Abstract This article challenges factor models widely used to explain stock returns. For European firms involved in corporate social responsibility (CSR) actions, we find a risk premium associated with extra-financial ratings priced by the market (that is, environmental, social, and governance [ESG] ratings). This premium is calculated as the excess return of low-rated firms compared to high-rated firms. To describe rated firms' returns, we propose a parsimonious two-factor model that includes both the market factor and this premium. Unlike the CAPM, three-, or five-factor models, our model is validated by the Gibbons, Ross and Shanken (1989) test. Our results lead to many managerial implications related to portfolio management, asset pricing, and corporate financial and investing decisions.

中文翻译：

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企业社会责任是常见的风险因素

摘要本文对广泛用于解释股票收益的因素模型提出了挑战。对于参与企业社会责任（CSR）行动的欧洲公司，我们发现与市场定价的额外财务评级（即环境，社会和治理[ESG]评级）相关的风险溢价。该溢价是根据低评级公司相对于高评级公司的超额收益来计算的。为了描述评级公司的收益，我们提出了一个简化的两因素模型，其中包括市场因素和溢价。与CAPM，三因素或五因素模型不同，我们的模型通过Gibbons，Ross和Shanken（1989）检验进行了验证。我们的结果导致与投资组合管理，资产定价以及公司财务和投资决策有关的许多管理影响。