| dc.description.abstract | Owing to the awareness of corporate social responsibility (CSR) is gradually rising, and CSR also has an impact on the value of companies. Therefore, this study intends to explore whether the company’s CSR can effectively reduce the company’s downside risk when the market shows a downtrend? This study uses about 3,000 US listed companies published from the KLD database from 2003 to 2018 as a research sample, and constructs relevant CSR indices follow by Albuquerque, Koshinen, and Zhang (2019). This study also control the year and industry effects, and finds that after controlling the company’s financial variables, the CSR indices is significantly negatively correlated with the company’s downside risk. Therefore, when the market shows a downtrend, the company’s investment in CSR can decrease the company’s system risks, especially downside risks.
Considering that the company’s investment in CSR can attract more potential investors to holding the stock and reduce the company’s downside risk. In the past, some literatures indicated that as the stock breath increases, the company’s market risk will change. Therefore, this research uses the data from Thomson Reuters 13F and calculates the breadth of institutional ownership based on Jylhä, Suominen, and Tomunen (2017), and further distinguishing different holding period of the investors. Whether the increase in the stock breath can decrease the company’s downside risk. The results are consistent with our hypothesis, with the increase of the breadth or different holding periods of investors can decrease the company’s downside risk. | en_US |