The mispricing of socially ambiguous grey stocks

Autor:	Weina Zhang, Gabriel Henry Jacob, Swee-Sum Lam
Rok vydání:	2015
Předmět:	Abnormal return Financial economics business.industry Phenomenon Portfolio Corporate social responsibility Stock market Accounting Business Social responsibility Finance
Zdroj:	Finance Research Letters. 13:81-89
ISSN:	1544-6123
DOI:	10.1016/j.frl.2015.02.010
Popis:	The study examines how stock market prices the stocks of socially ambiguous “Grey” firms, who are socially responsible in certain corporate social responsibility (CSR) dimensions while being socially irresponsible in other dimensions. Using firm data from 1992 to 2011, we find that the value-weighted “Grey” portfolio earns an annual abnormal return up to 3.6% relative to “Neutral” portfolio that consists of neither socially responsible nor irresponsible firms. Interestingly, “Community” and “Environment” sub-dimensions of CSR are the main drivers for the overpricing. The overpricing phenomenon is robust and is not driven by small firms, the “Sin” stocks or “Controversial” industries.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e037fff0ff9f6535e83fcbefd798cba0 https://doi.org/10.1016/j.frl.2015.02.010 Zobrazit plný text záznamu Full Text from ScienceDirect