دانلود رایگان مقاله انگلیسی ابزاریابی فاکتورهای خطر مسئولیت اجتماعی شرکتی - الزویر 2018

Abstract

A typical argument in the literature is that Corporate Social Responsibility (CSR) reduces the risk of conflicts with stakeholders. In accordance to this, we test whether: i) domain specific CSR portfolios present pricing anomalies that could be captured by the introduction of risk factors accounting for exposition to stakeholder risk, ii) this risk source is priced in the cross-section of stock returns. In doing so we are particularly cautious in disentangling the contributions of different CSR domains in generating the pricing anomalies. Our findings show the existence of pricing anomalies related to CSR, which vary in numbers across all the domains under analysis. Even if our domain-specific CSR risk factors are not able to capture all pricing anomalies, we find that they reduce their absolute value. Additionally, our results show that the stakeholder risk is priced in the cross-section of returns, and that such additional risk source presents different premiums for each domain.

6 Conclusion

CSR is a phenomenon of growing relevance in contemporary global markets. On the one hand, CSR implies a shift of focus from straightforward profit maximization to the satisfaction of interests of a wider range of stakeholders. On the other hand, by doing so it reduces the risk of conflict with stakeholders. The importance of CSR in contemporary economics is confirmed by the increasing value of assets under management that use SRI standards. A possible explanation for this upward trend (other than changes in investors’ tastes) is that, firms with high CSR scores exhibit more favorable risk characteristics. Even though it is still an open question whether and to what extent responsible investments are able to generate significantly different risk-adjusted returns, they can be used to reduce the exposure to stakeholder risk.

We add to the existing literature on SRI in three ways. Specifically, we test i) whether portfolios of firms with different scores in the various CSR domains present pricing anomalies that can be captured by introducing risk factors that account for exposure to stakeholder risk, ii) whether this risk source is priced in the cross-section of stock returns. Additionally, we conduct our analysis at the disaggregated CSR domain level by introducing domain-specific CSR test portfolios and risk factors.