Présentation de Thomas Lagoarde-Segot

25Novembre 2016
SolvingtheSRIpuzzle?Anoteonthemainstreaming
ofethicalinvestment
FinanceResearchLetters(2016)
EliasErragragui(KEDGEBusinessSchool)
ThomasLagoarde-Segot(KEDGEBusinessSchool&LEST,UMRCNRS7317)
1
Post Crisis Finance Research Network
From crisis to viability: finance reconsidered
The ongoing economic, social and environmental crisis has revealed the need to redefine the function of finance. Academic
finance bears significant responsibility in this process addressing the interaction between finance and society. As a response, many
private actors have broadened their definition of ‘value’ in order to include environmental and social elements into their management
and asset allocation practices. Such practices, however, appear incompatible with the current theoretical and methodological
foundations of academic mainstream finance, which is heavily influenced by logical positivism and the methodological individualism
hypothesis based on the maximization of the shareholder utility function. Academic finance focuses on the micro level and
emphasizes econometric modelling rather than adopting a longer-run view incorporating the lessons from economic history. This
paradox challenges us to reconsider the epistemological and theoretical foundations of modern finance, and, in particular, the
dominant role played by shareholders. It is our responsibility to question the idea that social welfare and ethics are simply the result
of shareholders value maximization and to enrich finance research, particularly with perspectives and contributions from other social
sciences. In particular, we argue that there is a need to turn the order upside down: economy and finance must be embedded in
environmental and social welfare in order to confront the challenges we face, rather than the other way around. Should we promote
another character, as a substitute to the shareholder? How might we (re)define the concept of value? The network will serve as an
interdisciplinary forum for the rethinking of academic finance, with a view to carving out sustainable paths for financial research and
practices in the 21st century.
Themes of interest include:
•
(Re)defining value(s) and wealth
•
Alternatives to shareholder value maximization and promote a long term and sustainable perspective.
•
Critical perspectives in accounting
•
Economic history and finance
•
Finance and comparative capitalism
Keywords: ethics; financialization; critical
•
Finance and the Global South
perspectives, crisis, sustainability, social impact
finance, networks
•
Financialization, networks and interconnectivity
•
New metaphors for the study of post crisis finance
•
Rethinking education in finance
•
Social banking and finance
L’ISRetlarecherche en finance
Le‘puzzle’empirique
§ Impactdéfavorable desfiltres surlafrontière d’efficience
§ RSEetcompétitivité desfirmes
§ Résultats inconclusifs (Revelli andViviani,2015)
Une controverse àdépasser?
§ Ontologie sociale:leréalisme critique(Downward,2016)
§ Lafinanciarisation comme structureproductrice dedonnées?
§ L’hypothèse del’intégration (‘mainstreaming’)
L’hypothèse d’intégration (mainstreaming)
“adoubleprocessofupstreamingethicalstocksintoconventional
indicesandportfolios,anddownstreaming conventionalstocksinto
ethicalindicesandportfolios”
§ L’intégration parl’amont (upstreaming)reflète l’inclusion des
constituentsdesindicesISRdans lesindicesconventionnels
§ L’intégration parl’aval (downstreaming)reflète lesenjeux
méthodologiques dufiltrage
§ Opérationalisation:nullité desécarts deperformanceISRvs.
portefeuilles conventionnels
Données etméthodologie
Données
§
§
§
§
24indicesconventionnels,islamiques,ISR
5marchés développés:USA,GB,Japon,Canada,Australie
3marchés émergents:Brésil,Inde,Afrique duSud
IndicesMSCIhorsdividendes
Méthodologie
§ Statistiques descriptives +rendements glissants
§ Testbivarié surlesdifférentiels deratiosdeSharpeannualisés
§ Testmultivarié surlesdifférentiels deratiosdeSharpeannualisés
(LeungandWong,2008)
§ Modèle d’évaluation desactifs (EGARCHavecclustersICSS)
§ Testsurlesdifférences entrealfas
Données
Market
Country
Australia
Canada
Developed
Japan
U-K
United-States
Brazil
Emerging
India
South Africa
Indxe type
Conventional
Islamic
Index name
MSCI Australia
MSCI Australia Islamic
Ticker
MXAU
MIAU
SRI
MSCI Australia SRI
MXAUSI
Conventional
Islamic
SRI
Conventional
Islamic
SRI
Conventional
MSCI Canada
MSCI Canada Islamic
MSCI Canada SRI
MSCI Japan
MSCI Japan Islamic
MSCI Japan SRI
MSCI United Kingdom
MXCA
MICA
MXCASI
M3JP
MIJP
MXJPSI
M3GB
Islamic
MSCI United Kingdom Islamic
MIGB
SRI
MSCI United Kingdom SRI
MXGBSI
Conventional
Islamic
SRI
Conventional
Islamic
MSCI USA
MSCI USA Islamic
MSCI USA SRI
MSCI Brazil
MSCI Brazil Islamic
MXUS
MIUS
MXUSSI
MXBR
MIBRO
SRI
MSCI Brazil ESG
MXBRSI
Conventional
Islamic
SRI
Conventional
MSCI India
MSCI India Islamic
MSCI India ESG
MSCI South Africa
MXIN
MIIN
MXINSI
M3ZA
Islamic
MSCI South Africa Islamic
MIZA
SRI
MSCI South Africa ESG
M3ZASI
Rendements glissants – 6mois
-.6
-.4
-.2
0
.2
.4
United States
01jan2008
01jan2010
day
Roll_us
Roll_usisl
01jan2012
Roll_ussri
01jan2014
Rendements glissants – 6mois
-1.5
-1
-.5
0
.5
1
Brazil
01jan2008
01jan2010
day
Roll_bra
Roll_braesg
01jan2012
Roll_braisl
01jan2014
Testmultivarié surlesratiosdeSharpe
Considérons le vecteur kx1 des ratios de Sharpe des k portefeuilles observés:
𝜇 𝜃 =
𝜇$
𝜇(
,…,
′
𝜎$
𝜎(
Définissons lamatrice C k-1×k suivante:
æ 1 - 1 0 ...
ç
1 - 1 ...
ç0
C =ç0 0
1 -1
ç
ç ... ... ... ...
ç 0 ... ... ...
è
0ö
÷
0÷
... 0 ÷
÷
... ... ÷
1 - 1÷ø
0
...
L’hypothèse d’égalité des k ratios de Sharpe s’écrit H0:Cμθ=0 versus H0:Cμθ≠0.
Estimationdesalfas:E-GARCHetdummiesICSS
§ Filtrage initialGARCH(1,1)
§ Identificationdepicsdevolatilité endogène (Bacmann &Dubois,2002)
§ Insertiondesdummiesdans l’équation devarianced’unmodèle E-GARCH:
(𝑟, − 𝑟., ) = 𝛼 + 𝛽(𝑟3, − 𝑟., ) + 𝜀,
𝐿𝑜𝑔 𝑉𝑎𝑟 𝜀, 𝜀,>$
with
𝜀, = 𝑧, ℎ,
= 𝐿𝑜𝑔 𝜎,? = 𝐿𝑜𝑔 ℎ,
= 𝜔 + 𝑑$ 𝐷$ + ⋯ + 𝑑D 𝐷D + 𝛾𝑍,>$ + 𝜃 𝑍,>$ − 𝐸 𝑍,>$
+ 𝜑𝐿𝑜𝑔(ℎ,>$ )
§ Trois spécifications:sansdummies,avecdummies,avecdummiessignificatives
§ Comparaison desalphasparune statistique detestZ
Testsurles alphas
Conclusions
§ Le“matchnul”entretenantsetcontempteurs d’une surperformance
desfonds ISRreflète l’intégration del’investissement éthique dans une
réalité financiarisée
§ Hypothèse soutenue parune batterie detestsmenée surlapériode
2008-2014
§ Questionnements:
1.
2.
3.
Travailquantitatif:descendre auniveau micropouranalyser les
constituentsdesindices
Travailqualitatif:comprendre lemodèle réel d’allocation desactifs
utilisé parlesgérants deportefeuille
Travailconceptuel:redéfinir lavaleur pourré-encastrer lesdécisions
financières dans lescontraintes desoutenablité