Butz, Christoph, and Olivier V. Pictet. "Do Stock Markets Reward the Creation of Jobs?" Pictet. June, 2006.

This study explores the idea that job creation might be used as a proxy for corporate social responsibility. "Because of the importance of the unemployment problem [in Europe], the present paper postulates the use of the creation of jobs as the most important indicator for the social responsibility of companies."

The study reviews 1,677 companies from the MSCI World index over the 1997-2005 time period. Note that the analysis is restricted to companies in the index at year-end 2004, raising the possibility of survivorship bias. The authors develop a proprietary score for job creation, which they demonstrate is uncorrelated with standard social scores.

Portfolios are then constructed (both equal- and people-weighted) and returns evaluated using Factset and Datastream data.

"The results are not clear-cut. A simple backtracking of today's ratings would have led to a distinct outperformance [nominal returns vs. the broad market] for job-creating companies, whilst a more realistic 'out of sample' approach produced a more ambiguous picture. At the end of the 90s, socially responsible companies were rewarded for their behavior, whereas from 2000 onwards they have been penalised..."