Corporate social responsibility, stakeholder risk, and idiosyncratic volatility

Leonardo Becchetti, Rocco Ciciretti and Iftekhar Hasan ()

Journal of Corporate Finance, 2015, vol. 35, issue C, 297-309

Abstract: Idiosyncratic volatility (IV) is a measure of firm specific information that is correlated with lower stock returns. We explore the nexus between IV and corporate social responsibility (CSR) and document that IV is positively correlated with aggregate CSR and is negatively correlated with a CSR-specific (stakeholder) risk factor. Our findings are consistent with the view that CSR reduces flexibility in responding to productive shocks via the reduction of stakeholder well-being, thereby producing the combined effect of making earnings less predictable and reducing exposure to risk of conflicts with stakeholders.

Keywords: Idiosyncratic volatility; Corporate social responsibility; Stakeholder risk (search for similar items in EconPapers)
JEL-codes: C53 D84 E44 F30 G17 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (84)

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Related works:
Working Paper: Corporate Social Responsibility, Stakeholder Risk, and Idiosyncratic Volatility (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:corfin:v:35:y:2015:i:c:p:297-309

DOI: 10.1016/j.jcorpfin.2015.09.007

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