Corporate social performance as a market force: Analysing its impact on stocks’ tail risk and upside potential in the Spanish equity market
##plugins.themes.bootstrap3.article.main##
##plugins.themes.bootstrap3.article.sidebar##
Published
16-04-2026
Julen Galarza-Maria
Eduardo Ortas
José M. Moneva
https://orcid.org/0009-0002-7135-4490
Eduardo Ortas
José M. Moneva
Abstract
This study examines the impact of corporate social performance (CSP) and its subdimensions (workforce, human rights, community, and product responsibility) on firms’ tail risk and upside potential in the Spanish stock market. Focusing on the period from 2014 to 2021, annual corporate financial performance (CFP) metrics were computed through filtered historical simulation (FHS), a semiparametric approach based on Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models and bootstrapping. This approach allows the main stylized facts of stock returns (i.e., autocorrelation, volatility clusters, and heavy tails) to be accounted for and, at the same time, firms’ financial performance to be computed from the simulated distribution. The main findings reveal a complex time-dependent connection between CSP and its subdimensions and firms’ tail risk and upside potential. In fact, while CSP reduces tail risk in the short term, it increases maximum loss in the long term. Interestingly, the results do not provide any evidence of the existence of a risk–return trade-off effect. Finally, the study highlights the need to monitor specific CSP subdimensions such as human rights and community, since they entail higher tail risk and lower upside potential.
How to Cite
Galarza-Maria, J., Ortas, E., & Moneva, J. M. (2026). Corporate social performance as a market force: Analysing its impact on stocks’ tail risk and upside potential in the Spanish equity market. Cuadernos De Gestión, 26(1), 57–72. https://doi.org/10.5295/cdg.252386jg
##plugins.themes.bootstrap3.article.details##
Keywords
Corporate social performance, Tail risk, Upside potential, Filtered historical simulation
References
Abdelaziz, F. B. Chibane, M., & Kuhanathan, A. (2024). Can corporate social performance mitigate the risk of extreme stock returns? Quarterly Review of Economics and Finance, 98, 101917. https://doi.org/10.1016/j.qref.2024.101917
Alexakis, C., & Pappas, V. (2018). Sectoral dynamics of financial contagion in Europe- The cases of the recent crisis episodes. Economic Modelling, 73, 222-239. https://doi.org/10.1016/j.econmod.2018.03.018
Barone-Adesi, G., & Giannopoulos, K. (2001). Non-parametric VaR Techniques. Myths and Realities. Economic Notes, 30, 167-181. https://doi.org/10.1111/j.0391-5026.2001.00052.x
Barone-Adesi, G., Giannopoulos, K., & Vosper, L. (1999). VaR without correlations for portfolios of derivative securities. The Journal of Futures Markets, 19 (5), 583-602. https://doi.org/10.1002/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S
Bax, K., Sahin, Ö., Czado, C., & Paterlini, P. (2023). ESG, risk, and (tail) dependence. International Review of Financial Analysis, 87, 102513. https://doi.org/10.1016/j.irfa.2023.102513
Boiral, O., Talbot, D., & Brotherton, M-C. (2020). Measuring sustainability risks: A rational myth? Business Strategy and the Environment, 29, 2557-2571. https://doi.org/10.1002/bse.2520
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992). ARCH modeling in finance: A review of the theory and empirical evidence. Journal of Econometrics, 52, 5-59. https://doi-org.cuarzo.unizar.es:9443/10.1016/0304-4076(92)90064-X
Bouslah, K., Kryzanowski, L., & M’ Zali, B. (2013). The impact of the dimensions of social performance on firm risk. Journal of Baking & Finance, 37, 1258-1273. https://doi.org/10.1016/j.jbankfin.2012.12.004
Broadstock, D. C., Chan, K., Cheng, L. T. W., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance Research Letters, 38, 101716. https://doi.org/10.1016/j.frl.2020.101716
Brooks, C., & Oikonomou, I. (2018). The effects of environmental, social and governance disclosures and performance: A review of literature in accounting and finance. The British Accounting Review, 50, 1-15. https://doi.org/10.1016/j.bar.2017.11.005
Bruna, M. G., & Lahouel, B. B. (2022). CSR & financial performance: Facing methodological and modeling issues commentary paper to the eponymous FRL article collection. Finance Research Letters, 44, 102036. https://doi.org/10.1016/j.frl.2021.102036
Cornell, B. (2021). ESG preferences, risk and return. European Financial Management, 27 (1), 12-19. https://doi.org/10.1111/eufm.12295
Cunha,F.A.F.d.S., De Oliveira, E.M., Orsato, R.J., Klotzle, M. C., Cyrino Oliveira, F. L., & Caiado, R.G.G. (2020). ¿Can Sustainable investments outperform traditional benchmarks? Evidence from global stock markets. Business Strategy and the Environment, 29, 682-697. https://doi.org/10.1002/bse.2397
De Giuli, M. E., Grechi, D., & Tanda A. (2024). What do we Know about ESG and Risk? A systematic and bibliometric review. Corporate Social Responsibility and Environmental Management, 31(2), 1096-1108. https://doi.org/10.1002/csr.2624
Díaz, V, Ibrushi, D., & Zhao, J. (2021). Reconsidering systematic factors during the Covid-19 pandemic-The rising im-portance of ESG. Finance Research Letters, 38, 101870. https://doi.org/10.1016/j.frl.2020.101870
Diemont, D., Moore, K., & Soppe, A. (2016). The Downside of Being Responsible: Corporate Social Responsibility and Tail Risk. Journal of Business Ethics, 137, 213-229. https://doi.org/10.1007/s10551-015-2549-9
Dumitrescu, A., & Zakriya, M. (2021). Stakeholders and the stock price crash risk: What matters in corporate social performance? Journal of Corporate Finance, 67, 101871. https://doi.org/10.1016/j.jcorpfin.2020.101871
Engle, R. F., & Bollerslev, T. (1986). Modelling the persistence of conditional variances. Economic Reviews, 5(1), 1-50. https://doi.org/10.1080/07474938608800095
Esteban-Sanchez, P., de la Cuesta-Gonzalez, M., & Paredes-Gazquez, J. D. (2017). Corporate social performance and its relation with corporate financial performance: International evidence in the banking industry. Journal of Cleaner Production, 162, 1102-1110. https://doi.org/10.1016/j.jclepro.2017.06.127
Folqué, M., Escrig-Olmedo, E., & Corzo Santamaría, T. (2021). Sustainable development and financial system: Integrating ESG risks through sustainable investment strategies in a climate change context. Sustainable Development, 29, 876-890. https://doi.org/10.1002/sd.2181
Gao, Y., Hoepner, A.G.F., Prokopczuk, M., Rouxelin, F., & Wuersig, C. (2025). Responsible investing: Upside potential and downside protection? International Review of Financial Analysis, 97, 103754. https://doi.org/10.1016/j.irfa.2024.103754
Hoepner, A. G. F., Oikonoumou, I., Sautner, Z., Starks, L. T., & Zhou, X. Y. (2024). ESG shareholder engagement and downside risk. Review of Finance, 28, 483-510. https://doi.org/10.1093/rof/rfad034
Hummel, K., & Jobst, D. (2024). An Overview of Corporate Sustainability Reporting Legislation in the European Union. Accounting in Europe, 21 (3), 320-355. https://doi.org/10.1080/17449480.2024.2312145
Inoue, I., & Lee, S. (2011). Effects of different dimensions of corporate social responsibility on corporate financial per-formance in tourism-related industries. Tourism Management, 32, 790-804. https://doi.org/10.1016/j.tourman.2010.06.019
Korinth, K., & Lueg, R. (2022). Corporate Sustainability and Risk Management-The U-Shaped Relationships of Disag-gregated ESG Rating Scores and Risk in the German Capital Market. Sustainability, 5735. https://doi.org/10.3390/su14095735
Laborda, J., Laborda, R., & de la Cruz, J. (2024). Can ETFs affect U.S. financial stability? A quantile cointegration analysis. Financial Innovation. https://doi.org/10.1186/s40854-023-00591-2
Landi, G. C., Iandolo, F., Renzi, A., & Rey, A. (2022). Embedding sustainability in risk management: The impact of envi-ronmental, social, and governance ratings on corporate financial risk. Corporate Social Responsibility and Environmental Management, 29 (4), 1096-1107. https://doi.org/10.1002/csr.2256
Lahouel B.B., Zaied, T.B., Managi, S., & Taleb, L. (2022). Re-thinking about U: The relevance of regime-switching model in the relationship between environmental corporate social responsibility and financial performance. Journal of Business Research, 140, 498-519. https://doi.org/10.1016/j.jbusres.2021.11.019
Le, T. H. (2020). Forecasting value at risk and expected shortfall with mixed data sampling. International Journal of Forecasting, 36, 1362-1379. https://doi.org/10.1016/j.ijforecast.2020.01.008
Liu, D., Gu, K., & Hu, W. (2023). ESG performance and stock idiosyncratic volatility. Finance Research Letters, 58, 104393. https://doi.org/10.1016/j.frl.2023.104393
Lööf, H., Sahamkhadam, M., & Stephan, A. (2022). Is Corporate Social Responsibility investing a free lunch? The rela-tionship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis. Finance Re-search Letters, 46, 102499. https://doi.org/10.1016/j.frl.2021.102499
Louzis, D. P., Xanthopoulos-Sisinis, S., & Refenes, A. P. (2014) Realized volatility models and Alternative Value-at-Risk prediction strategies. Economic Modelling, 40, 101-116. https://doi.org/10.1016/j.econmod.2014.03.025
Luo, D. (2022). ESG, liquidity, and stock returns. Journal of International Financial Markets, Institutions & Money, 78, 101526. https://doi.org/10.1016/j.intfin.2022.101526
Mancini, L, & Trojani, F. (2011). Robust Value at Risk Prediction. Journal of Financial Econometrics, 9, 281-313. https://doi.org/10.1093/jjfinec/nbq035
Maˇnescu, C. (2011). Stock Returns in Relation to Environmental, Social and Governance Performance: Mispricing or Compensation for Risk? Sustainable Development, 19, 95-118. https://doi.org/10.1002/sd.510
Marimoutou, V., Raggad, B., & Trabelsi, A. (2009). Extreme Value Theory and Value at Risk: Application to oil market. Energy Economics, 31, 519-530. https://doi.org/10.1016/j.eneco.2009.02.005
Mundlak, Y. (1978). On the Pooling of Time Series and Cross Section Data. Econometrica, 46 (1), 69-85.
Naik, N., Mohan, B. R., & Jha, R. A. (2020). GARCH-Model Identification based on Performance of Information Criteria. Procedia Computer Science, 171, 1935-1942. https://doi.org/10.1016/j.procs.2020.04.207
Ni, Y., & Sun, Y. (2023). Environmental, social, and governance premium in Chinese stock market. Global Finance Journal, 55, 100811. https://doi.org/10.1016/j.gfj.2023.100811
Pástor, L., Stambaugh, R. F., & Taylor, L. A. (2022). Dissecting green returns. Journal of Financial Economics, 146, 403-424. https://doi.org/10.1016/j.jfineco.2022.07.007
Pistolesi, F., & Teti, E. (2024). Shedding light on the relationship between ESG ratings and systematic risk. Finance Research Letters, 60, 104882. https://doi.org/10.1016/j.frl.2023.104882
Rouine, I., Ammari, A., & Bruna, M. G. (2022). Nonlinear impacts of CSR performance on firm risk: New evidence using panel smooth threshold regression. Finance Research Letters, 47, 102721. https://doi.org/10.1016/j.frl.2022.102721
Ruiz, E., & Nieto, M. A. (2023). Direct versus iterated multiperiod Value-at-Risk forecasts. Journal of Economic Surveys, 37, 915-949. https://doi.org/10.1111/joes.12522
Shafer, M., & Szado, E. (2020). Envinronmental, social, and governance practices and perceived tail risk. Accounting and Finance, 60, 4195-4224. https://doi.org/10.1111/acfi.12541
Spainsif (2024). La Inversión Socialmente Responsible en España: Estudio de Mercado. https://www.spainsif.es/estudio-spainsif-2024/
Shahzad, S. J. H., & Kumar, R. R., Ali, S., Ameer, S. (2016). Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications. Physica A, 457, 8-33. https://doi.org/10.1016/j.physa.2016.03.048
Shakil, M. H. (2021). Environmental, social and governance performance and financial risk: Moderating role of ESG controversies and board gender diversity. Resources Policy, 72, 102144. https://doi.org/10.1016/j.resourpol.2021.102144
Tsai, H. J., & Wu, Y. (2022). Changes in Corporate Social Responsibility and Stock Performance. Journal of Business Ethics, 178, 735-755. https://doi.org/10.1007/s10551-021-04772-w
Yamai, Y., & Yoshiba, T. (2005). Value-at-risk versus expected shortfall: A practical perspective. Journal of Banking & Finance, 29, 997-1015. https://doi.org/10.1016/j.jbankfin.2004.08.010
Viviani, J. L., Fall, M., & Revelli, C. (2019). The Effects of Socially Responsible Dimensions on Risk Dynamics and Predictability: A Value-at-Risk Perspective. International Management, 23 (3), 147-157. https://doi.org/10.7202/1062215ar
Wang, J. N., Du, J., & Hsu, Y. T. (2018). Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. Journal of Empirical Finance, 47, 120-138. https://doi.org/10.1016/j.jempfin.2018.03.004
Wang, J. N., Yeh, J. H., & Cheng, N. Y. P. (2011). How accurate is the square-root-of-time rule in scaling tail risk: A global study. Journal of Banking & Finance, 35, 1158-1169. https://doi.org/10.1016/j.jbankfin.2010.09.028
Widyawati, L. (2020). A systematic literature review of socially responsible investment and environmental and environmental social governance metrics. Business Strategy and the Environment, 29, 619-637. https://doi.org/10.1002/bse.2393
Woolridge, J.M. (2010). Econometric analysis of Cross Section and Panel Data, second ed. The MIT Press, URL https://mitpress.mit.edu/9780262232586/econometric-analysis-of-cross-section-and-panel-data/
Wu, C. H., & Hu, J. L. (2019). Can CSR reduce stock price crash risk? Evidence from China´s energy industry. Energy Policy, 128, 505-518. https://doi.org/10.1016/j.enpol.2019.01.026
Zhang, N., Zhang, Y., & Zong, Z. (2023). Fund ESG performance and downside risk: Evidence from China. International Review of Financial Analysis, 86, 102526. https://doi.org/10.1016/j.irfa.2023.10252
Alexakis, C., & Pappas, V. (2018). Sectoral dynamics of financial contagion in Europe- The cases of the recent crisis episodes. Economic Modelling, 73, 222-239. https://doi.org/10.1016/j.econmod.2018.03.018
Barone-Adesi, G., & Giannopoulos, K. (2001). Non-parametric VaR Techniques. Myths and Realities. Economic Notes, 30, 167-181. https://doi.org/10.1111/j.0391-5026.2001.00052.x
Barone-Adesi, G., Giannopoulos, K., & Vosper, L. (1999). VaR without correlations for portfolios of derivative securities. The Journal of Futures Markets, 19 (5), 583-602. https://doi.org/10.1002/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S
Bax, K., Sahin, Ö., Czado, C., & Paterlini, P. (2023). ESG, risk, and (tail) dependence. International Review of Financial Analysis, 87, 102513. https://doi.org/10.1016/j.irfa.2023.102513
Boiral, O., Talbot, D., & Brotherton, M-C. (2020). Measuring sustainability risks: A rational myth? Business Strategy and the Environment, 29, 2557-2571. https://doi.org/10.1002/bse.2520
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992). ARCH modeling in finance: A review of the theory and empirical evidence. Journal of Econometrics, 52, 5-59. https://doi-org.cuarzo.unizar.es:9443/10.1016/0304-4076(92)90064-X
Bouslah, K., Kryzanowski, L., & M’ Zali, B. (2013). The impact of the dimensions of social performance on firm risk. Journal of Baking & Finance, 37, 1258-1273. https://doi.org/10.1016/j.jbankfin.2012.12.004
Broadstock, D. C., Chan, K., Cheng, L. T. W., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance Research Letters, 38, 101716. https://doi.org/10.1016/j.frl.2020.101716
Brooks, C., & Oikonomou, I. (2018). The effects of environmental, social and governance disclosures and performance: A review of literature in accounting and finance. The British Accounting Review, 50, 1-15. https://doi.org/10.1016/j.bar.2017.11.005
Bruna, M. G., & Lahouel, B. B. (2022). CSR & financial performance: Facing methodological and modeling issues commentary paper to the eponymous FRL article collection. Finance Research Letters, 44, 102036. https://doi.org/10.1016/j.frl.2021.102036
Cornell, B. (2021). ESG preferences, risk and return. European Financial Management, 27 (1), 12-19. https://doi.org/10.1111/eufm.12295
Cunha,F.A.F.d.S., De Oliveira, E.M., Orsato, R.J., Klotzle, M. C., Cyrino Oliveira, F. L., & Caiado, R.G.G. (2020). ¿Can Sustainable investments outperform traditional benchmarks? Evidence from global stock markets. Business Strategy and the Environment, 29, 682-697. https://doi.org/10.1002/bse.2397
De Giuli, M. E., Grechi, D., & Tanda A. (2024). What do we Know about ESG and Risk? A systematic and bibliometric review. Corporate Social Responsibility and Environmental Management, 31(2), 1096-1108. https://doi.org/10.1002/csr.2624
Díaz, V, Ibrushi, D., & Zhao, J. (2021). Reconsidering systematic factors during the Covid-19 pandemic-The rising im-portance of ESG. Finance Research Letters, 38, 101870. https://doi.org/10.1016/j.frl.2020.101870
Diemont, D., Moore, K., & Soppe, A. (2016). The Downside of Being Responsible: Corporate Social Responsibility and Tail Risk. Journal of Business Ethics, 137, 213-229. https://doi.org/10.1007/s10551-015-2549-9
Dumitrescu, A., & Zakriya, M. (2021). Stakeholders and the stock price crash risk: What matters in corporate social performance? Journal of Corporate Finance, 67, 101871. https://doi.org/10.1016/j.jcorpfin.2020.101871
Engle, R. F., & Bollerslev, T. (1986). Modelling the persistence of conditional variances. Economic Reviews, 5(1), 1-50. https://doi.org/10.1080/07474938608800095
Esteban-Sanchez, P., de la Cuesta-Gonzalez, M., & Paredes-Gazquez, J. D. (2017). Corporate social performance and its relation with corporate financial performance: International evidence in the banking industry. Journal of Cleaner Production, 162, 1102-1110. https://doi.org/10.1016/j.jclepro.2017.06.127
Folqué, M., Escrig-Olmedo, E., & Corzo Santamaría, T. (2021). Sustainable development and financial system: Integrating ESG risks through sustainable investment strategies in a climate change context. Sustainable Development, 29, 876-890. https://doi.org/10.1002/sd.2181
Gao, Y., Hoepner, A.G.F., Prokopczuk, M., Rouxelin, F., & Wuersig, C. (2025). Responsible investing: Upside potential and downside protection? International Review of Financial Analysis, 97, 103754. https://doi.org/10.1016/j.irfa.2024.103754
Hoepner, A. G. F., Oikonoumou, I., Sautner, Z., Starks, L. T., & Zhou, X. Y. (2024). ESG shareholder engagement and downside risk. Review of Finance, 28, 483-510. https://doi.org/10.1093/rof/rfad034
Hummel, K., & Jobst, D. (2024). An Overview of Corporate Sustainability Reporting Legislation in the European Union. Accounting in Europe, 21 (3), 320-355. https://doi.org/10.1080/17449480.2024.2312145
Inoue, I., & Lee, S. (2011). Effects of different dimensions of corporate social responsibility on corporate financial per-formance in tourism-related industries. Tourism Management, 32, 790-804. https://doi.org/10.1016/j.tourman.2010.06.019
Korinth, K., & Lueg, R. (2022). Corporate Sustainability and Risk Management-The U-Shaped Relationships of Disag-gregated ESG Rating Scores and Risk in the German Capital Market. Sustainability, 5735. https://doi.org/10.3390/su14095735
Laborda, J., Laborda, R., & de la Cruz, J. (2024). Can ETFs affect U.S. financial stability? A quantile cointegration analysis. Financial Innovation. https://doi.org/10.1186/s40854-023-00591-2
Landi, G. C., Iandolo, F., Renzi, A., & Rey, A. (2022). Embedding sustainability in risk management: The impact of envi-ronmental, social, and governance ratings on corporate financial risk. Corporate Social Responsibility and Environmental Management, 29 (4), 1096-1107. https://doi.org/10.1002/csr.2256
Lahouel B.B., Zaied, T.B., Managi, S., & Taleb, L. (2022). Re-thinking about U: The relevance of regime-switching model in the relationship between environmental corporate social responsibility and financial performance. Journal of Business Research, 140, 498-519. https://doi.org/10.1016/j.jbusres.2021.11.019
Le, T. H. (2020). Forecasting value at risk and expected shortfall with mixed data sampling. International Journal of Forecasting, 36, 1362-1379. https://doi.org/10.1016/j.ijforecast.2020.01.008
Liu, D., Gu, K., & Hu, W. (2023). ESG performance and stock idiosyncratic volatility. Finance Research Letters, 58, 104393. https://doi.org/10.1016/j.frl.2023.104393
Lööf, H., Sahamkhadam, M., & Stephan, A. (2022). Is Corporate Social Responsibility investing a free lunch? The rela-tionship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis. Finance Re-search Letters, 46, 102499. https://doi.org/10.1016/j.frl.2021.102499
Louzis, D. P., Xanthopoulos-Sisinis, S., & Refenes, A. P. (2014) Realized volatility models and Alternative Value-at-Risk prediction strategies. Economic Modelling, 40, 101-116. https://doi.org/10.1016/j.econmod.2014.03.025
Luo, D. (2022). ESG, liquidity, and stock returns. Journal of International Financial Markets, Institutions & Money, 78, 101526. https://doi.org/10.1016/j.intfin.2022.101526
Mancini, L, & Trojani, F. (2011). Robust Value at Risk Prediction. Journal of Financial Econometrics, 9, 281-313. https://doi.org/10.1093/jjfinec/nbq035
Maˇnescu, C. (2011). Stock Returns in Relation to Environmental, Social and Governance Performance: Mispricing or Compensation for Risk? Sustainable Development, 19, 95-118. https://doi.org/10.1002/sd.510
Marimoutou, V., Raggad, B., & Trabelsi, A. (2009). Extreme Value Theory and Value at Risk: Application to oil market. Energy Economics, 31, 519-530. https://doi.org/10.1016/j.eneco.2009.02.005
Mundlak, Y. (1978). On the Pooling of Time Series and Cross Section Data. Econometrica, 46 (1), 69-85.
Naik, N., Mohan, B. R., & Jha, R. A. (2020). GARCH-Model Identification based on Performance of Information Criteria. Procedia Computer Science, 171, 1935-1942. https://doi.org/10.1016/j.procs.2020.04.207
Ni, Y., & Sun, Y. (2023). Environmental, social, and governance premium in Chinese stock market. Global Finance Journal, 55, 100811. https://doi.org/10.1016/j.gfj.2023.100811
Pástor, L., Stambaugh, R. F., & Taylor, L. A. (2022). Dissecting green returns. Journal of Financial Economics, 146, 403-424. https://doi.org/10.1016/j.jfineco.2022.07.007
Pistolesi, F., & Teti, E. (2024). Shedding light on the relationship between ESG ratings and systematic risk. Finance Research Letters, 60, 104882. https://doi.org/10.1016/j.frl.2023.104882
Rouine, I., Ammari, A., & Bruna, M. G. (2022). Nonlinear impacts of CSR performance on firm risk: New evidence using panel smooth threshold regression. Finance Research Letters, 47, 102721. https://doi.org/10.1016/j.frl.2022.102721
Ruiz, E., & Nieto, M. A. (2023). Direct versus iterated multiperiod Value-at-Risk forecasts. Journal of Economic Surveys, 37, 915-949. https://doi.org/10.1111/joes.12522
Shafer, M., & Szado, E. (2020). Envinronmental, social, and governance practices and perceived tail risk. Accounting and Finance, 60, 4195-4224. https://doi.org/10.1111/acfi.12541
Spainsif (2024). La Inversión Socialmente Responsible en España: Estudio de Mercado. https://www.spainsif.es/estudio-spainsif-2024/
Shahzad, S. J. H., & Kumar, R. R., Ali, S., Ameer, S. (2016). Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications. Physica A, 457, 8-33. https://doi.org/10.1016/j.physa.2016.03.048
Shakil, M. H. (2021). Environmental, social and governance performance and financial risk: Moderating role of ESG controversies and board gender diversity. Resources Policy, 72, 102144. https://doi.org/10.1016/j.resourpol.2021.102144
Tsai, H. J., & Wu, Y. (2022). Changes in Corporate Social Responsibility and Stock Performance. Journal of Business Ethics, 178, 735-755. https://doi.org/10.1007/s10551-021-04772-w
Yamai, Y., & Yoshiba, T. (2005). Value-at-risk versus expected shortfall: A practical perspective. Journal of Banking & Finance, 29, 997-1015. https://doi.org/10.1016/j.jbankfin.2004.08.010
Viviani, J. L., Fall, M., & Revelli, C. (2019). The Effects of Socially Responsible Dimensions on Risk Dynamics and Predictability: A Value-at-Risk Perspective. International Management, 23 (3), 147-157. https://doi.org/10.7202/1062215ar
Wang, J. N., Du, J., & Hsu, Y. T. (2018). Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. Journal of Empirical Finance, 47, 120-138. https://doi.org/10.1016/j.jempfin.2018.03.004
Wang, J. N., Yeh, J. H., & Cheng, N. Y. P. (2011). How accurate is the square-root-of-time rule in scaling tail risk: A global study. Journal of Banking & Finance, 35, 1158-1169. https://doi.org/10.1016/j.jbankfin.2010.09.028
Widyawati, L. (2020). A systematic literature review of socially responsible investment and environmental and environmental social governance metrics. Business Strategy and the Environment, 29, 619-637. https://doi.org/10.1002/bse.2393
Woolridge, J.M. (2010). Econometric analysis of Cross Section and Panel Data, second ed. The MIT Press, URL https://mitpress.mit.edu/9780262232586/econometric-analysis-of-cross-section-and-panel-data/
Wu, C. H., & Hu, J. L. (2019). Can CSR reduce stock price crash risk? Evidence from China´s energy industry. Energy Policy, 128, 505-518. https://doi.org/10.1016/j.enpol.2019.01.026
Zhang, N., Zhang, Y., & Zong, Z. (2023). Fund ESG performance and downside risk: Evidence from China. International Review of Financial Analysis, 86, 102526. https://doi.org/10.1016/j.irfa.2023.10252
Issue
Section
Articles
Authors retain copyright of its works. Management Letters/Cuadernos de Gestión publications are licensed under Creative Commons license CC-BY-NC-ND, granting open access rights to society.
Specifically, CC-BY-NC-ND license permits any kind of use, distribution, publicize and copy the article, as long as the original author and source are properly recognized and for Non Commercial purposes.
The author can use the article freely always indicating that it has been published in Management Letters/Cuadernos de Gestión. Any re-edition of the article must be approved by the journal editorial team.