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Corporate social responsibility and information asymmetry

This research investigates the connection between Corporate Social Responsibility (CSR) and the issue of information asymmetry. Our CSR sample comes from the DJSI (Dow Jones Sustainability North America Index), and the sample consists from 764 firm-year observations during 2002 to 2010. Our empirical work find there is a significantly negative relationship between CSR and information asymmetry proxy, which means that market responds CSR with smaller gap between bid-ask spreads. CSR also reduces the excess returns when higher degree of information asymmetry exists, which compensate less excess returns to investor than non-CSR firms. Furthermore, CSR firms have less degree of overreaction than matching firms when the book-to-market effect and intangible information are considered | Journal of Applied Finance Banking vol. 5 no. 3 2015 105-122 ISSN 1792-6580 print version 1792-6599 online Scienpress Ltd 2015 Corporate Social Responsibility and Information Asymmetry Lu Chia-Wu1 and Chueh Ting-Shu2 Abstract This research investigates the connection between Corporate Social Responsibility CSR and the issue of information asymmetry. Our CSR sample comes from the DJSI Dow Jones Sustainability North America Index and the sample consists from 764 firm-year observations during 2002 to 2010. Our empirical work find there is a significantly negative relationship between CSR and information asymmetry proxy which means that market responds CSR with smaller gap between bid-ask spreads. CSR also reduces the excess returns when higher degree of information asymmetry exists which compensate less excess returns to investor than non-CSR firms. Furthermore CSR firms have less degree of overreaction than matching firms when the book-to-market effect and intangible information are considered. JEL classification numbers M14 G30 Keywords Corporate Social Responsibility Information asymmetry Dow Jones Sustainability Indices. 1 Introduction Corporate social responsibility hereafter abbreviated as CSR an attractive topic worthy of attentions during decades has being discussed within many financial business and macroeconomic fields. There are several viewpoints to define CSR although an exact definition is still yet to be obtained Dahlsrud 2008 . A popular expression stakeholder theory3 suggests that firms with higher CSR characters will do more efforts for being Corresponding Author. Assistant Professor Department of Finance Cooperative Management National Taipei University New Taipei City Taiwan. 2Assistant Manager Taishin International Bank Taipei Taiwan. Article Info Received December 19 2014. Revised January 12 2015. Published online May 1 2015 3The detail of stakeholder theory can be referred to Freeman 1984 . 106 Lu Chia-Wu and Chueh Ting-Shu responsible not only