Lioui and Sisto (2014)

Lioui, Abraham and Michele Sisto. “A Responsible CAPM.” Working paper (EDHEC Business School), July 1, 2014.

From the authors’ abstract: “Creating responsibility strength and concern factors based on Corporate Social Responsibility (CSR) strength and concern ratings, we present empirical evidence that a responsibility factor based on CSR strengths contributes significantly to explaining cross sectional variation in expected equity returns and has an economically significant impact on expected returns… We also show that our responsibility factors are weakly related to the business cycle but strongly related to media coverage of CSR.”