Is CSR linked to idiosyncratic risk? Evidence from the copula approach

Salma Mefteh-Wali, Hassen Raïs and Guillaume Schier
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Salma Mefteh-Wali: ESSCA
Guillaume Schier: ESSCA

Annals of Operations Research, 2024, vol. 334, issue 1, No 29, 799-814

Abstract: Abstract In this paper, we extend the research on the effect of corporate social responsibility (CSR) on firm risk by analyzing the CSR–idiosyncratic risk nexus and how CSR can be integrated as insurance in a global risk management strategy. First, the causality between CSR and risk was tested. Second, copulas were estimated to strengthen the existing results on the structure of the dependence between the different dimensions of CSR activities and idiosyncratic risk levels. The empirical analysis was conducted on a sample of 254 European-listed firms over the 2018–2020 period. The main results showed a directional causality effect between CSR and idiosyncratic risk, and the dependences were modeled between CSR and realized idiosyncratic risk. This allows a better understanding of the risk implications of CSR for investors, corporate managers, and policy makers.

Keywords: CSR risk; Causality; Granger test; Copula (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10479-022-04980-1

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