Meir Statman

Nabduan Duangmanee : 5520212002

“To combine social goal with

investment goal for today and

future shareholders wealth”

The Social Investment forum (1999) report that the assets insocial responsible portfolios increasing from $1.2 trillion in1997 to $2.2 trillion in 1999 from the result of increasing inUS social security fund

The stocks in social security funds are under the

social responsible screen.

The raising of stock calling for the Social Security Plan

from $650 billion to $1.2 trillion over the next 15 years

as the alarm in the market.

Jesse Jackson mentioned about denying to invest in

weapon, tobacco and liquor companies.

Margaret Thatcher sell of government enterprise

President Clinton to buy private equities to be U.S.

enterprises.

Is the index of social responsible companies, and the

performance of social responsible mutual fund during

the year 1990-1998

By Kinder Lydenberg, Domini & Company (KLD) as

weigh index model consist of 400 stocks as following

: 250 stocks from S&P 500 companies

: 100 stocks from non-S&P selected companies

: 50 stocks from non-S&P with strong social

characteristic

The exclusionary Screens To eliminate the companies in Tobacco, Alcohol and

Weapon or Gaming business.

Result

The interest in South Africa was dropped in 1993

The Qualitative ScreensTo considered on the companies record on employee

relation, environment and diversity

Result

CSX Corp was deleted from DSI in March 1998 from

poor environment and safety

DSI > S&P500

1.034

DSI > S&P500

DSI > S&P500

DSI > S&P500

DSI > S&P500

The Mutual fund that use the social screens

same as DSI but not all social responsible mutual

funds use DSI social screen.

Share common criterias with DSI to exclude

- tobacco (84%)

- gambling (72%)

- weapons (68%)

- Alcohol (68%)

Mostly investors (80%) assume that investment

in social responsible portfolio have lower return ,

at least same as conventional mutual funds.

eSDARexcess standard-deviation-adjusted return

By John Rekenthaler, research director of Morningstar

Classification on social conscious mutual fund

Morningstar excluded from the social classification fund from the liquidation of the organization as the second criteria on qualitative screen.

Morningstar list of 64 funds have some issues in duplication of fund, finally the lists have 31 finalist fund

Only 9 funds on the lists were establish before May 1990

To compare the performance of each fund must share the same period of time.

To compare the return of social responsible

funds with S&P500 could be bias because of

different style.

Social Responsible fund with DSI as the best

match of comparison from the similarity in the

concept of society consciousness.

Investor usually match the performance of

social responsible fund with conventional

fund with the size of the asset.

During the period of study from May 1990 to

September 1998

The performance of social responsible funds

relative to DSI better than relative to S&P500

Reasons of this different come from the

factor of the size of capital

# Small-cap = Mutual fund

# Large-cap = S&P500

Investment actions are swords in the social responsible battle by force the company to change their activities

Withdrawing capital from socially irresponsible companies as the sample of tobacco.

Social responsible investors sell the shares of the companies so the shift in supply function occur.

The cost of capital of the firm increase so the irresponsible company must lower the investment.

Political Actions as sword but Investment Actions only

the banner.

Political Actions include Law, Regulations, Tax and

Consumer boycotts

The case of Tobacco,

- The American Medical Association request investor

to divest in tobacco stock as the banners on tobacco

business

- The government as political actions in pattern to

taxes settlement reducing in the numbers of projects

in tobacco company.

Social Responsible Investment is the concerning

in benefit of the investor together with the benefit

for present and future shareholders.

To measure the return on investment from DSI or

S&P have different in style of the investment.

To compare the performance of social

responsible mutual funds with DSI quite effective

from sharing characteristics

Both investment actions and Politic actions can

affects the company to reduce the social

irresponsible activities in CAPM,