Manescu (2009)
Manescu, Cristiana. "Is Corporate Social Responsibility viewed as a risk factor? Evidence from an asset pricing analysis." Working Paper (University of Gothenburg), 2009.
From the author’s abstract: “Using detailed data on seven environmental, social and governance (ESG) attributes for a long panel of large publicly traded U.S. firms during July 1992-June 2008, this study finds that only the community indicator has a positive impact on stock returns and furthermore this effect is due to mispricing. Additionally, we document a changing effect of employee relations from positive to negative between July 1992- June 2003 and July 2003- June 2008. The positive impact is found to be due to mispricing, but for the negative impact there is some weak evidence that it is compensation for low non-sustainability risk… The implications of this study are that certain ESG issues…could be priced as risk factors as soon as there is higher information availability for those ESG attributes.”