We analyse the performance of a large sample of Socially Responsible (SR) stocks relative to a Control Sample (CS) of equivalent size for 14 years. We find that individual SR stocks have on average significantly lower returns and unconditional variance than CS stocks when controlling for...

Does Corporate Social Responsibility (CSR) matter for the cross section of stock returns ? Constructing a CSR factor long irresponsible firms and short responsible ones, we show that CSR is pervasive in the cross section of the returns of portfolios sorted on size and book to market, momentum,...