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Corporate Social Responsibility and the Cross Section of Stock Returns

Abraham Lioui

出版	SSRN, 2018
URL	http://books.google.com.hk/books?id=sW_7zgEACAAJ&hl=&source=gbs_api

註釋

Does Corporate Social Responsibility (CSR) matter for the cross section of stock returns ? Constructing a CSR factor long irresponsible firms and short responsible ones, we show that CSR is pervasive in the cross section of the returns of portfolios sorted on size and book to market, momentum, investment and profitability. All portfolios load positively on the CSR factor, hence exposure to CSR risk is general and its price of beta risk is 2.34 % per year on average. Growth, low momentum, conservative and weak firms all load more on the factor than value, high momentum, aggressive and robust firms. The loadings are higher for small stocks relative to big ones. The findings are robust to controlling for quality and governance. Since the long/short portfolio is most correlated with the irresponsible leg, the CSR factor can be interpreted as an irresponsibility factor. The latter is built from stocks with low rating in CSR strengths (irresponsible leg) and concerns (responsible leg). The two set of firms have highly correlated returns which does not allow one to consider separately irresponsibility and responsibility.