Using Fuzzy MCDM to Construct a Corporate Social Responsibility Fund and Evaluating its Performance

• Main Authors: Hsiao-Chang Ben, 卞孝全
• Other Authors: Yi-Chung Hu
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/89131159127377740110

碩士 === 中原大學 === 企業管理研究所 === 95 === According to the report of United Nations Conference on Trade and Development (UNCTAD), there are 51 individual large enterprises out of a hundred major economies in the whole world. This fact indicates that private sector is the key influential power in global economical development. During the past decade, many financial scandals occurred, such as Enron, Worldcom, Procom Technology, Rebar Group, etc. Those scandals heavily shocked the society and economy. Consequently, Corporation Social Responsibility (CSR) becomes an urgent and important topic for all companies. One of the major motivations of this study is that although mutual funds become very popular over past two decades, yet there is no mutual fund in-Taiwan concentrating on investing the companies which emphasize CSR performance. Regarding the rules and structural of CSR, there are certain interactive effects among various parameters. This study first uses the fuzzy integral analysis to measure the performance of the company, then employs the fuzzy measure to demonstrate the complicate relationship between aspect and criterion. The main purpose of this study is to use the fuzzy Multiple Criteria Decision Making (MCDM) to examine the most important CSR aspect and criterion among both manufacturing industry and financial service industry. Secondly, this work evaluates the publicly listed companies based on the investment standards of CSR and form a simulated CSR fund. This investigation then compare the performance of the simulated CSR fund with Taiwan Stock Exchange Index (TAIEX) and Morgan Stanley Capital International Taiwan Index (MSCI Taiwan index) in order to examine whether CSR fund outperforms the TAIEX and MSCI. The empirical results are summarized as follows: The empirical result indicates that the substitute effect exists between three aspects and fifteen criterions of CSR. However, no significant difference exists from the value level of manufacturing industry and that of the financial service industry, only the weight of ethical aspect of manufacturing industry is lower than that of the financial service industry comparatively. Secondly, after analyzing the CSR questionnaires, this study finds that financial analysts paid more attention to company’s financial performance than whether the company implements CSR or not. Finally, this study utilized five indicators (Jensen α、the modified Jensen α、Treynor、Sharpe、M.C.V.) to evaluate the performance of CSR fund, the findings show that the CSR fund outperforms the TAIEX and MSCI. The conclusion is that CSR fund is suitable for investors to hold for a long-term as it has low risk and good return.