Abstract
There are an increasing number of individual or corporate investors who demand
Social Responsibility (SR) to a financial asset. Social responsibility is a multidimensional
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 social responsibility criteria. However, investors may wish to
prioritize a particular dimension depending on their preferences and the purpose of this
work is to tackle this issue.
To that end, Vigeo's list of social responsibility criteria is taken as the starting point for
discussion. The Equitics® database gives the information for the companies' social
responsibility 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 social
responsibility assessment. Besides, we have found that there are few mutual funds
with a good balance between financial and social responsibility behaviour.
