Grigoris Giannarakis

This study investigates whether corporate social responsibility (CSR) affects the financial performance of the United States (US) companies. In particular, the impact of CSR on financial performance is investigated in terms of involvement in socially responsible initiatives instead of outcome. The Environmental, Social and Governance disclosure score as calculated by Bloomberg is used as a proxy for corporate involvement in socially responsible initiatives. Fixed effects regression is employed to estimate the relationship between the extent of corporate social disclosure (CSD) and financial performance using the data of listed companies on the Standard & Poor’s 500 during the period 2009-2013. The results suggest that the involvement in socially responsible initiatives has a significantly positive effect on financial performance. In addition, the control variables, such as total compensation to directors, CEO duality and women presence on board are statistically significant to financial performance. It is important to incorporate a longer period in order to validate the positive relationship between CSR and financial performance, whilst the sample is focused on large in size US companies. This study chose to approach the topic from a different angle in order to provide an alternate perspective on this issue taking into account the involvement of socially responsible initiatives via CSD.

Keywords: corporate social responsibility, disclosure, financial performance.
JEL Classification: M140, M410, Q00

This paper examines the effect of various economic and financial indicators on the Dow Jones Sustainability Index (DJSI) returns. In particular, four explanatory variables are employed, namely United States (US) 10 Year bond value, gold price, Trade Weighted U.S. Dollar Index and Consumer Sentiment Index calculated by Michigan University. A generalized autoregressive conditional heteroskedasticity (GARCH) model is applied over DJSI United States which incorporates socially responsible companies for the period August, 1999 to May, 2016 using monthly data. The empirical results indicate that the consumer sentiment and the bond market exert positive impact on the DJSI US, whereas the gold and currency market affects it negatively. In addition, the structural analysis of DJSI US returns volatility showed that the US trade balance has a stabilizing effect on the conditional variance of the DJSI US return series.

JEL Classification: G1, F2, Q40, M21.
Keywords: Dow Jones Sustainability Index, bond value, gold, exchange rate, consumer sentiment

This study intends to investigate whether stock returns affect the consumer sentiment. In particular, socially responsible companies are incorporated in the sample in order to capture the specification of socially responsible investors. For this reason, the University of Michigan Consumer Confidence Index is used as a proxy for consumer confidence, while data from Dow Jones Sustainability Index US is employed as a proxy for socially responsible companies for the period 1999-2016. The generalized autoregressive conditional heteroskedasticity model applied and illustrated that stock returns affect positively the consumer confidence. The result has important implications for investors and policy makers.