Bertrand, Guyot, and Lapointe (2013)

Bertrand, Philippe, Alexis Guyot, and Vincent Lapointe. “Raising Companies’ Profile with Corporate Social Performance: Variations in Investor Recognition and Liquidity Linked to VIGEO CSP Rating Disclosures.”  Working paper (CERGAM, IAE Aix-en-Provence and Euromed Management), June 2013.

From the authors' abstract:  "Using a sample of European listed firms, we confirm that there is a positive and significant relationship be- tween CSP rating and a firm’s liquidity and investor base. Consistent with the neglected stock effect, this relationship is sensitive to firm size...  [F]rom an asset manager’s perspective, any change in CSP should be taken into account, as it can affect company valuation and therefore portfolio performance."

Link:  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2183599