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The Downside of Being Responsible: Corporate Social Responsibility and Tail Risk

Author

Listed:
  • Dolf Diemont

    (Erasmus University Rotterdam)

  • Kyle Moore

    (London School of Economics and Political Science)

  • Aloy Soppe

    (Erasmus University Rotterdam)

Abstract

This paper assesses the relationship between corporate social responsibility (CSR) and downside equity tail risk, a field of research that is underdeveloped at this moment. Using global equities data over the period of January 2003 to December 2011, inclusive, the downside tail risk of each company is estimated using techniques of extreme value theory and CSR is approached using stakeholder theory. Our findings show a significant relationship between certain aspects of CSR and downside tail risk. The nature of the relationship differs across region, stakeholder and time. Furthermore, the relationships we found are sequential, which makes a causal link between CSR and tail risk plausible.

Suggested Citation

  • Dolf Diemont & Kyle Moore & Aloy Soppe, 2016. "The Downside of Being Responsible: Corporate Social Responsibility and Tail Risk," Journal of Business Ethics, Springer, vol. 137(2), pages 213-229, August.
    • Handle: RePEc:kap:jbuset:v:137:y:2016:i:2:d:10.1007_s10551-015-2549-9
    DOI: 10.1007/s10551-015-2549-9
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    References listed on IDEAS

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    More about this item

    Keywords

    Tail risk; Risk management; Corporate social responsibility;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance

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