communication: PORTFOLIO SELECTION: Fishing the Corporate Social Responsibility Risk Factors
speaker: Leonardo Becchettispeaker: Rocco Ciciretti
speaker: Ambrogio Dalò
abstract: Corporate Social Responsibility (CSR) is an increasingly relevant aspect in the current economic and financial scenario. It can be seen as supply side response to a growing demand from stakeholders who ask corporations to internalize externalities, even in absence of domestic and transnational regulation. A typical argument in the literature is that CSR reduces the risk of conflicts with stakeholders. In this paper we test the following hypothesis: i) are dimension specific CSR risk factors (WMB) independent from those traditionally considered in the asset pricing literature? ii) does exist a pricing anomaly related to a responsible behavior of the firm?, iii) the inclusion of a CSR risk factor in standard multifactor asset pricing models does eliminate the eventual pricing anomalies related to a socially responsible behavior? and, iv) does a multifactor model that include a CSR risk factor better able in explaining the cross section of expected returns? Our findings document that CSR represents an independent source of risk to which portfolios are exposed. We find that large stocks are more exposed than small stocks to this source of risk, and that a multifactor asset pricing model augmented with a CSR risk factor performs better in explaining the cross section of stock returns.
timetable:
Thu 28 Jan, 11:00 - 13:00, Sala Stemmi
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