The study examines the relationship between a firm’s social performance and its financial performance, analyzed through the prism of systematic risk. The analysis has two components: the relationship between social performance and systematic risk, and the relationship between social performance and the return on a security. The results reveal a negative relationship between social performance and systematic risk (beta), reflected by higher returns on the securities of socially-conscious companies amid market turmoil or in a bear market. CSR strategies can therefore be considered as a type of insurance that make it possible to reduce sensitivity to systematic risk and safeguard shareholder value from the fallout of a crisis or an economic downturn.

Keywords : Social performance; Financial performance; Systematic risk; CSR strategy; Shareholder value.

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