Skip to main navigation menu Skip to main content Skip to site footer
Repositorio de la Red Internacional de Investigadores en Competitividad

Estrategias financieras, emprendimiento, cadena de suministro y era digital

Vol. 16 (2022): Transformación digital como propuesta de valor para la competitividad ISBN 978-607-96203-0-11

Responsabilidad social, manejo de agua y el desempeño de empresas que cotizan en la Bolsa Mexicana de Valores: evidencia de la teoría de las acciones desechadas

Submitted
December 1, 2022
Published
2023-01-23

Abstract

En el presente trabajo se mide la relación que las calificaciones de responsabilidad social corporativa (ESG) y las políticas de manejo de agua tienen en la probabilidad de que una empresa cumpla su rendimiento objetivo (upside). Esto para el caso de empresas que cotizan en las 9 principales bolsas de valores del continente americano. Utilizando un modelo de panel no balanceado (con información anual del año 2006 al 2020) con efectos fijos, se midió la significancia de la relación previamente citada. Los resultados observan que los inversionistas en los mercados solo valoran las calificaciones de controversias ambientales para decidir y que una mejora en esta calificación reduce la probabilidad de cumplir el upside.

References

  1. Areal, N., Cortez, M. C., y Silva, F. (2013). The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter? Financial Markets and Portfolio Management, 27(4), 397–429. https://doi.org/10.1007/s11408-013-0218-5
  2. Bauer, R., Koedijk, K., y Otten, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking y Finance, 29(7), 1751–1767. https://doi.org/10.1016/j.jbankfin.2004.06.035
  3. Botha, M. (2015). An analysis of water-related sustainability disclosure of Socially Responsible Investment-indexed JSE-listed companies (No. 3862; Economic and Management Sciences). http://repository.nwu.ac.za/handle/10394/14254
  4. Boutin-Dufresne, F., y Savaria, P. (2004). Corporate Social Responsibility and Financial Risk. TheJournal of Portfolio Management, 13(1), 57–66.
  5. Capelle-Blancard, G., y Couderc, N. (2009). The Impact of Socially Responsible Investing:Evidence from Stock Index Redefinitions. The Journal of Investing, 18(2), 76–86.
  6. Capelle-Blancard, G., y Monjon, S. (2014). The Performance of Socially Responsible Funds: Does the Screening Process Matter? European Financial Management, 20(3), 494–520. https://doi.org/10.1111/j.1468-036X.2012.00643.x
  7. CDP water security. (2021). CDP Global Water Report 2020 A WAVE OF CHANGE The role of companies in building a water-secure world. Water Report. https://cdn.cdp.net/cdpproduction/cms/reports/documents/000/005/165/original/CDP_Global_Water_Report_2019.pd f?1591106445
  8. Chen, L., Zhang, L., Huang, J., Xiao, H., y Zhou, Z. (2021). Social responsibility portfolio optimization incorporating ESG criteria. Journal of Management Science and Engineering, 6(1), 75–85. https://doi.org/10.1016/j.jmse.2021.02.005
  9. Consolandi, C., Jaiswal-Dale, A., Poggiani, E., y Vercelli, A. (2008). Global Standards and Ethical Stock Indexes: The Case of the Dow Jones Sustainability Stoxx Index. Journal of Business Ethics, 87(S1), 185–197.
  10. de la Torre, O., Galeana, E., y Aguilasocho, D. (2016). The use of the sustainable investment against the broad market one. A first test in the Mexican stock market. European Research on Management and Business Economics, 22(3), 117–123. https://doi.org/10.1016/j.iedee.2015.08.002
  11. de la Torre, O., y Martínez Ma Isabel. (2015). Revisión de la inversión sustentable en la bolsa mexicana durante periodos de crisis. Revista Mexicana de Economía y Finanzas, 10(2), 115– 130. http://www.remef.org.mx/c/images/uploads/documentos/134/10_2_2_maria1.pdf
  12. Derwall, J., Guenster, N., Bauer, R., y Koedijk, K. (2019). The Eco-Efficiency Premium Puzzle.
  13. Financial Analysts Journal, 61(2), 51–63. https://doi.org/10.2469/faj.v61.n2.2716
  14. Derwall, J., Koedijk, K., y ter Horst, J. (2011). A tale of values-driven and profit-seeking social investors. Journal of Banking y Finance, 35(8), 2137–2147.
  15. Eccles, N. S., y Viviers, S. (2011). The Origins and Meanings of Names Describing Investment Practices that Integrate a Consideration of ESG Issues in the Academic Literature. Journal of Business Ethics, 104(3), 389–402. https://doi.org/10.1007/s10551-011-0917-7
  16. Escrig-Olmedo, E., Fernández-Izquierdo, M., Ferrero-Ferrero, I., Rivera-Lirio, J., y Muñoz-Torres, M. (2019). Rating the Raters: Evaluating how ESG Rating Agencies Integrate Sustainability Principles. Sustainability, 11(3), 1–16. https://doi.org/10.3390/su11030915
  17. Freeman, E. (1984). Strategic management: A stakeholder approach. Cambridge university press.
  18. Freeman, R. E. (1994). The Politics of Stakeholder Theory: Some Future Directions. Business Ethics Quarterly, 4(4), 409–421. https://doi.org/10.2307/3857340
  19. Friedman, A. L., y Miles, S. (2002). Developing Stakeholder Theory. Journal of Management Studies, 39(1), 1–21. https://doi.org/10.1111/1467-6486.00280
  20. Friedman, M. (2007). The Social Responsibility of Business Is to Increase Its Profits. In Corporate Ethics and Corporate Governance (pp. 173–178). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-70818-6_14
  21. Galema, R., Plantinga, A., y Scholtens, B. (2008). The stocks at stake: Return and risk in socially responsible investment. Journal of Banking y Finance, 32(12), 2646–2654. http://linkinghub.elsevier.com/retrieve/pii/S0378426608001325
  22. Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57(2), 357–384.
  23. Hamilton, J. D. (1990). Analysis of time series subject to changes in regime. Journal of Econometrics, 45(1–2), 39–70. https://doi.org/10.1016/0304-4076(90)90093-9
  24. Hamilton, J. D. (1994). Time series analysis. Princeton university press.
  25. Hamilton, S., Jo, H., y Statman, M. (1993). Doing well while doing good? the investment performance of socially responsible mutual funds. Financial Analysts Journal, 49(6), 62–66. https://doi.org/10.2469/faj.v49.n6.62
  26. Hasseldine, J., Salama, A. I., y Toms, J. S. (2005). Quantity versus quality: the impact of environmental disclosures on the reputations of UK Plcs. The British Accounting Review, 37(2), 231–248. https://doi.org/10.1016/J.BAR.2004.10.003
  27. Hong, H., y Kacperczyk, M. (2009). The price of sin: The effects of social norms on markets. Journal of Financial Economics, 93, 15–36. https://doi.org/10.1016/j.jfineco.2008.09.001
  28. Hübel, B., y Scholz, H. (2020). Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings. Journal of Asset Management, 21(1), 52–69. https://doi.org/10.1057/s41260-019-00139-z
  29. Jo, H., y Na, H. (2012). Does CSR Reduce Firm Risk? Evidence from Controversial Industry Sectors. Journal of Business Ethics, 110(4), 441–456. https://doi.org/10.1007/S10551-012- 1492-2/TABLES/11
  30. Lassala, C., Apetrei, A., y Sapena, J. (2017). Sustainability Matter and Financial Performance of Companies. Sustainability, 9(1498), 1–16. https://doi.org/10.3390/su9091498
  31. Mattingly, J. E., y Berman, S. L. (2016). Measurement of Corporate Social Action: Discovering Taxonomy in the Kinder Lydenburg Domini Ratings Data.
  32. Http://Dx.Doi.Org/10.1177/0007650305281939, 45(1), 20–46. https://doi.org/10.1177/0007650305281939
  33. Przychodzen, J., Gómez-Bezares, F., Przychodzen, W., y Larreina, M. (2016). ESG Issues among Fund Managers—Factors and Motives. Sustainability, 8(10), 1078.
  34. https://doi.org/10.3390/su8101078
  35. Refinitiv. (2019). Environmental, Social and Governance (ESG) Scores from Refinitiv. ESG Data. https://www.refinitiv.com/content/dam/marketing/en_us/documents/methodology/esg-scoresmethodology.pdf
  36. Refinitiv. (2021). EU SUSTAINABLE FINANCE REGULATION Navigating the sustainable landscape with Refinitiv. Refinitiv ESG Content. https://www.refinitiv.com/content/dam/marketing/en_us/documents/brochures/eu-sustainablefinance-regulationbrochure.pdf?utm_campaign=443870_2021GlobalSustainableFinanceESGyelqCampaignId=1 3827yutm_source=Perspectivesyutm_medium=Blogyutm_content=yutm_term=
  37. Salama, A., Anderson, K., y Toms, J. S. (2011). Does community and environmental responsibility affect firm risk? Evidence from UK panel data 1994-2006. Business Ethics, 20(2), 192–204. https://doi.org/10.1111/J.1467-8608.2011.01617.X
  38. Scholtens, B. (2005). Style and Performance of Dutch Socially Responsible Investment Funds. The Journal of Investing, 14(1), 63–72. https://doi.org/10.3905/joi.2005.479390
  39. Schröder, M. (2004). The performance of socially responsible investments: investment funds and indices. Financial Markets and Portfolio Management, 18(2), 122–142.
  40. https://doi.org/10.1007/s11408-004-0202-1
  41. Schröder, M. (2007). Is there a Difference? The Performance Characteristics of SRI Equity Indices. Journal of Business Finance y Accounting, 34(1–2), 331–348. https://doi.org/10.1111/j.1468- 5957.2006.00647.x
  42. Sharpe, W. (1963). A simplified model for portfolio analysis. Management Science, 9(2), 277–293.
  43. Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, XIX(3), 425–442.
  44. Sharpe, W. (1966). Mutual fund performance. The Journal of Business, 39(1), 119–138.
  45. Statman, M. (2000). Socially Responsible Mutual Funds. Financial Analysts Journal, 56(3), 30–39. https://doi.org/10.3905/jpm.2016.42.2.140
  46. Statman, M., y Glushkov, D. (2009). The wages of social responsibility. Financial Analysts Journal, 65(4), 33–46. https://doi.org/10.2469/faj.v65.n4.5
  47. Valencia, H. (2015). Decomposition of the stocks returns in the sustainable index of the Mexican Stock Exchange Decomposition of the stocks returns in the sustainable index of the Mexican Stock Exchange. 10(1), 85–99.
  48. World Economic Forum. (2022). The Global Risks Report 2022 17th Edition. Reports. https://www3.weforum.org/docs/WEF_The_Global_Risks_Report_2022.pdf
  49. World Federation of Exchanges. (2019). Statistics - The World Federation of Exchanges. Statistics. https://www.world-exchanges.org/our-work/statistics
  50. World Federation of Exchanges. (2020). 2020 Annual Statistics Guide | The World Federation of Exchanges. 2020 Annual Statistics Guide. https://www.world-exchanges.org/ourwork/articles/2020-annual-statistics-guide
  51. Zeng, H., Zhang, T., Zhou, Z., Zhao, Y., y Chen, X. (2020). Water disclosure and firm risk: Empirical evidence from highly water-sensitive industries in China. Business Strategy and the Environment, 29(1), 17–38. https://doi.org/10.1002/BSE.2347
  52. Ziegler, A., Schröder, M., Rennings, K., Ziegler, A., Schröder, · M, y Rennings, · K. (2007). The effect of environmental and social performance on the stock performance of european corporations. Environ Resource Econ, 37, 661–680. https://doi.org/10.1007/s10640-007-9082-
  53. y

Most read articles by the same author(s)

> >>