آیا شاخصهای سهام سرمایه گذاری در بازارهای نوظهور حق مسئولیت اجتماعی پرداخت می کنند؟ مدارک و شواهد از برزیل

This paper explores the financial performance of a mainstream socially responsible investment equity index in emerging markets: the Brazilian Corporate Sustainability Index. The results indicate that investors in emerging markets could accommodate their ethical values while at the same time not scarifying their overall portfolio performance in bullish market periods. However, the financial crisis led ethical investors to take a riskier and less profitable portfolio. These results seem to be due to socially responsible investment in Brazil that, as with other emerging markets, is highly influenced by social and institutional factors.

Demand for integrating social and environmental concerns in financial markets was supplied by the introduction of different mechanisms for socially responsible investment (SRI). This approach, also known as ethical investment or sustainable investment (Renneboog et al., 2008), considers factors related to the environment, society, and human rights, in addition to traditional financial issues, thus allowing investors to match their investment strategy with their ethical values (Domini, 2001). Although SRI emerged in the middle of the last century, it has come into prominence largely within the past two decades (Fowler and Hope, 2007). During this period, SRI has ceased to be a niche activity and has become a core factor for mainstream investors in developed countries (Statman, 2006). As a report from EUROSIF (2010a) emphasizes, “Total SRI Assets under Management (AuM) in Europe have reached €5 trillion, as of December 31, 2009, whereas they represented close to €2.7 trillion in 2005.” In the United States, SRI has increased in terms of dollars invested by 1200% between 1995 and 2009, resulting in a current share of about 10% of the SRI assets in the AuM on that market (EUROSIF, 2010a). The great development of this non-conventional investment approach was mainly originated by demand from institutional investors, through the mainstreaming of environmental, social, and governance principles in financial services, and by external pressures from the major nongovernment organizations (NGOs) worldwide (EUROSIF, 2010a). This steep growth in SRI worldwide has stimulated the interest of academics and practitioners in conducting research on SRI performance (Fowler and Hope, 2007). Previous studies have mainly focused on measuring the risk-adjusted returns of several SRI assets, investment or pension funds, or SRI equity indexes in developed countries (Fowler and Hope, 2007). Although emerging markets have been a mainstream research area in the management and business agenda, thus far there has been little interest in SRI performance research in emerging countries. This lack is even more remarkable when considering that, according to the International Finance Corporation's1 (IFC) claims, investor interest in SRI in emerging markets has gained momentum over the past decade (IFC, 2011). A global overview indicates that SRI has gradually evolved in emerging markets to represent over €200 billion2 (MERCER and IFC, 2009). This increase could be explained by the integration of corporate social responsibility (CSR) principles into financial markets, which is relevant to social and economic progress in emerging countries. More importantly, another relevant factor is the development of SRI equity indexes, which are non-conventional stock indexes of great relevance in this process because they have contributed to increased awareness and growing acceptance of the core concepts of sustainable investing among both companies and investors in these countries (IFC, 2011). The most notable example of this process is the creation and development of the Brazilian Corporate Sustainability Index (BCSI) in Brazil in 2005. As an illustration, the amount of Brazilian retail SRI AuM grew from about €42 million in 2005 to over €700 million in 2009 (MERCER and IFC, 2009). This phenomenon has been similar to what occurred in the U.S. and Europe as a consequence of the appearance of the Dow Jones Sustainability Indexes (DJSI) and the FTSE4Good Indexes. However, although the U.S. and Europe SRI equity indexes' “revolution” has been widely studied (Schröder, 2007), similar studies have not been done in emerging markets. To address this issue, this research explores, following traditional research on corporate social performance (CSP), the financial performance of the BCSI, thus contributing to the recent claims of the IFC and the World Bank that state that more research is required to further document the possible relationship between a company's sustainability performance and financial outcomes in emerging markets (IFC, 2011). Because the companies included in the BCSI are associated with higher levels of sustainability (see Appendix 3 for further details), this research should bring new insights about how companies' sustainability policies and strategies influence their financial performance. The analysis of BCSI performance could allow for the evaluation of how Brazilian companies manage risk and avoid costs (i.e., downside risks) and take advantage of sustainability-driven innovations in products, services, brands, and other intangibles (i.e., upside opportunities) (IFC, 2011). Although there are SRI equity indexes in other emerging countries (see Appendix 1 for a complete list of the current SRI indexes in emerging markets), the BCSI was the second launched at the global level and the first of its kind in Latin America.3 Moreover, the amount of SRI AuM in Brazil, where SRI has great institutional backing, is higher than in other emerging countries like India, where retail investors dominate. This is of special importance because institutional investors, such as pension funds, insurance companies, bank trusts, and other diversified financial forms, have become increasingly influential with their cross-border portfolios in the global financial markets in the past 20 years (Wen, 2009). Institutional investors' activism on SRI should subsequently promote global sustainability. This study of SRI in Brazil is also relevant because that market, as with other emerging economies, presents some factors that differ from established markets and that could have a significant impact on SRI performance. Examples, among others, are the rapid population growth, the potential of companies in developing countries to lead the world in CSR practices, the limited transparency in corporate governance (CG), the great role of the government in influencing the companies' governance structures, the high levels of social and income inequalities, the restrictions of the local capital market, the limited access of the firms to long-term sources of finance, and the deficiencies of ethics management. The analysis of the BCSI financial performance is assessed by comparing it with its official benchmark, the Bovespa Index. This is of special importance because the only difference between the BCSI and the Bovespa Index is the social and environmental screening process. Therefore, the differences between these indexes' performance could only be attributable to their different social, environmental, and corporate governance performance, aspects that will make the results more robust than those shown in other papers that use non-official benchmarks to measure the financial performance of several SRI equity indexes worldwide. To better understand the SRI performance phenomenon in Brazil, in this study the performance of the BCSI is compared to the results obtained by the other four most important equity indexes in the Brazilian market. The empirical analysis is carried out by using econometric techniques that have not been previously applied in the SRI field. The state-space market model will allow us to identify the stochastic process that drives the time-varying return and risk levels of the BCSI. This method will make it possible to identify the appearance of regime changes in the dynamics of the BCSI risk and returns in several market conditions (i.e., bull and bear market periods alike). This is of special interest because this research examines a timeframe that covers the financial downturn in late 2008. The implemented method will also allow us to obtain results that are expected to be of special relevance for improving the asset allocation process and the portfolio management procedures in controversial economic settings in emerging markets such as Brazil. Finally, this study is focused on a recent period (2006–2010) with a large increase in SRI at the global level, even as investors have attained a significant level of knowledge about SRI equity indexes, which will make the results more reliable and relevant for discussions. The rest of this paper is organized as follows. The next section reviews the previous literature. Open questions on this topic are reviewed and the research hypotheses are presented. Section 3 introduces the theoretical econometric models to be applied, explains the sample selection methodology, and presents a descriptive study of the data. The results are shown in Section 4. Finally, conclusions, further discussions, and future research opportunities are in the last section.

This work aims to explore the financial performance of the mainstream SRI equity index in emerging markets in the Latin American context: the Brazilian Corporate Sustainability Index (BCSI). In order to assess the impact of the social and environmental screening process on the BCSI's performance, the latest results are compared with those of the official benchmark: the Bovespa Index. Thus, this research is expected to bring new insights about the implications of introducing CSR issues on investment strategies in emerging markets. This is because the only difference between the BCSI and the Bovespa Index refers to the BCSI social and environmental screening process. The main results partially challenge previous findings of studies about SRI equity indexes' performance focused in established markets that support the tenets of modern portfolio theory. This is because the present research suggests that investing in the BCSI does not result in a risk or return disadvantage in bullish market periods. This idea is contrary to the modern portfolio theory, which predicts the negative financial performance of SRI equity indexes because social and environmental screens limit diversification possibilities and, consequently, lead investors to less favorable investments. Although these premises have been supported in studies focused on developed countries, this research shows empirical evidence of a positive view of financial markets for those companies that embraced improving their levels of corporate social performance (CSP) in emerging markets. Furthermore, this research provides a convincing background to explain this effect by analyzing some economic, political, and institutional factors that influence the performance of the BCSI. This work emphasizes that companies belonging to the BCSI seem to get financial benefits due to the following issues: their commitment to a rational use of natural resources and environmental preservation, their commitment to CSR principles, their commitment to high levels of transparency about corporate governance issues, and their reduced exposure to insider ownership. Thus they can access long-term sources of financing while maintaining their activism in corporate social investment processes and their out-performance in ethics management and other social issues. All of these considerations bring these companies in the BCSI the opportunity to benefit from enhanced business opportunities that could improve their performance. This is due to investors' perception that these well-governed companies are less risky and are able to achieve a better financial performance in the mid- to long term. However, during the financial crisis, the BCSI became riskier than its official benchmark. Although this issue is in line with the principles of the modern portfolio theory, it could be explained by the fact that the BCSI is more sensitive to changes in the market cycle, given that it includes companies affected to a larger extent by fluctuations, whereas its benchmarks comprise more stocks in other “sin” sectors that are not affected to the same extent. These considerations have important implications for investors interested in business in emerging markets and especially for active portfolio management. This research brings new information for adjusting portfolios' risk and return levels. This information is even more important in an economic environment that features uncertainty, such as that which has been in place since mid-2008. Some descriptive studies on SRI in emerging countries have shown that investors in developed markets invest in SRI when they seek diversification opportunities in market crash periods (MERCER and IFC, 2009). These strategies should be implemented with great caution, as the results provide evidence that the BCSI was slightly riskier than its benchmarks during market downturn periods. This study presented relevant implications for firm managers and to those involved in strategic-management policy planning. Because of the better financial performance of the BCSI, the companies that were not included in the SRI equity index have had great incentives to be included in future periods. This will generate not only better levels of financial success for those companies, but also significant improvements in their social and environmental performance. This scenario will generate a competitive scheme between Brazilian companies in terms of CSP, an aspect that inherently promotes the implementation of CSR issues in Brazilian firms. This process is expected to encourage ethical investments in developing countries, thus reducing social inequalities and improving society's well-being in emerging markets. The results and conclusions of this research need to be interpreted with some caution, mainly because of concerns about whether SRI equity indexes are truly “ethical” or whether there are several nonsocial issues prevailing in the construction of these indexes. Specifically, the literature indicates that these nonconventional stock exchange indexes are deficient, mainly due to the information used to determine the inclusion of a company's stock in the index is based somewhat, if not solely, on the basis of information provided by the company, with no independent verification as to its reliability. However, it is interesting to note that this major flaw has less impact in the BCSI case; this is because the companies included in the BCSI, if they are not excluded from the following period, are required to present documents that prove their sustainability policies. Verification of these documents are now being taken into account by the BCSI Board (refer to Appendix 3 for further details). Although the robustness of the SRI equity indexes could weaken the results of studies, including those of the present study, it is interesting to consider that the screening processes and the application of these ethical criteria “gets down to judgment calls” (Statman, 2006). The results of the current study offer new research opportunities in the field. Having demonstrated the suitability of the model proposed in this research, it is further recommended that it be extended to the traditional SRI equity indexes that have been widely analyzed in the literature (e.g., the DSI, DJSI, FTSE4Good indexes, etc.). It would be interesting to study whether the risk-adjusted returns associated with this kind of SRI are influenced by market conditions, such as the behavior of the time-varying risk levels of the BCSI. This research could serve as a starting point in analyzing the performance of other SRI equity indexes in emerging markets (refer to Appendix 1). This would provide a more complete picture of the performance of SRI equity indexes in the most relevant emerging markets in terms of SRI. Moreover, it would be very interesting to study how, if at all, the regulatory variance introduced by the BASIC consortium 12 affects SRI performance in Brazil and in other emerging markets that are promoting SRI schemes, such as South Africa, India, and China.