Corporate social responsibility as a common risk factor
| Autor: | Aya Nasreddine, Marc Desban, Souad Lajili Jarjir |
|---|---|
| Přispěvatelé: | Institut de Recherche en Gestion (IRG), Université Paris-Est Marne-la-Vallée (UPEM)-Université Paris-Est Créteil Val-de-Marne - Paris 12 (UPEC UP12) |
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance [QFIN]Quantitative Finance [q-fin] Financial economics Corporate governance Risk premium 05 social sciences 04 agricultural and veterinary sciences IRG_AXE1 [SHS.ECO]Humanities and Social Sciences/Economics and Finance JEL: G - Financial Economics 0502 economics and business 0401 agriculture forestry and fisheries Corporate social responsibility Capital asset pricing model Business JEL: G - Financial Economics/G.G1 - General Financial Markets Project portfolio management Excess return Finance Stock (geology) ComputingMilieux_MISCELLANEOUS JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates Factor analysis |
| Zdroj: | Global Finance Journal Global Finance Journal, Elsevier, 2020, pp.100577. ⟨10.1016/j.gfj.2020.100577⟩ |
| ISSN: | 1044-0283 |
| DOI: | 10.1016/j.gfj.2020.100577⟩ |
| Popis: | This article challenges factor models widely used to explain stock returns. For European firms involved in corporate social responsibility (CSR) actions, we find a risk premium associated with extra-financial ratings priced by the market (that is, environmental, social, and governance [ESG] ratings). This premium is calculated as the excess return of low-rated firms compared to high-rated firms. To describe rated firms' returns, we propose a parsimonious two-factor model that includes both the market factor and this premium. Unlike the CAPM, three-, or five-factor models, our model is validated by the Gibbons, Ross and Shanken (1989) test. Our results lead to many managerial implications related to portfolio management, asset pricing, and corporate financial and investing decisions. |
| Databáze: | OpenAIRE |
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