Corporate Social Responsibility, Risk, and Firm Value: An Unconditional Quantile Regression Approach

72 Pages Posted: 14 Sep 2022 Last revised: 19 Dec 2022

Date Written: July 1, 2021

Abstract

This paper examines the impact of corporate social responsibility (CSR) on firm risk, comprising total risk, idiosyncratic risk, and systematic risk, as well as firm value. We focus on analyzing the interrelationships along the entire distribution of the dependent variables, thus estimating an unconditional quantile regression (UQR). The analysis is based on CSR scores from Refinitiv and MSCI, using up to 12,013 firm-year observations over the period 2002 to 2019 for all U.S. companies listed on NYSE, NASDAQ, and AMEX. UQR reveals strongly heterogeneous effects along the unconditional quantiles of the dependent variables, which are reflected in sign changes, magnitude and significance variations. For CSR we find a risk-reducing as well as value-enhancing effect. When applying fixed effects OLS, we can just partly confirm the risk-reducing and value-enhancing effect of CSR shown in the literature.

Keywords: Unconditional Quantile Regression, Corporate Social Responsibility, ESG, Firm Risk, Volatility, Systematic Risk, Idiosyncratic Risk, Firm Value

JEL Classification: G30, G32, M14

Suggested Citation

Entrop, Oliver and Grösbrink, Carl-Friederich, Corporate Social Responsibility, Risk, and Firm Value: An Unconditional Quantile Regression Approach (July 1, 2021). Available at SSRN: https://ssrn.com/abstract=4201545 or http://dx.doi.org/10.2139/ssrn.4201545

Oliver Entrop

University of Passau ( email )

Innstrasse 27
Passau, 94032
Germany
+49 851 509 2460 (Phone)
+49 851 509 2462 (Fax)

Carl-Friederich Grösbrink (Contact Author)

University of Passau ( email )

Innstrasse 27
Passau, 94032
Germany

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