The Nonlinear Impact of Corporate Social Responsibility on Stock Returns

摘要

“Can companies benefit from corporate socialresponsibility?” is still unsolved. This study investigates how corporatesocial responsibility impacts stock returns with Hexun’s CSR rating for firsttime. The sample is based on Chinese A-share listed companies for the period2010-2017. Weadopt threshold regression and multiple regression and find that: first, thereis a U-shaped relationship between CSR and stock returns. This finding suggests that therelationship between CSR and stock return is affected by cut-off point, whichis negative before cut-off point, and positive after cut-off point. Inaddition, this relationship has nothing to do with the nature of enterpriseproperty rights. Second, fulfilling CSR affects corporate reputation and relieves information asymmetry, corporatereputation and institutional investors are the channels through which CSRinfluences stock returns. Fourth, we demonstrate the moderating effect ofexternal legal environment between CSR and stock return. This paper providesnew evidence for understanding the impact of CSR on enterprise value.