Estudo da relação entre responsabilidade social corporativa e criação de valor a partir de um modelo de quatro fatores

Resumo

This study uses a four factor asset pricing model - a standard Fama and French (1993) three factor model augmented by a sustainability factor - to assess the relationship between Corporate Social Responsibility (CSR) and stock price return. This is the first work to develop a risk factor from a firm sustainability ranking that combines all the important ESG (sustainability, social and governance) dimensions, in line with the modern concept of CSR. Besides, it adds to the body of CSR and finance knowledge as it shows that, in the majority of the regressions, the relationship between CSR and stock returns is negative and significant, suggesting that, in general, investors see CSR as a decision that negatively affect business profitability. However, there are specific cases where this relationship in consistently positive and significant, suggesting that CSR helps create value depending on firm characteristics.

Ficha do documento

Tipo

Dissertação

Ano

2016

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/17693

Temas

EconomiaGovernançaMeio Ambiente

Palavras-chave

Responsabilidade social corporativa (RSC)Criação de valorProblemas de agênciaRisco-retornoCAPMFator sustentabilidadeEconomiaResponsabilidade social da empresaDesenvolvimento sustentávelMercado financeiroModelo de precificação de ativosValor adicionado