Appendix 1: KLD Dimensions and Indicators

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Appendices

Appendix 1: KLD Dimensions and Indicators

Table 18 – KLD Dimensions and Indicators from 1991 to 2014 CSR

Dimension

Positive Indicators (Strengths)

Negative Indicators (Concerns)

E

n

vir

o

n

m

ent

 Environmental Opportunities – Clean Tech

 Waste Management – Toxic Emissions and Waste

 Waste Management - Packaging Materials & Waste

 Climate Change - Carbon Emissions

 Environmental Management Systems

 Communications

 Property, Plant, and Equipment

 Natural Resource Use - Water Stress

 Natural Resource Use - Biodiversity & Land Use

 Natural Resource Use - Raw Material Sourcing

 Natural Resource Use - Financing Environmental Impact

 Environmental Opportunities - Green Buildings

 Environmental Opportunities – Renewable Energy

 Waste Management - Electronic Waste

 Climate Change – Energy Efficiency

 Climate Change – Product Carbon Footprint

 Climate Change – Insuring Climate Change Risk

 Other Strengths

 Hazardous Waste

 Regulatory Compliance

 Ozone Depleting Chemicals

 Toxic Emissions and Waste

 Agricultural Chemicals

 Energy and Climate Change

 Impact of Products & Services

 Biodiversity & Land Use

 Operational Waste

 Supply Chain Management

 Water Stress

 Other Concerns

Co

mm

u

n

it

y

(S

o

cia

l)

 Generous Giving

 Innovative Giving

 Support for Housing

 Support for Education

 Non-US Charitable Giving

 Volunteer Programs

 Community Engagement

 Other Strengths

 Investment Controversies

 Tax Disputes

 Community Impact

 Other Concerns

Hu

man

Righ

ts

(S

o

cia

l)  Positive Record in South Africa  Labour Rights Strength

 Indigenous Peoples Relations Strength

 Human Rights Policies & Initiatives

 South Africa

 Northern Ireland

 Support for Controversial Regimes

 Mexico

 Labour Rights Concern

 Freedom of Expression & Censorship

 Human Rights Violations

 Indigenous Peoples Relations Concern

 Operations in Sudan

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Source: Based on MSCI (2015)

CSR Dimension Positive Indicators (Strengths) Negative Indicators (Concerns) E mp loye e Re latio n s (So ci al)

 No-Layoff Policy

 Retirement Benefits Strength

 Compensation & Benefits

 Employee Relations

 Professional Development

 Human Capital Development

 Labour Management

 Controversial Sourcing

 Union Relations

 Cash Profit Sharing

 Employee Involvement

 Employee Health & Safety

 Supply Chain Labour Standards

 Other Strengths

 Workforce Reductions

 Retirement Benefits Concern

 Labour-Management Relations

 Labour Rights& Supply Chain – Other Concerns

 Union Relations Concerns

 Health & Safety

 Supply Chain

 Child Labour

Dive rsity ( S o cia l)

 CEO

 Representation

 Board of Directors - Gender

 Work/Life Benefits Women & Minority Contracting

 Employment of the Disabled

 Gay & Lesbian Policies

 Employment of Underrepresented Groups

 Other Strengths

 Representation

 Board of Directors - Gender

 Board of Directors - Minorities

 Workforce Diversity

 Other Concerns

P ro d u ct ( S o cia l)

 Product Safety and Quality

 R&D/Innovation

 Social Opportunities – Access to Healthcare

 Social Opportunities - Access to Finance

 Social Opportunities - Access to Communications

 Social Opportunities - Opportunities in Nutrition and Health

 Product Safety - Chemical Safety

 Product Safety – Financial Product Safety

 Product Safety - Privacy and Data Security

 Product Safety - Responsible Investment

 Product Safety - Insuring Health and Demographic Risk

 Other Strengths

 Product Quality & Safety

 Marketing & Advertising

 Anticompetitive Practices

 Customer Relations

 Other Concerns

G o ve rn anc e

 Limited Compensation

 Ownership Strength

 Reporting Quality

 Political Accountability Strength

 Public Policy

 Corruption & Political Instability

 Financial System Instability

 Other Strengths

 High Compensation

 Ownership Concern

 Accounting Concern

 Reporting Quality

 Political Accountability Concern

 Public Policy

 Bribery & Fraud

 Governance Structures

 Controversial Investments

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Appendix 2: KLD Universe Coverage

Table 19 - KLD Universe Coverage

Data Set Universe

Time Series

Nr. of Companies

Universe A

1991-2014

650

Universe B

2008-2013

1000

Universe C

2001-2013

1100

Universe D

2003-2014

2400

Universe E

2013-2014

2600

Source: MSCI (2015)

Table 20 – Universe Definitions

Data Set Universe

Description

Universe A

MSCI KLD 400 Social Index + MSCI USA

Index

Universe B

Largest 1000 U.S. companies by market

capitalization

Universe C

MSCI KLD 400 Social Index + 1000 Largest

US Companies

Universe D

MSCI USA IMI Index

Universe E

Non-US Universe

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Appendix 3: Research Constructs and Variables

Table 21 – Research Constructs, Variables Collected and Variables Computed

Construct Variables Collected Variables Computed Type of Variable

Type of

Data Timeframe Source

CSR

 Nr. of Environment Strengths

 Nr. of Community Strengths

 Nr. of Human Rights Strengths

 Nr. of Employee Relations Strengths

 Nr. of Diversity Strengths

 Nr. of Product Strengths

 Nr. of Governance Strengths

 CSR Overallt-1  CSR Env.t-1  CSR Com.t-1  CSR Hum.t-1  CSR Emp.t-1  CSR Div.t-1  CSR Pro.t-1  CSR Gov.t-1

Independent

Variables Ratio 2003-2013

KLD

 ∆CSR Overallt,2003  ∆CSR Env.t,2003  ∆CSR Com.t,2003  ∆CSR Hum.t,2003  ∆CSR Emp.t,2003  ∆CSR Div.t,2003  ∆CSR Pro.t,2003  ∆CSR Gov.t,2003

Dependent

Variables Ratio 2003-2013

CFP Net Income Total Assets

 Market Value

 ROAt  Tobin’s Qt

Dependent

Variables Ratio 2004-2014

Compustat

 ROAt-1  Tobin’s Qt-1

Control

Variables Ratio 2003-2013

Bank Size  Total Assets

 Employees

 ln(Assets)t  ln(Employees)t

Moderating

Variables Ratio 2004-2014

Geographical Scope of Activity

 Presence of banks’ branches in the international, national and local level

 Int.Scopet  Nat.Scopet  Local.Scopet

Moderating

Variables Nominal 2004-2014

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Appendix

4

: SIC Code List for Depositary Institutions

Table 22 – SIC Code List within 60. Depositary Institutions

SIC Code Description

60 DEPOSITARY INSTITUTIONS

601 6011

6019

Central Reserve Depository Institutions Federal Reserve Banks

Central Reserve Depositary Institutions, not elsewhere classified

602 6021

6022

6029

Commercial Banks National Commercial Banks

State Commercial Banks

Commercial Banks, not elsewhere classified

603 6035

6036

Saving Institutions

Saving Institutions, Federally Chartered

Saving Institutions, Not Federally Chartered

606 6061

6062

Credit Unions

Credit Unions, Federally Chartered

Credit Unions, Not Federally Chartered

608 6081

6082

Foreign Banking and Branches and Agencies of Foreign Banks Branches and Agencies of Foreign Banks

Foreign Trade and International Banking Institutions

609 6091

6099

Functions Related to Depository Banking Non-Deposit Trust Facilities

Functions Related to Depository Banking, not elsewhere classified

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Appendix 5: Descriptive Statistics for CSR

Table 23 – Descriptive Statistics for CSR

Variable Measure 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Sum 147.00 169.00 149.00 170.00 179.00 181.00 179.00 134.00 134.00 206.00 124.00

Mean 1.53 1.76 1.55 1.77 1.86 1.89 1.86 1.40 1.40 2.15 1.29

Std. Dev. 1.59 1.79 1.98 1.84 1.91 2.21 2.21 3.12 3.12 1.92 2.60

Maximum 10.00 11.00 11.00 10.00 11.00 14.00 14.00 15.00 15.00 10.00 11.00

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.00 0.00

N 96 96 96 96 96 96 96 96 96 96 96

Sum 0.00 0.01 0.02 0.03 0.04 1.00 1.00 30.00 30.00 4.00 5.00

Mean 0.00 0.00 0.00 0.00 0.00 0.010 0.010 0.31 0.31 0.04 0.05

Std. Dev. 0.00 0.00 0.00 0.00 0.00 0.10 0.10 0.85 0.85 0.20 0.34

Maximum 0.00 0.00 0.00 0.00 0.00 1.00 1.00 4.00 4.00 1.00 3.00

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

N 96 96 96 96 96 96 96 96 96 96 96

Sum 23.00 44.00 47.00 45.00 48.00 41.00 40.00 13.00 13.00 15.00 15.00

Mean 0.24 0.46 0.49 0.47 0.50 0.43 0.42 0.14 0.14 0.156 0.16

Std. Dev. 0.56 0.66 0.68 0.68 0.68 0.68 0.68 0.47 0.47 0.36 0.36

Maximum 3.00 3.00 3.00 3.00 3.00 3.00 3.00 3.00 3.00 1.00 1.00

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

N 96 96 96 96 96 96 96 96 96 96 96

Sum 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 0.00 0.00

Mean 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.00 0.00

Std. Dev. 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.10 0.00 0.00

Maximum 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 0.00 0.00

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

N 96 96 96 96 96 96 96 96 96 96 96

Sum 15.00 18.00 20.00 16.00 21.00 26.00 26.00 8.00 8.00 42.00 51.00

Mean 0.16 0.19 0.21 0.17 0.22 0.27 0.27 0.08 0.08 0.44 0.54

Std. Dev. 0.39 0.44 0.56 0.47 0.46 0.57 0.57 0.31 0.31 1.25 1.31

Maximum 2.00 2.00 3.00 2.00 2.00 3.00 3.00 2.00 2.00 6.00 6.00

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

N 96 96 96 96 96 96 96 96 96 96 96

Sum 49.00 57.00 59.00 62.00 62.00 65.00 64.00 59.00 59.00 25.00 26.00

Mean 0.51 0.59 0.61 0.65 0.645 0.68 0.67 0.61 0.61 0.26 0.27

Std. Dev. 0.97 1.08 1.08 1.13 1.18 1.25 1.25 1.39 1.39 0.65 0.67

Maximum 5.00 6.00 6.00 5.00 5.00 6.00 6.00 6.00 6.00 3.00 3.00

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

N 96 96 96 96 96 96 96 96 96 96 96

Sum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 19.00 19.00 85.00 9.00

Mean 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.20 0.20 0.89 0.09

Std. Dev. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.40 0.40 0.32 0.36

Maximum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.00 1.00 1.00 2.00

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

N 96 96 96 96 96 96 96 96 96 96 96

Sum 59.00 49.00 22.00 46.00 47.00 47.00 47.00 4.00 4.00 35.00 18.00

Mean 0.61 0.51 0.23 0.48 0.49 0.49 0.49 0.04 0.04 0.36 0.19

Std. Dev. 0.49 0.50 0.42 0.50 0.50 0.0 0.50 0.20 0.20 0.48 0.39

Maximum 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

Minimum 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

N 96 96 96 96 96 96 96 96 96 96 96

CSR Product

CSR Governance

CSR Overall

CSR Environment

CSR Community

CSR Human Rights

CSR Diversity CSR Employees

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Appendix 6: Descriptive Statistics for CFP

Table 24 – Descriptive Statistics for CFP

Appendix 7: Descriptive Statistics

for Banks’ Size

Table 25 – Descriptive Statistics for Banks’ Size

Appendix 8: Descriptive Statistics for Geographical Scope of Activity

Table 26 – Descriptive Statistics for Banks’ Geographical Scope

Variable Measure 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Sum 0.0141 0.0134 0.0135 0.0141 0.0102 0.0012 0.0023 0.0037 0.0060 0.0080 0.0098 0.0080

Mean 0.0122 0.0120 0.0120 0.0125 0.0095 0.0029 0.0002 0.0033 0.0070 0.0096 0.0105 0.0078

Std. Dev. 0.0041 0.0053 0.0035 0.0099 0.0049 0.0120 0.0161 0.0148 0.0081 0.0068 0.0060 0.0083

Maximum 0.0286 0.0435 0.0214 0.1028 0.0206 0.0179 0.0369 0.0196 0.0275 0.0352 0.0392 0.0175

Minimum 0.0038 -0.0124 0.0041 0.0049 -0.0152 -0.0535 -0.0644 -0.0690 -0.0325 -0.0157 -0.0032 -0.0568

N 96 96 96 96 96 96 96 96 96 96 96 96

Sum 0.2110 0.2064 0.1789 0.1944 0.1362 0.0774 0.0864 0.0994 0.0761 0.0969 0.1281 0.1334

Mean 0.2169 0.2256 0.1956 0.2043 0.1464 0.1297 0.1092 0.1274 0.1128 0.1262 0.1688 0.1546

Std. Dev. 0.0793 0.0734 0.0560 0.0594 0.0501 0.0718 0.0748 0.0542 0.0536 0.0817 0.0971 0.0486

Maximum 0.5840 0.5625 0.3896 0.4986 0.3309 0.4077 0.5406 0.3289 0.3971 0.8272 0.9456 0.4475

Minimum 0.1003 0.1056 0.0604 0.0609 0.0266 0.0042 0.0082 0.0119 0.0206 0.0553 0.0784 0.0768

N 96 96 96 96 96 96 96 96 96 96 96 96

T

o

b

in

's

Q

R

O

A

Variable Measure 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Sum 3 078 843.96 3 448 928.79 3 766 969.08 4 279 689.32 5 296 675.40 5 640 847.86 5 716 635.75 5 812 757.33 6 076 479.57 6 143 378.48 6 524 550.06

Mean 32 071.29 35 926.34 39 239.26 44 580.10 55 173.70 58 758.83 59 548.29 60 549.56 63 296.66 63 993.53 67 964.06

Std. Dev. 123 123.24 142 208.40 158 445.22 185 859.95 228 670.80 259 454.24 263 962.53 255 635.94 268 358.61 265 505.98 275 943.89

Maximum 1 110 457.00 1 291 803.00 1 459 737.00 1 715 746.00 1 817 943.00 2 223 299.00 2 264 909.00 2 129 046.00 2 209 974.00 2 102 273.00 2 104 534.00

Minimum 1 327.49 1 634.61 1 836.71 1 885.55 2 002.34 1 769.35 1 837.99 1 794.16 1 918.05 2 059.11 2 328.45

N 96 96 96 96 96 96 96 96 96 96 96

Sum 703.11 724.67 776.32 796.80 948.20 969.81 982.86 982.73 975.78 949.74 936.93

Mean 7.324 7.549 8.087 8.300 9.877 10.102 10.238 10.237 10.164 9.893 9.760

Std. Dev. 23.84 24.44 26.84 27.44 38.05 39.86 40.51 39.55 38.85 36.85 35.62

Maximum 175.742 176.638 203.425 209.718 281.000 284.000 288.000 282.000 269.200 264.900 264.500

Minimum 0.131 0.202 0.248 0.243 0.245 0.245 0.266 0.358 0.385 0.378 0.409

N 96 96 96 96 96 96 96 96 96 96 96

A

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Variable Measure 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Local Scope N 64 64 63 63 63 63 63 63 63 63 63

National Scope N 23 23 24 24 24 24 24 24 24 24 24

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Appendix 9: Sub-questions, Hypotheses and Findings

Table 27 – Research Sub-questions, Hypotheses and Respective Findings

Sub-question Hypothesis Finding

Characterization of CSR performance evolution in the banking sector: How have overall CSR and individual CSR dimensions evolved over time, especially in light of the 2008 financial crisis?

H1.a. Overall CSR performance has increased in the banking industry after the

2008 financial crisis. Not Supported

H1.b. Individual dimensions of CSR performance have increased in the banking

industry after the 2008 financial crisis. Partially Supported

Nature of the Relationship between CSR and CFP in the Banking Industry: To what extent do overall

CSR and individual CSR dimensions impact banks’

financial performance, and how?

H2.a. Overall CSR has a positive impact on CFP in the banking industry. Not Supported H2.b. Individual CSR dimensions have a positive impact on CFP in the banking

industry. Partially Supported

Evolution of the Relationship between CSR and CFP in the Banking Industry: How has this impact changed in the context of the 2008 financial crisis?

H3.a. The impact of overall CSR on CFP has increased in the banking industry

after the 2008 financial crisis. Not Supported

H3.b. The impact of individual CSR dimensions on CFP has increased in the

banking industry after the 2008 financial crisis. Not Supported

Moderators of the Relationship between CSR and CFP in the Banking Industry: To what extent do banks’ size and their geographical scope of activity (international, national or local) moderate the impact

of overall CSR and individual CSR dimensions on

financial performance?

H4.a.i. Banks’ size moderates the impact of overall CSR on CFP, in the sense

that larger banks have higher impacts. Not Supported

H4.a.ii.Banks’ size moderates the impact of overall CSR on CFP, in the sense

that smaller banks have higher impacts. Not Supported

H4.b.i.Banks’ size moderates the impact of individual CSR dimensions on CFP,

in the sense that larger banks have higher impacts. Partially Supported H4.b.ii.Banks’ size moderates the impact of individual CSR dimensions on CFP,

in the sense that smaller banks have higher impacts. Partially Supported H5.a.i.Bank’s geographical scope of activity moderates the impact of overall

CSR on CFP, in the sense that multinational banks have higher impacts. Not Supported H5.a.ii.Bank’s geographical scope of activity moderates the impact of overall

CSR on CFP, in the sense that local banks have higher impacts. Not Supported H5.b.i.Bank’s geographical scope of activity moderates the impact of individual

CSR dimensions on CFP, in the sense that multinational banks have higher impacts.

Not Supported

H5.b.ii.Bank’s geographical scope of activity moderates the impact of individual

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