The mispricing of socially ambiguous grey stocks

Swee-Sum Lam, Weina Zhang and Gabriel Henry Jacob

Finance Research Letters, 2015, vol. 13, issue C, 81-89

Abstract: The study examines how stock market prices the stocks of socially ambiguous “Grey” firms, who are socially responsible in certain corporate social responsibility (CSR) dimensions while being socially irresponsible in other dimensions. Using firm data from 1992 to 2011, we find that the value-weighted “Grey” portfolio earns an annual abnormal return up to 3.6% relative to “Neutral” portfolio that consists of neither socially responsible nor irresponsible firms. Interestingly, “Community” and “Environment” sub-dimensions of CSR are the main drivers for the overpricing. The overpricing phenomenon is robust and is not driven by small firms, the “Sin” stocks or “Controversial” industries.

Keywords: Corporate social responsibility (CSR); Community; Controversial industries; Environment; Socially ambiguous grey stocks; Sin stocks (search for similar items in EconPapers)
JEL-codes: G02 G11 G12 G30 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:13:y:2015:i:c:p:81-89

DOI: 10.1016/j.frl.2015.02.010

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