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Type Conference or Workshop Paper
Scope Discipline-based scholarship
Published in Proceedings No
Title The effect of CSR on stock performance: new evidence for the USA and Europe
Organization Unit
Authors
  • Urs von Arx
  • Andreas Ziegler
Presentation Type speech
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
Event Title 16th Annual Conference 2008 of the European Association of Environmental and Resource Economists (EAERE 2008)
Event Type conference
Event Location Gothenburg, Sweden
Event Start Date June 25 - 2008
Event End Date June 28 - 2008
Abstract Text This paper provides new empirical evidence for the effect of corporate social responsibility (CSR) on corporate financial performance. In contrast to former studies, we examine two different regions, namely the USA and Europe. Our econometric analysis shows that envi-ronmental and social activities of a firm compared with other firms within the industry are valued by financial markets in both regions. However, the respective positive effects on av-erage monthly stock returns between 2003 and 2006 appear to be more robust in the USA and, in addition, to be nonlinear. Our analysis furthermore points to biased parameter esti-mations if incorrectly specified econometric models are applied: The seemingly significantly negative effect of environmental and social performance of the industry to which a firm be-longs vanishes if the explanation of stock performance is based on the Fama-French three-factor or the Carhart four-factor models instead of the simple Capital Asset Pricing Model.
Official URL http://www.eaere2008.org/
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Other Identification Number merlin-id:538
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Additional Information Dieses Paper wurde auch präsentiert an der 23rd Annual Conference of the European Economic Association (EEA 2008), Milan, Italy, 27-31 August 2008.