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Corporate social responsibility as a common risk factor

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  • Souad Lajili Jarjir

    (IRG - Institut de Recherche en Gestion - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)

  • Aya Nasreddine
  • Marc Desban

Abstract

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Suggested Citation

  • Souad Lajili Jarjir & Aya Nasreddine & Marc Desban, 2020. "Corporate social responsibility as a common risk factor," Post-Print hal-03044070, HAL.
    • Handle: RePEc:hal:journl:hal-03044070
    DOI: 10.1016/j.gfj.2020.100577
    Note: View the original document on HAL open archive server: https://hal.science/hal-03044070
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    References listed on IDEAS

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    1. Emiel Duuren & Auke Plantinga & Bert Scholtens, 2016. "ESG Integration and the Investment Management Process: Fundamental Investing Reinvented," Journal of Business Ethics, Springer, vol. 138(3), pages 525-533, October.
    2. Gunnar Friede & Timo Busch & Alexander Bassen, 2015. "ESG and financial performance: aggregated evidence from more than 2000 empirical studies," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 5(4), pages 210-233, October.
    3. Roland Bénabou & Jean Tirole, 2010. "Individual and Corporate Social Responsibility," Economica, London School of Economics and Political Science, vol. 77(305), pages 1-19, January.
    4. John H. Cochrane, 2011. "Presidential Address: Discount Rates," Journal of Finance, American Finance Association, vol. 66(4), pages 1047-1108, August.
    5. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    6. Fu, Xudong & Tang, Tian & Yan, Xinyan, 2019. "Why do institutions like corporate social responsibility investments? evidence from horizon heterogeneity," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 44-63.
    7. Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
    8. Emma Avetisyan & Michel Ferrary, 2013. "Dynamics of Stakeholders’ Implications in the Institutionalization of the CSR Field in France and in the United States," Journal of Business Ethics, Springer, vol. 115(1), pages 115-133, June.
    9. Kempf, Alexander & Osthoff, Peer, 2007. "The effect of socially responsible investing on portfolio performance," CFR Working Papers 06-10, University of Cologne, Centre for Financial Research (CFR).
    10. Kewei Hou & Chen Xue & Lu Zhang, 2015. "Editor's Choice Digesting Anomalies: An Investment Approach," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 650-705.
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    12. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
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    15. Aaron K. Chatterji & David I. Levine & Michael W. Toffel, 2009. "How Well Do Social Ratings Actually Measure Corporate Social Responsibility?," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 18(1), pages 125-169, March.
    16. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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    20. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
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    Cited by:

    1. Champagne, Claudia & Coggins, Frank & Sodjahin, Amos, 2022. "Can extra-financial ratings serve as an indicator of ESG risk?," Global Finance Journal, Elsevier, vol. 54(C).
    2. Pornanong Budsaratragoon & Boonlert Jitmaneeroj, 2021. "Corporate Sustainability and Stock Value in Asian–Pacific Emerging Markets: Synergies or Tradeoffs among ESG Factors?," Sustainability, MDPI, vol. 13(11), pages 1-25, June.
    3. Burger, Eric & Grba, Fabian & Heidorn, Thomas, 2022. "The impact of ESG ratings on implied and historical volatility," Frankfurt School - Working Paper Series 230, Frankfurt School of Finance and Management.

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