مقاله انگلیسی رایگان در مورد ابزاریابی فاکتورهای خطر مسئولیت اجتماعی شرکتی – الزویر 2018

According to a standard definition, Corporate Social Responsibility (CSR) involves a departure from the goal of straightforward profit maximization toward a broader strategy of satisfying the interests of a wider set of stakeholders. As such, CSR embraces a wide range of employee-friendly, environment-friendly, and investor-friendly behaviors, with concomitant monetary costs and benefits that have uncertain effects on profits. The importance of CSR in contemporary economics is witnessed by the growing proportion of listed companies that issue CSR reports, and by the increasing value of assets managed according to Socially Responsible Investment (SRI) standards.1−2 The increase in demand for SRI is likely to be driven by two possible factors: i) investors’ preferences for responsible firms, and ii) the risk characteristics of such firms. In the former case, a non-negligible share of investors have a taste for responsible stocks, and do not evaluate them on the basis of their risk-return characteristics only (Fama and French, 2007). With regard to risk characteristics, it must be considered that according to the World Economic Forum (2016) environmental and social risks will be the most severe in terms of their likelihood and impact on the future. In this scenario, responsible firms are likely to experience a lower probability of facing conflicts with stakeholders (Freeman, 1984) through environmental scandals, class actions, and/or investors boycott (Luo and Balvers, 2017). Similarly, underinvesting in business that may become obsolete in the future (i.e. due to the progressive tightening of the environmental regulation) could become a mainstream market practice in the next years. In this respect, irresponsible firms should compensate the investors with higher returns for missed diversification opportunities (Merton, 1987), and smaller investor base affecting their liquidity (Hong and Kacperczyk, 2009). All these reasons clearly make the case for the existence of a nexus between CSR and the asset pricing literature. Specifically, we argue that an asset pricing model augmented with a CSR risk factor could contribute to explain the observed pricing anomalies not captured by the risk factors most commonly used so far. The asset pricing literature searching for unexplained risk components that eventually account for such anomalies has a long tradition. In this respect, Fama and French (1993, 1996) document the presence of patterns in average stock returns which are related to firm characteristics such as size and book-to-market ratio. These patterns are related to the ex istence of pricing anomalies that cancel out when adding size and value risk factors to the capital asset pricing model (CAPM – Sharpe, 1964, Lintner, 1965, and Mossin, 1966). Providing a different interpretation of such findings, Petkova (2006) shows that size and value risk factors are correlated with innovations in a set of macro variables. As a result, these risk factors lose their explanatory power in the cross-section of stock returns when the betas on the innovations of such macro variables are added to the model. Fama and French (2012) investigate the presence of size, value, and momentum patterns, and their related pricing anomalies, in international stock returns. While, Fama and French (2017, 2015) test for the existence of profitability and investment patterns in the average stock returns for North America and international portfolios, adding profitability and investment risk factors to capture the pricing anomalies related to such patterns. Fama and French (2017, 2015) outline also that a five-factor model based on North American stocks is able to capture a substantial portion of the cross-sectional variation in average returns, but that a global five-factor model performs poorly on local test portfolios. Hirshleifer et al.