Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/311039 
Year of Publication: 
2023
Citation: 
[Journal:] Journal of Asset Management [ISSN:] 1479-179X [Volume:] 24 [Issue:] 3 [Publisher:] Palgrave Macmillan [Place:] London [Year:] 2023 [Pages:] 165-172
Publisher: 
Palgrave Macmillan, London
Abstract: 
We investigate the returns from investing according to corporate social responsibility (CSR) criteria using factor model estimations for a large sample of U.S. firms over the period 2003–2017. To identify the CSR intensity that allows investors to optimize their portfolio returns for a given amount of risk, we relate factor-adjusted portfolio returns to a variety of risk measures. This consideration is important as equity risks have been shown to significantly decrease with CSR. Surprisingly, our results indicate that the lowest CSR-rated portfolios are able to outperform their higher CSR-rated counterparts: Not only do they show higher factor-adjusted returns but they also deliver higher return-to-risk ratios. This indicates that equity returns in our sample decrease even more strongly than the corresponding risks with rising CSR activity.
Subjects: 
Stock returns
Risk-return
CSR
ESG
Factor analysis
JEL: 
G11
G12
O16
Q56
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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