Does it really pay to do better? Exploring the financial effects of changes in CSR ratings

References

• Albuquerque, R., A. Durnev, and Y. Koskinen. 2013. “Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence.” Working paper. Boston University and University of Iowa.
   Google Scholar
• Becchetti, L., and R. Ciciretti. 2009. “Corporate Social Responsibility and Stock Market Performance.” Applied Financial Economics 19 (16): 1283–1293.
   Google Scholar
• Becchetti, L., R. Ciciretti, A. Dalò, and S. Herzel. 2015. “Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis.” Applied Economics 47 (25): 2541–2562.
   Web of Science ®Google Scholar
• Becchetti, L., S. Di Giacomo, and D. Pinnacchio. 2008. “Corporate Social Responsibility and Corporate Performance: Evidence from a Panel of US Listed Companies.” Applied Economics 40 (5): 541–567.
   Web of Science ®Google Scholar
• Benlemlih, M., and M. Bitar. 2008. “Corporate Social Responsibility and Investment Efficiency.” Journal of Business Ethics 148(3): 647–671.
   Web of Science ®Google Scholar
• Benlemlih, M., and I. Girerd-Potin. 2017. “Corporate Social Responsibility and Firm Financial Risk Reduction: On the Moderating Role of the Legal Environment.” Journal of Business Finance and Accounting 44 (7–8): 1137–1166.
   Web of Science ®Google Scholar
• Benlemlih, M., A. Shaukat, Y. Qiu, and G. Trojanowski. 2016. “Environmental and Social Disclosures and Firm Risk.” Journal of Business Ethics 1–14.
   Web of Science ®Google Scholar
• Black, F. 1972. “Capital Market Equilibrium with Restricted Borrowing.” Journal of Business 45: 444–455.
   Web of Science ®Google Scholar
• Bouslah, K., L. Kryzanowski, and B. M’Zali. 2013. “The Impact of the Dimensions of Social Performance on Firm Risk.” Journal of Banking and Finance 37: 1258–1273.
   Web of Science ®Google Scholar
• Cai, L., J. Cui, and H. Jo. 2016. “Corporate Environmental Responsibility and Firm Risk.” Journal of Business Ethics 139(3): 563–594
   Web of Science ®Google Scholar
• Carhart, M. 1997. “On Persistence in Mutual Fund Performance.” Journal of Finance 52: 57–82.
   Web of Science ®Google Scholar
• Cavaco, S., and P. Crifo. 2014. “CSR and Financial Performance: Complementarity between Environmental, Social and Business Behaviours.” Applied Economics 46 (27): 3323–3338.
   Web of Science ®Google Scholar
• Dhaliwal, D., O. Li, A. Tsang, and G. Yang. 2011. “Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting.” The Accounting Review 86 (1): 59–100.
   Web of Science ®Google Scholar
• El Ghoul, S., O. Guedhami, C. Kwok, and D. R. Mishra. 2011. “Does Corporate Social Responsibility Affect the Cost of Capital?” Journal of Banking and Finance 35: 2388–2406.
   Web of Science ®Google Scholar
• Freeman, R. E. 1984. Strategic Management: A Stakeholder Approach. Boston: Pitman/Ballinger.
   Google Scholar
• Friedman, M. 1970. “The Social Responsibility of Business Is to Increase Its Profits.” New York Times Magazine, September 13: 32–33, 122, 126.
   Google Scholar
• Galema, R., A. Platinga, and B. Scholtens. 2008. “The Stocks at Stake: Return and Risk in Socially Responsible Investment.” Journal of Banking and Finance 32: 2646–2654.
   Web of Science ®Google Scholar
• Godfrey, P. C. 2005. “The Relationship between Corporate Philanthropy and Shareholder Wealth: A Risk Management Perspective.” Academy of Management Review 30 (4): 777–798.
   Web of Science ®Google Scholar
• Harjoto, M. A., and H. Jo. 2014. “Legal Vs. Normative CSR: Differential Impact on Analyst Dispersion, Stock Return Volatility, Cost of Capital, and Firm Value.” Journal of Business Ethics 128 (1): 1–20.
   Web of Science ®Google Scholar
• Hawn, O., A. K. Chatterji, and W. Mitchell. 2017. “Do Investors Actually Value Sustainability? New Evidence from Investor Reactions to the Dow Jones Sustainability Index (DJSI).” Strategic Management Journal 9(4): 949–976
   Web of Science ®Google Scholar
• Heinkel, R., A. Krause, and J. Zechner. 2001. “The Effect of Green Investment on Corporate Behavior.” Journal of Financial and Quantitative Analysis 36: 431–449.
   Web of Science ®Google Scholar
• Hong, H., and M. Kacperczyk. 2009. “The Price of Sin: The Effects of Social Norms on Markets.” Journal of Financial Economics 93: 15–36.
   Web of Science ®Google Scholar
• Ioannou, I., and G. Serafeim. 2014. “The Impact of Corporate Social Responsibility on Investment Recommendations: Analysts’ Perceptions and Shifting Institutional Logics.” Strategic Management Journal 36 (7): 1053–1081.
   Web of Science ®Google Scholar
• Kappou, K., and I. Oikonomou. 2016. “Is There a Gold Social Seal? the Financial Effects of Additions to and Deletions from Social Stock Indices.” Journal of Business Ethics 133: 533–552.
   Web of Science ®Google Scholar
• Kempf, A., and P. Osthoff. 2007. “The Effect of Socially Responsible Investing on Portfolio Performance.” European Financial Management 13: 908–922.
   Web of Science ®Google Scholar
• Kim, Y., H. Li, and S. Li. 2014. “Corporate Social Responsibility and Stock Price Crash Risk.” Journal of Banking and Finance 43: 1–13.
   Web of Science ®Google Scholar
• Kim, Y., M. Park, and B. Wier. 2012. “Is Earnings Quality Associated with Corporate Social Responsibility?” Accounting Review 87: 761–796.
   Web of Science ®Google Scholar
• Markowitz, H. 1952. “Portfolio Selection.” Journal of Finance 7 (1): 77–99.
   Web of Science ®Google Scholar
• Mattingly, J. E., and S. L. Berman. 2006. “Measurement of Corporate Social Action: Discovering Taxonomy in the Kinder Lydenburg Domini Ratings Data.” Business & Society 45: 20–46.
   Google Scholar
• Merton, R. C. 1987. “A Simple Model of Capital Market Equilibrium with Incomplete Information.” Journal of Finance 42: 483–510.
   Web of Science ®Google Scholar
• Oikonomou, I., C. Brooks, and S. Pavelin. 2012. “The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis.” Financial Management 41 (2): 483–515.
   Web of Science ®Google Scholar
• Saeidi, S. P., S. Sofian, P. Saeidi, S. P. Saeidi, and S. A. Saaeidi. 2015. “How Does Corporate Social Responsibility Contribute to Firm Financial Performance? the Mediating Role of Competitive Advantage, Reputation, and Customer Satisfaction.” Journal of Business Research 68 (2): 341–350.
   Web of Science ®Google Scholar
• Sharfman, M. P., and C. S. Fernando. 2008. “Environmental Risk Management and the Cost of Capital.” Strategic Management Journal 29: 569–592.
   Web of Science ®Google Scholar
• Statman, M., and D. Glushkov. 2009. “The Wages of Social Responsibility.” Financial Analyst Journal 65: 33–46.
   Web of Science ®Google Scholar
• Turban, D. B., and D. W. Greening. 1997. “Corporate Social Performance and Organizational Attractiveness to Prospective Employees.” Academy of Management Journal 40 (3): 658–672.
   Web of Science ®Google Scholar
• Vassalou, M., and Y. Wing. 2004. “Default Risk in Equity Returns.” Journal of Finance 59: 831–868.
   Web of Science ®Google Scholar