企业社会绩效能否降低股票极端回报的风险？

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance Pub Date : 2024-09-10 DOI:10.1016/j.qref.2024.101917

Fouad Ben Abdelaziz , Messaoud Chibane , Ano Kuhanathan

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引用次数: 0

摘要

1 为了研究这种关系的结构，我们将美国大型公司股票回报的动态分解为两个部分：高斯创新和非高斯创新。我们的研究结果表明，CSP 主要通过非高斯风险渠道影响公司风险。特别是，它大大降低了极端回报的幅度。我们没有发现 CSP 对价格上涨频率和崩盘概率有一致或稳健的影响，因为不同行业之间的差异很大。最后，我们发现 CSP 对标准高斯波动风险没有显著的统计影响。

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Can corporate social performance mitigate the risk of extreme stock returns?

It is commonly believed that there exists a strong negative association between corporate social performance (CSP) and firm risk.¹ To investigate the structure of this relationship, we decompose the dynamics of large U.S. company stock returns into two components: Gaussian and non-Gaussian innovations. Our findings indicate that CSP affects firm risk mainly through the non-Gaussian risk channel. In particular, it significantly reduces the magnitude of extreme returns. We find no consistent nor robust effect of CSP on the frequency of price boom and crash probability as it varies widely across industries. Last, we find no statistically significant impact of CSP on standard Gaussian volatility risk.

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来源期刊

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.