Social capital, trust, and bank tail risk: The value of ESG rating and the effects of crisis shocks
研究全球244家银行发现，企业社会责任（CSR）在金融危机期间不直接降低尾部风险，但危机后投资者对CSR强的银行更宽容，且在新冠疫情期间CSR高的银行尾部风险更低。
Using a global sample of 244 banks in 52 stock markets, we investigate the effect of corporate social responsibility (CSR) on bank tail risk in normal and turbulent times. Our analysis shows no significant evidence that CSR intensity protects banks from tail risks ex ante or during the global financial crisis of 2007–2009. However, investors appear to become more tolerant and more lenient towards banks with stronger CSR post ante economic recession by reducing the likelihood of extreme devaluation of banking stocks. Socially responsible banks with higher social capital and trust (associated with superior CSR performance) experience lower idiosyncratic and systematic tail risks even in the context of the COVID-19 pandemic in 2020. Our empirical evidence implies that the trust between banks and investors started to build through banks’ investments in social capital through committed CSR performance since the credit crunch erupted.