteristics of SRI Equity factor and 3-factor financial models Sustainability benchmark/market Indexes;, Journal of Business ratings: different (no use of rating, but ready-made Finance and Accounting 34 (1) & indexes) 29 indexes with global components;

(2), 331-348; 2007 timeframe: from inception up to y/e 2003 Source: Adapted from Plinke (2008, p. 14)

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Source: Adapted from Renneboog et al. (2007, pp. 5-6; 2008b, p. 1727) For an overview of the mandatory environmental and social disclosure in countries not mentioned in Table 5, see the research by the Social Investment Forum (Lydenberg, 2008). This paper provides models for similar regulatory action by agencies or stock exchanges in the United States to promote transparency and efficiency.

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Box 4 Collevecchio Declaration In 2002 a group of non-governmental organizations (NGOs) joined forces to promote sustainable finance in the banking sector. Ultimately this group evolved into BankTrack which laid out its vision in the Collevecchio Declaration Commitments. This declaration was endorsed by more than 200 organizations in January 2003

and contains 6 commitments for the banking sector (Papadopoulos, 2009; WWF, 2006):

• Commitments to sustainability: financial institutions should shift their mission from profit-maximization towards social and environmental sustainable projects. They should fully integrate the consideration of ecological limits, social equity and economic justice into corporate strategies and core business areas;

• Commitments to do no harm: institutions should prevent and minimize the environmental and/or social detrimental impacts of their financed projects and operations;

• Commitment to responsibility: financial institutions should bear full responsibility for the environmental and social impacts of their financed projects. Furthermore, they should also pay a fair share of the risks they accept and create. This involve both financial risks as well as social and environmental costs that are borne by communities;

• Commitment to accountability: institutions should be accountable to their stakeholders, especially those that are affected by the financed projects. Stakeholders should have a influential voice in financial decisions that affect the quality of their environment;

• Commitments to transparency: financial institutions should be responsive to stakeholder needs for specialized information on the policies, procedures and transactions of the institutions;

• Commitment to sustainable markets and governance: institutions should ensure that markets are more capable of fostering sustainability by actively supporting public policy, regulatory and/or market mechanisms which facilitate sustainability and that foster the full cost accounting of social and environmental externalities.

The WWF-UK and BankTrack evaluate how banks are responding. They review the environmental and social policies adopted by key institutions in the banking sector. This also includes a review of the endorsement of the EPs by banks around the world. These reviews are published in reports of the WWF (WWF, 2006) and BankTrack.

The Collevecchio Declaration was criticized because it would not take into account the special nature and requirements of the financial and banking sector in the financing of construction high-costs projects (Papadopoulos, 2009). The declaration has little buy-in from the financial sector; it is mostly endorsed by NGOs, very few endorsements have come from financial institutions (Richardson, 2007).

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Source: Adapted from Richardson (2007, p. 81) See Collevecchio Declaration: The role and responsibility of financial institutions (BankTrack, 2003) for a list of endorsing organizations, The third benchmark study by BankTrack, Close the Gap, was published in April 2010. See their website for other recent publications.

See Richardson (2007, pp. 82-88) for an elaboration on these codes of conduct.

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