Is Corporate Social Responsibility viewed as a risk factor? Evidence from an asset pricing analysis

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Is Corporate Social Responsibility viewed as a risk factor? Evidence from an asset pricing analysis

Author Info

Manescu, Cristiana () (Center for Finance, School of Business, Economics and Law, University of Gothenburg)

Abstract

Using detailed data on corporate social responsibility (CSR) for a long panel of large publicly traded U.S. firms during July 1992-June 2008, this study investigates whether an overall measure of CSR, aggregated over seven dimensions (community, corporate governance, diversity, employee relations, environment, human rights, and product safety), can explain variation in stock returns, using Fama and MacBeth (1973) month-by-month cross-sectional regressions approach. Risk- factor analysis indicates a shift in the effect of CSR, with a positive effect on stock returns during July 1992 - June 2003, and a negative effect during July 2003 - June 2008. These results are robust even after controlling for ten industry-specific effects. Analysis on the disaggregated CSR measures reveals that it is only the Community and Employee Relations dimensions generating the positive e ect of CSR on stock returns during 1992-2003. The negative effect during 2003-2008 was mainly generated by the Human Rights, Product Safety, and Employee Relations dimensions. This constitutes evidence that these three CSR dimensions function as risk factors.

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Publisher Info
Paper provided by Göteborg University, Department of Economics in its series Working Papers in Economics with number 376.

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Length: 32 pages
Date of creation: 01 Sep 2009
Date of revision:
Handle: RePEc:hhs:gunwpe:0376

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Postal: Department of Economics, School of Business, Economics and Law, Göteborg University Box 640, SE 405 30 GÖTEBORG, Sweden
Phone: 031-773 10 00
Web page: http://www.handels.gu.se/econ/
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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
M14 - Business Administration and Business Economics; Marketing; Accounting - - Business Administration - - - Corporate Culture; Social Responsibility

This paper has been announced in the following NEP Reports:

NEP-ALL-2009-09-11 (All new papers)
NEP-BEC-2009-09-11 (Business Economics)
NEP-CFN-2009-09-11 (Corporate Finance)
NEP-MIC-2009-09-11 (Microeconomics)

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This page was last updated on 2009-12-9.

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