TITLE:
The Nonlinear Impact of Corporate Social Responsibility on Stock Returns
AUTHORS:
Yan Zhang, Weiqi Liu, Lixu Xie
KEYWORDS:
Corporate Social Responsibility, Stock Return, Corporate Reputation, Institutional Investors, External Legal Environment
JOURNAL NAME:
Theoretical Economics Letters,
Vol.10 No.1,
January
17,
2020
ABSTRACT: “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 affects corporate reputation and relieves 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.