Estudo da relação entre responsabilidade social corporativa e criação de valor a partir de um modelo de quatro fatores
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Data
2016-12-05
Autores
Orientador(res)
Rochman, Ricardo Ratner
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Resumo
This study uses a four factor asset pricing model - a standard Fama and French (1993) three factor model augmented by a sustainability factor - to assess the relationship between Corporate Social Responsibility (CSR) and stock price return. This is the first work to develop a risk factor from a firm sustainability ranking that combines all the important ESG (sustainability, social and governance) dimensions, in line with the modern concept of CSR. Besides, it adds to the body of CSR and finance knowledge as it shows that, in the majority of the regressions, the relationship between CSR and stock returns is negative and significant, suggesting that, in general, investors see CSR as a decision that negatively affect business profitability. However, there are specific cases where this relationship in consistently positive and significant, suggesting that CSR helps create value depending on firm characteristics.