مسئولیت های اجتماعی شرکت و ارزش سهام

Corporate social responsibility (CSR) has become one of the core components of corporate strategy and a crucial instrument to minimize conflicts with stakeholders. While corporations are busy adopting and enhancing CSR practices, the academic literature on understanding the impact of CSR is scarce, especially in the capital market. This paper traces the market reaction to corporate entry and exit from the Domini 400 Social Index, recognized as a CSR benchmark, between 1990 and 2004. The results reveal a significant negative effect on abnormal returns after exit announcements from the Domini index. The effect persists even after controlling for concurring financial distress shocks and stock market seasonality.

Recent financial scandals – e.g. Enron, Parmalat, and WorldCom – and, more recently, the global financial crisis are forcing corporate executives to contemplate a broader strategy beyond a focus on stockholders' wealth maximization. A general understanding is emerging that the reputation of a company and the welfare of distinct stakeholders are crucial to stockholders' wealth maximization and long-term survival. In such scenarios, the ultimate value of shareholder wealth may be linked to “maximizing the sum of various stakeholder surpluses.” Studies by Geczy, Stambaugh, and Levin (2005) and Bauer, Koedijk and Otten (2005) reveal that investors are equally interested in such initiatives, as documented by the increased flow of funds into ethically managed mutual funds. One in nine dollars invested in the market is invested in “socially responsible” portfolios (see Report on Socially Responsible Investing trends in the United States, 2003 and Cerulli Associates' European SRI Reports). Similar trends prevail in Europe where the number of socially screened mutual funds has nearly doubled recently, mainly in the United Kingdom, Sweden, France and Belgium. Most studies in the business literature are focused on the performance ( Orlitzky, Schmidt and Rynes, 2003), risk ( Orlitzky and Benjamin, 2001) or strategic implications ( McWilliams, Siegel, & Wright, 2006) associated with corporate social responsibility. Except for Doh, Howton, Howton, and Siegel (2010), the literature lacks studies on the capital market reaction to socially responsible actions/non-actions by corporations. Doh et al. is the first published paper to reveal that investors care about a firm's commitment to social activities. The authors find a significant impact of exits (but not of entries) and suggest that future research should verify whether their findings on a specific sample and limited time period may be extended to other CSR indexes. Our paper follows this direction by investigating the change in equity market value of companies following or rejecting CSR activities. We investigate a stock market index of social responsibility, the Domini 400 Social Index, while evaluating the stock price impact of inclusion in and deletion from the index. Entries into or exits from the index are announced by the Domini 400 the same day the event occurs. We hypothesize that investors track socially responsible companies and indices, and that any substantial change announcement in the index is reflected in the abnormal return of these firms in the capital market. Employing an event study analysis during 1990–2004, we measure the net effect of CSR index entry and exit. We find a significant negative effect on abnormal returns after announcements of exit from the Domini index. This negative relation persists even after controlling for concurrent financial distress shocks and stock market seasonality. The remainder of the paper is organized as follows. Section 2, briefly summarizes the key theoretical and empirical literature. Section 3 reports the data, methodology and results, along with a series of robustness checks. The final section concludes the paper.

Corporations are increasingly involved in CSR activities. However, with a few notable exceptions, the finance literature lacks any significant empirical research on this topic, especially from the perspectives of investors. This paper contributes to the literature by tracking the stock market reaction to entries into and exits from an established SR index, which provides interesting insights into the impact of CSR on shareholder value, and investor preferences. Consistent with Doh et al. (2009), our main findings document that the impact of SR-related events (and, more specifically, additions and deletions from the Domini Index) has risen over time, and that the abnormal returns around the event date are significantly negative in the case of exit from the Domini Index. This result is robust to: i) the adoption of different parametric/non-parametric methods; ii) stock market seasonality; changes in iii) the estimation window; iv) the event window; and v) the model used for estimating abnormal returns. It finally persists when calculated net of the impact of exits presumably related to financial distress. When tracking the dynamics of cumulative abnormal returns after the event date, we also find that the gap between CARs from deletion and addition events tends to bridge in an interval of between 11 and 24 days, when we estimate the market model, and of around 90 days when we use the GARCH (p,q) multi-CAPM model. These findings, when considered collectively, suggest that the penalty for exit from social responsibility might depend more on the reaction of ethically screened funds than on an expected negative shock on shareholder value. This interpretation is consistent with the growth of volumes intermediated by SR funds, with their behavior on financial markets (violation of ethical criteria should lead to selling a stock independently of its expected performance) and with the shift of focus hypothesis. The findings establish that CSR leads corporations to refocus their strategic goals from the maximization of shareholder value to the maximization of the goals of a broader set of stakeholders.