Journal
JOURNAL OF BUSINESS ETHICS
Volume 137, Issue 2, Pages 213-229Publisher
SPRINGER
DOI: 10.1007/s10551-015-2549-9
Keywords
Tail risk; Risk management; Corporate social responsibility
Funding
- Economic and Social Research Council (ESRC) in funding the Systemic Risk Centre [ES/K002309/1]
- ESRC [ES/K002309/1] Funding Source: UKRI
- Economic and Social Research Council [ES/K002309/1] Funding Source: researchfish
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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.
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