Corporate social performance as a market force: Analysing its impact on stocks’ tail risk and upside potential in the Spanish equity market

Julen Galarza María, Eduardo Ortas and José Mariano Moneva Abadía

Cuadernos de Gestión, 2026

Abstract: [EN] This study examines the impact of corporate social performance (CSP) and its subdimensions (workforce, human rights, community, and product responsibility) on firms’ tail risk and upside potential in the Spanish stock market. Focusing on the period from 2014 to 2021, annual corporate financial performance (CFP) metrics were comput-ed through filtered historical simulation (FHS), a semiparametric approach based on Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models and bootstrapping. This approach allows the main stylized facts of stock returns (i.e., autocorrelation, volatility clusters, and heavy tails) to be accounted for and, at the same time, firms’ financial performance to be computed from the simulated distribution. The main findings reveal a complex time-dependent connection between CSP and its subdimensions and firms’ tail risk and upside potential. In fact, while CSP reduces tail risk in the short term, it increases maximum loss in the long term. Interestingly, the results do not provide any evidence of the existence of a risk–return trade-off effect. Finally, the study highlights the need to monitor specific CSP subdimensions such as human rights and community, since they entail higher tail risk and lower upside potential.

Keywords: corporate social performance; tail risk; upside potential; filtered historical simulation; desempeño social corporativo; riesgo bajista; potencial alcista; simulación histórica filtrada (search for similar items in EconPapers)
Date: 2026
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Instituto de Economía Aplicada a la Empresa, Revista Cuadernos de Gestión, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
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