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The Effects of Corporate Social Responsibility on Equity Fund Returns: Evidence from China

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  • Ming-Chuan Chen
  • Chen-Fu Lee
  • Chien-Ming Huang

Abstract

The purpose of this paper is to investigate whether the fund management companies in China have the corporate social responsibility (CSR) and its correlation with the fund performance. The samples are the equity funds between 2004 and 2012. The basis for assessment for the CSR is the Chinese fund company comprehensive assessment report, published by Morningstar Chinese Research Center in Jan 25th 2013. This research uses quantile regression model with three factors to measure the fund management companies with high ranking or low ranking average fund returns and provide investors some basis for investment decisions. The empirical results show the fund management companies with high ranking have better fund returns than those low ranking. Through quantile regression estimations, it is found that the market factors and fund returns have significant correlation with high ranking. The groups with low ranking and high fund returns, the funds performance has a significant positive correlation with the size factors. The group with high ranking and below medium fund returns, the fund performance has a positive relationship with the book to price ratio. Finally, in the fund management companies with extreme CSR ranking, the fund performance has a significant positive correlation with the fund net asset value.

Suggested Citation

  • Ming-Chuan Chen & Chen-Fu Lee & Chien-Ming Huang, 2016. "The Effects of Corporate Social Responsibility on Equity Fund Returns: Evidence from China," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(10), pages 92-102, October.
    • Handle: RePEc:ibn:ijefaa:v:8:y:2016:i:10:p:92-102
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    References listed on IDEAS

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    5. David A. Volkman & Mark E. Wohar, 1995. "Determinants Of Persistence In Relative Performance Of Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(4), pages 415-430, December.
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    Cited by:

    1. Laszlo Goerke & Nora Paulus, 2024. "Collective bargaining about corporate social responsibility," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 57(4), pages 1285-1313, November.
    2. Li-Ting Yeh, 2021. "Integrating corporate image of corporate social responsibility, stock price crash risk and profitability into a dynamic corporate sustainability performance measurement," Annals of Operations Research, Springer, vol. 305(1), pages 325-345, October.
    3. Xiao Li & Gang Liu & Qinghua Fu & Abdul Aziz Abdul Rahman & Abdelrhman Meero & Muhammad Safdar Sial, 2022. "Does Corporate Social Responsibility Impact on Corporate Risk-Taking? Evidence from Emerging Economy," Sustainability, MDPI, vol. 14(1), pages 1-26, January.
    4. Anagnostopoulou, Seraina C. & Tsekrekos, Andrianos E. & Voulgaris, Georgios, 2021. "Accounting conservatism and corporate social responsibility," The British Accounting Review, Elsevier, vol. 53(4).
    5. Yaghoub Abdi & Xiaoni Li & Xavier Càmara-Turull, 2023. "Firm value in the airline industry: perspectives on the impact of sustainability and Covid-19," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-24, December.
    6. Hong-Min Chun & Sang-Yi Shin, 2018. "The Impact of Labor Union Influence on Corporate Social Responsibility," Sustainability, MDPI, vol. 10(6), pages 1-17, June.
    7. Sunjung Kim & Kyongmin Lee, 2022. "Influence of the Characteristics of Sports Sharing Economy Services on Intention of Use: The Mediating Effect of Consumer Attitude and Trust," Social Sciences, MDPI, vol. 11(2), pages 1-16, February.
    8. Karaman, Abdullah S. & Akman, Engin, 2018. "Taking-off corporate social responsibility programs: An AHP application in airline industry," Journal of Air Transport Management, Elsevier, vol. 68(C), pages 187-197.

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    More about this item

    Keywords

    corporate social responsibility; equity funds; quantile regression model;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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