Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures
用英国数据研究企业社会绩效与股票回报的关系，发现综合社会绩效得分与回报负相关，主要源于环境和社区方面的良好表现，持有社会绩效最差的股票可获得超额回报。
This study examines the relation between corporate social performance and stock returns in the UK. We closely evaluate the interactions between social and financial performance with a set of disaggregated social performance indicators for environment, employment, and community activities instead of using an aggregate measure. While scores on a composite social performance indicator are negatively related to stock returns, we find the poor financial reward offered by such firms is attributable to their good social performance on the environment and, to a lesser extent, the community aspects. Considerable abnormal returns are available from holding a portfolio of the socially least desirable stocks. These relationships between social and financial performance can be rationalized by multi-factor models for explaining the cross-sectional variation in returns, but not by industry effects.