Leading or lagging indicators of risk? The informational content of extra-financial performance scores

被引：5
|
作者：
Sodjahin A. [1 ]
Champagne C. [2 ]
Coggins F. [2 ]
Gillet R. [3 ]
机构：
[1] Accounting Department, Business Faculty Université de Moncton, GReFA, Moncton
[2] Department of Finance, Business School Université de Sherbrooke, GReFA, Sherbrooke
[3] Université Paris1 Panthéon-Sorbonne, PRISM, GReFA, Paris
来源：
Journal of Asset Management | 2017年 / 18卷 / 5期
关键词：
conditional model; corporate social responsibility; extra-financial performance; informational content; systematic risk;
D O I：
10.1057/s41260-016-0039-y
中图分类号：
学科分类号：
摘要：
This study investigates the informational content of extra-financial agency scoring by examining the relationship between firm beta and extra-financial performance score upgrades and downgrades. Specifically, we study the variations in the extra-financial score of 266 Canadian corporations between 2007 and 2012 with a conditional model. We find no evidence that changes in firm beta precede changes in extra-financial scores. Rather, our results suggest that a firm's systematic risk increases following a downgrade of its extra-financial performance. In terms of score upgrades, the overall effect is not significant. However, score upgrades for firms with already-high scores predict higher systematic risk, while score upgrades for firms with low scores predict lower systematic risk. These results suggest that extra-financial scores are informational and can be useful to portfolio managers, notably for their risk management strategies. © 2017 Macmillan Publishers Ltd.
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页码：347 / 370
页数：23
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