The Downside of Being Responsible: Corporate Social Responsibility and Tail Risk

Dolf Diemont (), Kyle Moore and Aloy Soppe ()
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Dolf Diemont: Erasmus University Rotterdam
Aloy Soppe: Erasmus University Rotterdam

Journal of Business Ethics, 2016, vol. 137, issue 2, No 1, 213-229

Abstract: Abstract This paper assesses the relationship between corporate social responsibility (CSR) and downside equity tail risk, a field of research that is underdeveloped at this moment. Using global equities data over the period of January 2003 to December 2011, inclusive, the downside tail risk of each company is estimated using techniques of extreme value theory and CSR is approached using stakeholder theory. Our findings show a significant relationship between certain aspects of CSR and downside tail risk. The nature of the relationship differs across region, stakeholder and time. Furthermore, the relationships we found are sequential, which makes a causal link between CSR and tail risk plausible.

Keywords: Tail risk; Risk management; Corporate social responsibility (search for similar items in EconPapers)
JEL-codes: C33 G32 G34 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (30)

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DOI: 10.1007/s10551-015-2549-9

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