The Relationship between Abnormal Returns and Social and Environmental Responsibility: An Empirical Study of Companies Traded on the Bovespa from 1999 to 2006

Abstract

This article investigates the relationship between abnormal returns and the social and environmental performance of companies listed for trading on the Sao Paulo Stock Exchange (Bovespa) that regularly publish a social balance sheet according to the model proposed by the Brazilian Institute of Social and Economic Analysis (IBASE). We measured the social and environmental performance based on internal and external social and environmental responsibility indicators taken from the social balance sheets of companies that publish such a report, drawn from among the 100 largest companies by market value, between 1999 and 2006. To calculate abnormal returns we used the share price and beta, available in the Economatica and Ipeadata databases. The hypothesis was tested by regression analysis with fixed-effect panel data, adjusted by the robustness tool, applying the Hausman test. The results show that the external social responsibility indicator, the internal social responsibility indicator and the environmental responsibility indicator do not have any relationship with the firms’ abnormal returns.