CORPORATE SOCIAL RESPONSIBILITY AND SHAREHOLDER EFFECTS: THE GREEK PARADIGM1

The study investigates the risk and return profile of a stock portfolio constructed of companies that consistently promote corporate social responsibility (CSR). The stock market behavior of these companies is analyzed and attention is paid on modeling dynamic volatility and assessing implications for shareholder value. It would be anticipated that corporate social responsible companies may exhibit a stable stock market behavior. However, the volatility model employed provides a statistical explanation of CSR stock risk and return. The impact of volatility is shown to be persistent though varying across the CSR sample. Shareholder value may fluctuate considerably and CSR stocks may not necessarily constitute a defensive asset class