Does Corporate Social Responsibility Impact Equity Risk? International Evidence.

39 Pages Posted: 9 May 2018 Last revised: 1 Feb 2019

See all articles by Alice Monti

Alice Monti

University of Bologna

Pierpaolo Pattitoni

University of Bologna - Department of Statistical Sciences ; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Barbara Petracci

University of Bologna- Department of Management

Otto Randl

WU Vienna University of Economics and Business

Date Written: January 31, 2019

Abstract

We investigate the relationship between corporate social responsibility (CSR) and risk, using measures that capture systematic, idiosyncratic, downside and extreme risks. We analyze the aggregate CSR score as well as its subdimensions. We base our analysis on a large panel of listed firms from 52 countries in the period 2002-2015 and use GMM estimators that allow considering both autoregressive memory in risk measures and possible endogeneity of CSR. Our findings show that CSR has a risk-reducing effect on risk. This effect is stronger in civil-law countries with low security regulation and disclosure requirement levels and in countries where financial information is less widespread. Firms in high-impact or high-profile industries benefit more from CSR than firms in other industries. Similar benefits apply to firms that are not cross-listed. Finally, the financial crisis has increased the risk-reducing effect of CSR.

Keywords: corporate social resposibility, risk

JEL Classification: G12, G32, M14

Suggested Citation

Monti, Alice and Pattitoni, Pierpaolo and Petracci, Barbara and Randl, Otto, Does Corporate Social Responsibility Impact Equity Risk? International Evidence. (January 31, 2019). Available at SSRN: https://ssrn.com/abstract=3167883 or http://dx.doi.org/10.2139/ssrn.3167883

Alice Monti

University of Bologna ( email )

Piazza Scaravilli 2
Bologna, 40100
Italy

Pierpaolo Pattitoni

University of Bologna - Department of Statistical Sciences ( email )

Via Belle Arti 41
Bologna, 40126
Italy

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

Barbara Petracci

University of Bologna- Department of Management ( email )

Via Capo di Lucca 34
Bologna, 40100
Italy

Otto Randl (Contact Author)

WU Vienna University of Economics and Business ( email )

Welthandelsplatz 1
Vienna, 1020
Austria
+ 43 1 313 36 - 5076 (Phone)

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