Purpose

This paper aims to explore the effect of corporate social responsibility (CSR) on shareholder value using the stock market reactions to a terrorist attack. This paper exploits the September 11 terrorist attack as an unanticipated exogenous shock that reduced shareholder wealth suddenly and unexpectedly. Based on the risk-mitigation hypothesis, the argument is that more socially responsible firms should suffer less negative market reactions.

Design/methodology/approach

This paper uses the standard event study methodology to estimate the stock market reactions to the 9/11 terrorist attack. Then, the study executes a cross-section analysis to determine whether CSR offers any protection in the presence of a sudden negative shock. Additional analysis includes propensity score matching, instrumental-variable analysis and using Oster’s (2019) method for testing coefficient stability.

Findings

The results show that the negative stock market reactions to the shock are significantly alleviated for firms with strong social responsibility. A rise in CSR by one standard deviation improves the market reactions by 22.56% of the average decline. This is consistent with the prediction of the risk mitigation hypothesis, where CSR spawns moral capital or goodwill that functions as an insurance-like defense in case of an adverse event.

Research limitations/implications

The study focuses on short-term market reactions because this method is more likely to show a causal effect. Future research may investigate long-term effects.

Originality/value

While prior research has investigated the effect of CSR on firm value, it has been challenging to establish causality. The approach is more likely to show causality as it is based on a sudden and unanticipated negative shock. This paper also uses several methods to reduce endogeneity, making it more likely that the results show causality, rather than merely an association.

中文翻译：

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企业社会责任（CSR）对股东价值的影响：来自9/11恐怖袭击的证据

目的

本文旨在利用股票市场对恐怖袭击的反应来探讨企业社会责任（CSR）对股东价值的影响。本文将9月11日的恐怖袭击作为一种意料之外的外来冲击，利用这种冲击突然而又意外地减少了股东财富。基于减轻风险的假设，该论点是，对社会负责的公司应减少负面的市场反应。

设计/方法/方法

本文使用标准事件研究方法来估计股市对9/11恐怖袭击的反应。然后，该研究执行横截面分析，以确定在突然的负面冲击下，CSR是否提供任何保护。其他分析包括倾向得分匹配，工具变量分析以及使用Oster（2019）方法测试系数稳定性。

发现

结果表明，对于具有强烈社会责任感的企业，股票市场对冲击的负面反应已得到显着缓解。企业社会责任上升一个标准差，将使市场反应提高平均下降幅度的22.56％。这与风险缓解假说的预测是一致的，在该假设中，企业社会责任产生了道德资本或商誉，在发生不良事件时，道德资本或商誉可以起到类似于保险的防御作用。

研究局限/意义

该研究着眼于短期市场反应，因为这种方法更有可能显示因果关系。未来的研究可能会研究长期影响。

创意/价值

尽管先前的研究已经调查了企业社会责任对企业价值的影响，但要建立因果关系一直是一项挑战。该方法更有可能显示因果关系，因为它是基于突然的和无法预料的负面冲击。本文还使用了几种方法来减少内生性，从而使结果更有可能显示因果关系，而不仅仅是关联。