“Can companies benefit from corporate social responsibility?” is still unsolved. This study investigates how corporate social responsibility impacts stock returns with Hexun’s CSR rating for first time. The sample is based on Chinese A-share listed companies for the period 2010 - 2017. We adopt threshold regression and multiple regression and find that: first, there is a U-shaped relationship between CSR and stock returns . This finding suggests that the relationship between CSR and stock return is affected by cut-off point, which is negative before cut-off point, and positive after cut-off point. In addition, this relationship has nothing to do with the nature of enterprise property rights. Second, fulfilling CSR affect s corporate reputation and relieve s information asymmetry, corporate reputation and institutional investors are the channels through which CSR influences stock returns. Fourth, we demonstrate the moderating effect of external legal environment between CSR and stock return. This paper provides new evidence for understanding the impact of CSR on enterprise value.
KeywordsCorporate Social ResponsibilityStock ReturnCorporate ReputationInstitutional InvestorsExternal Legal Environment
KPMG (2017) The KPMG Survey of Corporate Responsibility Reporting. https://home.kpmg/xx/en/home/insights
Luo, X. and Bhattacharya, C.B. (2006) Corporate Social Responsibility, Customer Satisfaction and Market Value. Journal of Marketing, 70, 1-18. https://doi.org/10.1509/jmkg.70.4.1
Peloza, J. and Shang, J. (2011) How Can Corporate Social Responsibility Activities Create Value for Stakeholders? A Systematic Review. Journal of the Academy of Marketing Science, 39, 117-135. https://doi.org/10.1007/s11747-010-0213-6
Servaes, H. and Tamayo, A. (2013) The Impact of Corporate Social Responsibility on Firm Value: The Role of Customer Awareness. Management Science, 59, 1045-1061. https://doi.org/10.1287/mnsc.1120.1630
Mishra, S. and Modi, S.B. (2016) Corporate Social Responsibility and Shareholder Wealth: The Role of Marketing Capability. Journal of Marketing, 80, 26-46. https://doi.org/10.1509/jm.15.0013
Lenz, I., Wetzel, H.A. and Hammerschmidt, M. (2017) Can Doing Good Lead to Doing Poorly? Firm Value Implications of CSR in the Face of CSI. Journal of the Academy of Marketing Science, 45, 677-697. https://doi.org/10.1007/s11747-016-0510-9
Margolis, J.D. and Walsh, J.P. (2003) Misery Loves Companies: Rethinking Social Initiatives by Business. Administrative Science Quarterly, 48, 268-305. https://doi.org/10.2307/3556659
Mcguire, J.B., Schneeweis, T. and Branch, B. (1990) Perception of Firm Quality: A Cause or Result of Firm Performance. Journal of Management, 16, 167-180. https://doi.org/10.1177/014920639001600112
Hill, R.P., Ainscough, T., Shank, T., et al. (2007) Corporate Social Responsibility and Socially Responsible Investing: A Global Perspective. Journal of Business Ethics, 70, 165-174. https://doi.org/10.1007/s10551-006-9103-8
Deng, X., Kang, J. and Low, B.S. (2013) Corporate Social Responsibility and Stakeholder Value Maximization: Evidence from Mergers. Journal of Financial Economics, 10, 87-109. https://doi.org/10.1016/j.jfineco.2013.04.014
Lins, K.L., Servaesh, H. and Tamayo, A. (2017) Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis. The Journal of Finance, 72, 1785-1822. https://doi.org/10.1111/jofi.12505
Brammer, S., Brooks, S. and Pavelin, S. (2006) Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures. Financial Management, 35, 97-116. https://doi.org/10.1111/j.1755-053X.2006.tb00149.x
Mackey, A.T., Mackey, T.B. and Barney, J.B. (2007) Corporate Social Responsibility and Firm Performance: Investor Preferences and Corporate Strategies. Academy of Management Review, 32, 817-835. https://doi.org/10.5465/amr.2007.25275676
Balabanis, G., Phillips, H.C. and Lyall, J. (1998) Corporate Social Responsibility and Economic Performance in the Top British Companies: Are They Linked. European Business Review, 9, 25-44. https://doi.org/10.1108/09555349810195529
Hall, R. (1992) The Strategic Analysis of Intangible Resources. Strategic Management Journal, 2, 135-144. https://doi.org/10.1002/smj.4250130205
James, A., Oieksiy, O. and Samoel, M.P. (2015) Corporate Reputation Measurement: Alternative Factor Structure, Nomological Validity, and Organizational Outcomes. Journal of Business Ethics, 130, 485-506. https://doi.org/10.1007/s10551-014-2232-6
Ailawadi, K.L., Luan, Y.J., Neslin, S.A. and Taylor, G.A. (2014) Does Retailer CSR Enhance Behavioral Loyalty: A Case for Benefit Segmentation. International Journal of Research in Marketing, 31, 156-167. https://doi.org/10.1016/j.ijresmar.2013.09.003
Hilger, J., Hallstein, E., Stevens, A. and Villas-Boas, S.B. (2018) Measuring Willingness to Pay for Environmental Attributes in Seafood. Environmental and Resource Economics, 73, 307-332. https://doi.org/10.1007/s10640-018-0264-6
Miller, G.S. (2006) The Press as a Watchdog for Accounting Fraud. Journal of Financial Economics, 44, 1001-1033. https://doi.org/10.1111/j.1475-679X.2006.00224.x
Luo, J., Meier, S. and Oberholzer-Gee, F. (2012) No News Is Good News: CSR Strategy and Newspaper Coverage of Negative Firm Events. Harvard Business School, Working Paper, Boston.
Mohr, L.A. and Webb, D.J. (2005) The Effects of Corporate Social Responsibility and Price on Consumer Responses. The Journal of Consumer Affairs, 39, 121-147. https://doi.org/10.1111/j.1745-6606.2005.00006.x
Brammer, S. and Millington, A. (2006) Firm Size, Organizational Visibility and Corporate Philanthropy: An Empirical Analysis. Business Ethics: A European Review, 15, 6-18. https://doi.org/10.1111/j.1467-8608.2006.00424.x
Prior, D., Surroca, J. and Tribo, J.A. (2008) Are Socially Responsible Managers Really Ethical? Exploring the Relation-Ship between Earnings Management and Corporate Social Responsibility. Corporate Governance: An International Review, 16, 160-177. https://doi.org/10.1111/j.1467-8683.2008.00678.x
Dhaliwal, D.S., Li, O.Z., Tsang, A. and Yang, Y.G. (2011) Voluntary Non-Financial Disclosure and the Cost of Equity Capital: The Initiations of Corporate Social Responsibility Reporting. The Accounting Review, 86, 59-100. https://doi.org/10.2308/accr.00000005
Kim, Y., Li, H. and Li, S. (2014) Corporate Social Responsibility and Stock Price Crash Risk. Journal of Banking and Finance, 43, 1-13. https://doi.org/10.1016/j.jbankfin.2014.02.013
Lizzeri, A. (1999) Information Revelation and Certification Intermediaries. Journal of Economics, 30, 214-311. https://doi.org/10.2307/2556078
Simms, J. (2002) Business: Corporate Social Responsibility—You Know It Makes Sense. Accountancy, 130, 48-50.
Flammer, C. (2013) Corporate Social Responsibility and Shareholder Reaction: The Environmental Awareness of Investors. Academy of Management Journal, 56, 758-781. https://doi.org/10.5465/amj.2011.0744
Wang, H. and Qian, C. (2011) Corporate Philanthropy and Corporate Financial Performance: The Roles of Stakeholder Response and Political Success. Academy of Management Journal, 54, 1159-1181. https://doi.org/10.5465/amj.2009.0548
Marquis, C., Zhang, J. and Zhou, Y. (2011) Regulatory Uncertainty and Corporate Responses to Environmental Protection in China. California Management Review, 54, 39-63. https://doi.org/10.1525/cmr.2011.54.1.39
Cambell, J.L. (2007) Why Would Corporations Behave in Socially Responsible Ways? An Institutional Theory of Corporate Social Responsibility. Academy of Management Review, 32, 946-967. https://doi.org/10.5465/amr.2007.25275684
Wang, Q., Dou, J. and Jia, S. (2016) A Meta Analytic Review of Corporate Social Responsibility and Corporate Financial Performance: The Moderating Effect of Contextual Factors. Business and Society, 55, 1083-1121. https://doi.org/10.1177/0007650315584317
Maignan, I. and Ferrell, O.C. (2004) Corporate Social Responsibility and Marketing: An Integrative Framework. Journal of the Academy of Marketing Science, 32, 3-19. https://doi.org/10.1177/0092070303258971
Becchetti, L., Ciciretti, R. and Conzo, P. (2013) The Legal Origins of Corporate Social Responsibility. CEIS Tor Vergata Research Paper Series, 11, No. 291. https://doi.org/10.2139/ssrn.2336179
Stig, V.M. and Jesper, R. (2018) Global Economic Growth and Expected Returns around the World: The End-of-the-Year Effect. Management Science, 64, 573-591. https://doi.org/10.1287/mnsc.2016.2589