Corporate social responsibility's effect on stock returns during the Covid-19 crisis: Evidence from U.S. markets

Abstract

I found that social capital measured by Corporate Social Responsibility (CSR) activities had a negative effect on stock returns during the Covid-19 from February 2020 to August 2020. High-CSR firms had two to four percentage points lower returns. Financial characteristics like profitability and cash holdings tended to have a bigger impact on returns during this period. I performed multiple regressions to analyse the effect of CSR on raw buy-and-hold returns and abnormal returns, while controlling for multiple financial characteristics and other control variables. I used data from the United States and my sample covered 1023 firms.