The effect of corporate social responsibility announcements on a company's stock returns and market efficiency

Abstract

In this thesis we study the effects of Corporate Social Responsibility (CSR) announcements on a company’s stock returns. We focus on announcements among American corporations from 2005-2012. We perform an event study where we use the Market Model, the Fama & French Model and the Carhart Model, and we look for abnormal returns on a firm’s stock returns. Furthermore, we investigate whether the potential excess returns can be considered an anomaly to market efficiency. We conclude that CSR announcements result in negative abnormal returns, and result in negative cumulative abnormal returns. Furthermore, we conclude that CSR announcements may represent an anomaly to market efficiency.