El desempeño social corporativo como fuerza de mercado: Análisis de su impacto sobre el riesgo de cola y el potencial alcista en el mercado continuo español
##plugins.themes.bootstrap3.article.main##
##plugins.themes.bootstrap3.article.sidebar##
Publicado
16-04-2026
Julen Galarza-Maria
Eduardo Ortas
José M. Moneva
https://orcid.org/0009-0002-7135-4490
Eduardo Ortas
José M. Moneva
Resumen
Este estudio analiza el impacto del desempeño social corporativo (DSP) y sus subdimensiones (empleo, derechos humanos, comunidades locales, responsabilidad sobre productos) sobre el riesgo de cola y el potencial alcista en el mercado continuo español, durante el periodo 2014-2021. Las métricas de desempeño financiero han sido estimadas mediante simulación historical filtrada, un método semi paramétrico que combina modelos de heterocedasticidad condicional y remuestreo aleatorio con repetición. Esté método permite estimar la distribución empírica de las rentabilidades, considerando sus características principales (i.e., autocorrelación, clústeres de volatilidad y colas pesadas). Los resultados revelan una compleja dependencia temporal entre el DSP y sus subdimensiones y el desempeño financiero, medido por el riesgo de cola y el potencial alcista. Mientras que el DSP reduciría el riesgo de cola a corto plazo, generaría un aumento de la perdida máxima a largo plazo. Asimismo, los resultados no muestran evidencia empírica respecto a una compensación entre la rentabilidad y el riesgo. Finalmente, este estudio subraya la relevancia de analizar el efecto específico de subdimensiones como los derechos humanos o las comunidades locales, dado que parecen conllevar un mayor riesgo de cola y un menor potencial alcista.
Cómo citar
Galarza-Maria, J., Ortas, E., & Moneva, J. M. (2026). El desempeño social corporativo como fuerza de mercado: Análisis de su impacto sobre el riesgo de cola y el potencial alcista en el mercado continuo español. Cuadernos De Gestión, 26(1), 57–72. https://doi.org/10.5295/cdg.252386jg
##plugins.themes.bootstrap3.article.details##
Keywords
Desempeño social corporativo, Riesgo bajista, Potencial alcista, Simulación histórica filtrada
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
Número
Sección
Artículos
Los autores mantienen el copyright de la publicación. Las publicaciones en Cuadernos de Gestión se distribuyen bajo la licencia de Creative Commons -CC-BY-NC-ND, garantizando el acceso abierto a toda la sociedad.
En concreto la licencia CC-BY-NC-ND permite utilización, copia, distribución y comunicación pública de la obra, siempre que los autores y la fuente sean correctamente citados y no se utilice para propósitos comerciales.
El/la autor/a puede hacer libre uso de su artículo indicando siempre que el texto ha sido publicado en Management Letters/Cuadernos de Gestión y cualquier re-edición del mismo deberá contar con la autorización de la revista.