Doing Safe by Doing Good: Non-Financial Reporting and the Risk Effects of Corporate Social Responsibility

61 Pages Posted: 18 Aug 2020

See all articles by Christina E. Bannier

Christina E. Bannier

Justus-Liebig-University Giessen

Yannik Bofinger

Justus-Liebig-University Giessen

Björn Rock

Justus-Liebig-University Giessen

Date Written: July 16, 2020

Abstract

We compare the effects of corporate social responsibility (CSR) on perceived firm risk under two different (non-)financial reporting regimes: the risk-based U.S. and the content-based European system. We find that the risk-reducing effect of CSR is driven by volatile market phases in the U.S. system, while regulatory developments dominate the effect in the EU. Risk reductions in the former are moreover most strongly associated with environmental activity, while social activity is most effective in the latter. Surprisingly, we observe that return-to-risk ratios decrease with CSR activity in both the U.S. and Europe over the period 2003 - 2017.

Keywords: Non-Financial Reporting; Corporate Social Responsibility; ESG; Sustainability; Equity Risk; Stock Return; Dynamic Panel Estimation

JEL Classification: G11; G32; G34; O16; Q56

Suggested Citation

Bannier, Christina E. and Bofinger, Yannik and Rock, Björn, Doing Safe by Doing Good: Non-Financial Reporting and the Risk Effects of Corporate Social Responsibility (July 16, 2020). Available at SSRN: https://ssrn.com/abstract=3378469 or http://dx.doi.org/10.2139/ssrn.3378469

Christina E. Bannier

Justus-Liebig-University Giessen ( email )

Licher Str. 62
Gießen, 35394
Germany
+49 641 99 22551 (Phone)

Yannik Bofinger (Contact Author)

Justus-Liebig-University Giessen ( email )

Licher Str. 64
Giessen, 35394
Germany

Björn Rock

Justus-Liebig-University Giessen ( email )

Licher Str. 64
Giessen, 35394
Germany

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