In the analysis of the Big Five traits I find no evidence in support of the hypothesis of a positive association of Agreeableness with SRI engagement: the 'prosocial' Big Five trait Agreeableness, is associated with neither the interest investors have in investing in SRI nor the likelihood that investors have invested in SRI. My results therefore contrast previous studies finding an association of Agreeableness with pro-social behaviour (e.g. Ben-Ner et al. 2004a; Pothos et al. 2011; Baumert et al. 2014; Kagel and McGee 2014).
Furthermore, I find that investors return expectations are highly significantly positively correlated with both dependent measures.
Given that Agreeableness is the sole 'prosocial' trait within the Big Five and the significant correlation of return expectations, at face value the results could therefore suggest that investors' prosocial tendencies are not an important characteristic when it comes to SRI investing. However, previous studies have also found that not Agreeableness but Openness is associated with prosocial behaviour. For example,
Ben-Ner et al. (2004b) find Openness to be the only Big Five trait associated with pro-social behaviour in a dictator game. I too find that Openness is highly significantly related to both interest in SRI and the likelihood that investors have invested in SRI. This correlation is significant in the full specifications, which includes all controls (models 3 and 6). This association thus appears robust to SRI risk- and return- expectations, and to relevant investor characteristics, such as risk preferences and level of education attained.
In model 3 a one-unit increase in Openness is associated with an increase in the likelihood that this respondent responds 'Somewhat interested' to the question "To what degree would you say you are interested in investing in SRI?" of 3.8%.
In model 6 a one-unit increase of in Openness is associated with an increase in the likelihood that an investor invests in SRI of 4.9%. Other studies also found some evidence of Openness being related to pro-social behaviour, albeit in combination with Agreeableness (Becker et al. 2012; Brandstätter and Königstein 2001; Mehta 2007). It is possible, therefore, rather than prosocial motivations not playing a role in the decision to invest in SRI the non-significance of Agreeableness in my analysis could be due to the way in which Agreeableness accounts for (or rather doesn't effectively account for) prosocial tendencies of people (Hilbig et al. 2014). This was one of the main reasons for the development of the HEXACO framework that I investigate in the next section (Ashton and Lee 2008). Additionally, Openness has been linked to an affinity of individuals for liberal, progressive, left-wing political views (McCrae, 1996). SRI investing could arguably be viewed as a more progressive form of investing, linked to a more left-wing political views. Alternatively, the significance of Openness could thus be interpreted as investors - high in Openness - to be more prone to view SRI as a manifestation of acting on left-leaning political views which is closely related but not identical to prosocial behaviour.
Furthermore, I also find some evidence of a negative association between Conscientiousness and the likelihood that investors have invested in SRI. This association is only weakly significant (at 10%) in the models that include fewer controls, and non-significant in the full specification (model 6). However, previous studies have also found a negative association between Conscientiousness and pro- social behaviour in the dictator game (Ben-Ner et al. 2004a; Becker et al. 2012) and the trust game (Ben-Ner and Halldorsson 2010; Becker et al. 2012; Müller and Schwieren 2012). Given that the results are thus largely in line with previous findings on prosocial behaviour this suggests that SRI engagement could be related to prosocial behaviour but I cannot detect it with Big Five Agreeableness. This
explanation fits in with the extant literature where the association of Agreeableness with prosocial behaviour, although conceptually existent, often has not been found (Hilbig et al. 2014).
5.5 HEXACO traits and interest in SRI
Table 6 presents the results for ordered logit regressions of 'SRI-Interest' on the HEXACO personality trait variables showing three models, with additional control variables included incrementally. The dependent variable is an ordinal variable captured on a 5-point Likert scale, ranging from 1 (‘no interest at all’) to 5 (‘very interested’). I find evidence supporting the hypotheses of a positive association of Honest-Humility with SRI-Interest. The association is significant across all three models and thus seems robust to SRI risk- and return-expectations, and to relevant investor characteristics, such as risk preferences and level of education attained. Furthermore, I find that the other two prosocial traits - Emotionality, and Agreeableness - are also consistently positively associated with SRI-Interest, across all three models. What is more, I find evidence of Openness to be positively associated with the dependent measure. Additionally, I note that investors' risk- and return-expectations are also significantly positively associated with the dependent measure in both models in which they are included (models 8 and 9). All results regarding the personality traits are significant for all three models I estimate, and thus appear robust to investors' SRI risk- and return-expectations and relevant investor characteristics. The diagnostics suggest that the model provides a good fit with the data (Wald Chi-sq. = 24.51 p < 0.000 for model 7; Wald Chi-sq. = 37.34, p < .000 for model 8; and Wald Chi-sq. = 36.16, p < 0.002 for model 9). To ascertain the economic significance of the different variables table B9 in the appendix shows the marginal effects of the full specification for all five possible answers to the question "To what degree would you say you are interested in investing in SRI?". Column 4 (the 4th column from the left) of table B9 in the appendix shows the change in probability of observing outcome '4' (i.e. a respondent answering 'Somewhat interested') for a one-unit increase of the variables. The marginal effects of Honest- Humility, Emotionality, Agreeableness, and Openness are 0.148, 0.1079, 0.1225, and 0.141, respectively. Meaning a one-unit increase of Honest-Humility, Emotionality, Agreeableness, and Openness increases the probability of an investor answering 'Somewhat interested' (i.e. observing the value 4) by 14.8%, 10.79%, 12.25%, and 14.1% respectively. The marginal effect of SRI-Return and SRI-Risk in column 4 is
0.0855, and 0.0958, respectively. Meaning a one-unit increase of SRI-Return and SRI-Risk increases the probability of observing outcome '4' by 8.55%, and 9,58%, respectively. The results suggest that investors' personality traits - measured with the HEXACO instrument - are a more important factor when it comes to the self-reported interest in investing in SRI than are investors' return and risk expectations of SRI assets.
Table 6 - Ordered logit regressions of SRI-Interest on the HEXACO traits Model No. 7 8 9 Variables SRI-Interest Honest-Humility 1.0014** 1.0715** 1.2081** (0.4109) (0.4660) (0.6023) Emotionality 0.7663*** 0.7690** 0.8803** (0.2842) (0.3126) (0.3638) Extraversion 0.4284 0.2481 0.0572 (0.3165) (0.3100) (0.4117) Agreeableness 0.7384** 0.8138** 0.9998** (0.3481) (0.3276) (0.4423) Conscientiousness -0.4676 -0.4414 -0.2611 (0.3507) (0.4380) (0.5019) Openness 0.7835** 0.9452** 1.1506** (0.3478) (0.3755) (0.5087) SRI-Return 0.5379** 0.6982*** (0.2259) (0.2534) SRI-Risk 0.6886** 0.7815** (0.2981) (0.3802) Risk-Preferences 0.0046 (0.0035) Numeracy -0.0735 (0.2032) Total-portfolio -0.0000*** (0.0000) University -0.0087 (0.5548) Economics-Course -0.4174 (0.4781) Age 0.0195 (0.0212) Female -0.1808 (0.8125) Constant cut 1 9.6462*** 13.1320*** 16.3073*** (2.2759) (2.7579) (3.6573) Constant cut 2 10.2274*** 13.8059*** 17.1131*** (2.2998) (2.7866) (3.7197) Constant cut 3 11.8703*** 15.6201*** 19.0521*** (2.3624) (2.8844) (3.8447) Constant cut 4 15.0612*** 18.9622*** 22.4897*** (2.3806) (2.9308) (3.9218) Observations 140 140 116 Pseudo R-squared 0.0652 0.121 0.167 Wald Chi-sq. 24.51 37.34 36.16 P > Chi2 0.000420 9.95e-06 0.00168
Table 6 presents maximum-likelihood ordered logit regressions with White heteroskedasticity-consistent standard errors and covariance. The dependent variable is a measure of interest in investing in SRI: "To what degree would you say you are interested in investing in SRI?" The measure was scored on a 5-point Likert scale, ranging from 1 (‘not at all interested’) to 5 (‘very interested’). "Constant cut" refers to the estimated cut points on the latent variable used to differentiate the five categories of 'SRI Interest' when the values of the independent variables are evaluated at zero. Robust standard errors are in parentheses. * denotes significance at the 10%-level, ** at the 5%-level, and *** at the 1%-level.