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首页> 外文期刊>Journal of Economic Dynamics and Control >A learning curve of the market: Chasing alpha of socially responsible firms
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A learning curve of the market: Chasing alpha of socially responsible firms

机译：市场的学习曲线：追逐具有社会责任感的公司的阿尔法

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摘要

This paper explores stock market reactions to corporate social performance. We construct a value-weighted portfolio based on the list of "100 Best CSR companies in the world" published on the Forbes' website by Reputation Institute. This portfolio yields statistically significant annual abnormal returns of 1.81% and 1.26%, by controlling for Carhart four factors and Fama-French five factors, respectively (2.41% and 1.84%, respectively for an equal-weighted portfolio). Moreover, such abnormal returns decrease as time passes, especially after the inaugural publication of the CSR lists in 2013. Furthermore, we find that companies with better social performance are more likely to have positive earnings surprises, and that their returns are more sensitive to earnings surprises. The results have three implications: firstly, CSR reputation contributes positively to a firm's short-term superior equity performance; secondly, the CSR lists facilitate market correction of mispricing intangibles such as CSR reputation - abnormal returns decrease as the market gradually learns about the value of firms' social performance; lastly, the paper contributes to the socially responsible investing (SRI) screens and provides guidance for investors who would like to do well financially by doing good socially. (C) 2019 Elsevier B.V. All rights reserved.
机译：本文探讨了股市对企业社会绩效的反应。我们根据声誉研究所在《福布斯》网站上发布的“全球100家最佳企业社会责任公司”列表构建价值加权投资组合。通过分别控制Carhart四个因素和Fama-French五个因素（对于同等权重的投资组合分别为2.41％和1.84％），该投资组合产生了统计上显着的年度异常收益，分别为1.81％和1.26％。此外，随着时间的流逝，这种异常收益会减少，尤其是在2013年首次发布企业社会责任列表之后。此外，我们发现，社会绩效较好的公司更有可能带来积极的收益惊喜，并且收益对收益更加敏感惊喜结果具有三个含义：首先，企业社会责任声誉对企业的短期卓越股权业绩有积极贡献；其次，企业社会责任清单有助于对诸如企业社会责任声誉之类的定价错误的无形资产进行市场修正-随着市场逐渐了解企业社会绩效的价值，异常收益减少。最后，本文为社会责任投资（SRI）屏幕做出了贡献，并为希望通过在社会上做得好而在财务上做得好的投资者提供指导。 （C）2019 Elsevier B.V.保留所有权利。

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