Fishing the Corporate Social Responsibility Risk Factors

tA typical argument in the literature is that Corporate Social Responsibility (CSR) reduces the risk of con-flicts with stakeholders. In accordance to this, we test whether: (i) domain specific CSR portfolios presentpricing anomalies that could be captured by the introduction of risk factors accounting for exposition tostakeholder risk, (ii) this risk source is priced in the cross-section of stock returns. In doing so we are par-ticularly cautious in disentangling the contributions of different CSR domains in generating the pricinganomalies. Our findings show the existence of pricing anomalies related to CSR, which vary in numbersacross all the domains under analysis. Even if our domain-specific CSR risk factors are not able to captureall pricing anomalies, we find that they reduce their absolute value. Additionally, our results show thatthe stakeholder risk is priced in the cross-section of returns, and that such additional risk source presentsdifferent premiums for each domain.