Sunday, January 12, 2014
Dolf Diemont, Aloy Soppe & Kyle Moore have posted “Corporate Social Responsibility and Downside Equity Tail Risk” on SSRN. Here is the abstract:
This paper assesses the relationship between Corporate Social Responsibility and downside equity tail risk – a field of research that has so far been neglected - using world wide data for the period 2003-2011. Tail risk is estimated using Extreme Value Theory. Corporate Social Responsibility is approached using stakeholder theory. The results show that there are significant relationships between CSR and tail risk. These relationships are tested for robustness using a heterogeneous and homogeneous tail index, raw returns and idiosyncratic returns, and various values for the tail threshold. The relationships we found are sequential, which makes a causal relationship between CSR and tail risk plausible.