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Does corporate social responsibility impact equity risk? International evidence

Author

Listed:
  • Alice Monti

    (UnipolSai Assicurazioni S.p.A.)

  • Pierpaolo Pattitoni

    (University of Bologna)

  • Barbara Petracci

    (University of Bologna)

  • Otto Randl

    (WU Vienna University of Economics and Business)

Abstract

Based on a large panel of listed firms from 52 countries in the period 2002–2020, we investigate the relationship between corporate social responsibility (CSR) and equity risk. We confirm previous evidence that higher CSR scores are related to lower risk measures, considering all types of risks: total, systematic, and idiosyncratic. Analyzing a large international sample allows us to investigate the role of country and company characteristics in the relationship between CSR scores and risk measures. The risk-reducing effect is more pronounced in weaker institutional environments. It is stronger in civil-law countries, in countries with low security regulation or disclosure requirement levels and where financial information is less widespread. Firms in high impact or high profile industries benefit more from CSR than firms in other industries as do firms that are not cross-listed. The financial crisis has increased the risk-reducing effect of CSR. The main results are confirmed in the COVID-19 period.

Suggested Citation

  • Alice Monti & Pierpaolo Pattitoni & Barbara Petracci & Otto Randl, 2022. "Does corporate social responsibility impact equity risk? International evidence," Review of Quantitative Finance and Accounting, Springer, vol. 59(3), pages 825-855, October.
    • Handle: RePEc:kap:rqfnac:v:59:y:2022:i:3:d:10.1007_s11156-022-01059-7
    DOI: 10.1007/s11156-022-01059-7
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    More about this item

    Keywords

    Corporate social responsibility; Equity risk; International evidence;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
    • O57 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Comparative Studies of Countries

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