Corporate Social Responsibility and Downside equity tail risk

This thesis assesses the relation between Corporate Social Responsibility and downside equity tail risk – a field of research that has been neglected so far - using world wide data for the period 2003-2011. Tail risk is estimated using Extreme Value Theory. Corporate Social Responsibility is approached using stakeholder theory. The results show that there are significant relations between CSR and tail risk. These relations are tested for robustness using a heterogeneous and homogeneous tail index, raw returns and idiosyncratic returns and various values for the tail threshold. The found relations are sequential, which makes a causal relation between CSR and tail risk plausible