DO INVESTORS APPRECIATE CORPORATE SOCIAL RESPONSABILITY? EVIDENCE FROM THE EUROPEAN UNION
DO INVESTORS APPRECIATE CORPORATE SOCIAL RESPONSABILITY? EVIDENCE FROM THE EUROPEAN UNION

Summary/Abstract: The aim of this paper is to determine if investors appreciate companies that actively engage in their community through corporate social responsibility. We use a correlation test, a Vector Error Correction Model (VECM) and a Granger Causality test in order to compare if the price movement of social responsible companies follows a different trend compared to the evolution of the whole market. For our analysis we use European Thomson Reuters Corporate Social Responsibility Indexes as a proxy for social responsible companies and the STOXX-600 Index as a proxy for the EU market between 2008-2015. Our results indicate that on average CSR companies tend to underperform the market. While the results for the VECM test indicate a lack of cointegration between the price movement of the market and the price of CSR companies, the Granger Causality test indicates a weak relationship. These results are valid both for all CSR companies, as well as companies involved in environmental protection, social responsibility or corporate governance. This implies that investors don’t necessarily appreciate the companies that are more involved in CSR, but rather they tend to use other means or methods to asses and evaluate corporate performance.

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