Abstract

Using a Capital Asset Pricing Model (CAPM) for panel data, this study investigates the influence of corporate social responsibility (CSR) on financial performance, for 154 European firms between 2000 and 2008. The CSR index reveals whether or not the firm published a social report for year t. Statistical evidence shows that this index is negatively and significantly associated with the expected return on the capital asset, even after (i) controlling for size, sector and country specific effect or PER, and (ii) correcting for size-CSR multicolinearity bias.

Key words: Corporate social responsibility, financial performance, panel data.

JEL Classification: M14, G12, C33.