What drives social responsibility indices returns? Macroeconomics matters

Li Kai Liao, Yu Wei Fan, Ming Hsin Shih

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


This study investigates the responsiveness of a social responsibility index's returns to cash flow news compared with a broad stock index. The study contributes by comprising the synergy of corporate social responsibility to reflect the influence of the macroeconomy and by increasing model appropriateness. The empirical results show that cash flow news is the primary factor to drive both index returns, but the effect is stronger for the S&P 500 Index. Consistently, the investors of the S&P 500 Index react to cash flow news appropriately. Before adding the macroeconomic state variable, cash flow news under explains FTSE4Good US 100 Index returns, but investors overreact to that information. After adjusting, the explanation power of cash flow news increases, and its investors rather underreact to that information.

Original languageEnglish
Pages (from-to)514-524
Number of pages11
JournalCorporate Social Responsibility and Environmental Management
Issue number2
Publication statusPublished - 2020 Mar 1

All Science Journal Classification (ASJC) codes

  • Development
  • Strategy and Management
  • Management, Monitoring, Policy and Law


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