Type and Duration
FFF-Förderprojekt, September 2021 until December 2022 (finished)Coordinator
Chair in Business Administration, Banking and Financial ManagementMain Research
Wealth ManagementDescription
The research project aims to deeply study the concept and impact of corporate social responsibility (CSR) gap, which is defined as the difference between what a company claimed to do and what the company actually did in terms of CSR practices. The project plans to produce two research papers: the first paper sets focus on studying the impact of CSR gap on firm risk; the second paper tries to treat CSR gap as an expectation error factor and utilizes it to explain the value premium generated by holding value firms with strong fundamentals. We build our CSR gap measures on both Bloomberg ESG database and Thomson Reuters ASSET4 database. The sample covers all firms from 2003 onwards, included in the two databases. In the first paper, we apply a panel methodology to test the impact of CSR gap on firm risk. Consequently, the contribution of the first paper is the explicit analysis of the impact of CSR gap on total, systematic and idiosyncratic firm risk, as well as higher moments of risk – namely vol-of-vol, skew-of-vol and kurt-of-vol. In the second paper, we apply a time-series factor regression to check the impact of CSR gap on the value premium. As such, we try to use CSR theories to explain traditional asset pricing problems, which enhances the connection between sustainable finance and traditional finance.keywords: Sustainable investing; ESG; CSR gap; corporate risk; value investing; growth investing.
