Does Corporate Social Responsibility Deliver Alpha?
摘要：
In this study, we aim to discover whether the performance of Corporate Social Responsibility (CSR) can lead to abnormal returns, i.e., whether the execution of CSR can enhance the generation of abnormal returns. We sort companies according to their ratings in each sector (environmental, social, governance, and overall) and construct high CSR-rated portfolios as well as low CSR-rated portfolios. The ESG rating is contained in KLD STATS. Although the study shows that portfolios of high CSR-rated companies generate higher average returns from 1991 to 2008 relative to their low CSR-rated counterparts, the difference in returns, after controlling for the four-factor model, is not statistically significant. We find no return premium of CSR-efficient stocks against CSR-inefficient stocks. The results from the four-factor model suggest that portfolios of low environmental ratings, low social ratings and low total CSR ratings tend to generate a statistically significant negative alpha.However, the environmentally differenced portfolio is reported to have earned a significant, positive factor-adjusted return in the future 5th year. This result suggests that SRI can be incrementally profitable over long-run horizons.
