Krüger, Philipp. "Stakeholder Information and Shareholder Value." Working Paper, Tolouse School of Economics, March 2009.

This extensive event study examines the impact of positive and negative social responsibility news on stock prices. The study analyzes "how the public release of information concerning a broad set of different stakeholders influences shareholder value," and seeks to help disentangle some of the reverse causality questions that have cropped in the CSR literature over the years.

2,142 positive and negative events are gleaned from the @KLD newsletter published by KLD Research & Analytics for the August 2001 to August 2007 time period. Careful adjustments are made to avoid confounding effects (e.g., deleting positive and negative events occurring on the same day, randomly dropping one of two events separated by 15 days or less). A descriptive analysis shows that KLD reports more negative than positive events. There is also an in-depth content analysis of the event descriptions, which suggests that "negative event descriptions contain significantly more legal terms, indicating that KLD's negative ratings are more reflective of legal issues [than positive ones]."

The event study analysis finds that there is a "strong and negative stock market reaction whenever negative stakeholder information is released. In contrast, positive news concerning the relationship between the company and stakeholders does not affects stock prices in a systematic way." The largest effects were in the KLD product and community categories, while governance and employee relations also generated statistically significant impacts.

There is not a corresponding stock benefit to positive announcements, however - "the stock market does not systematically react when events of positive social responsibility are publicly revealed." Positive reactions were observed to announcements with a "signalling function", such as corporate philanthropy and employee profit sharing. A statistically significant negative reaction to positive environmental news was noted - "a possible explanation here is that positive environmental events are related to substantial investments and negative current cash flows which are difficult to value in the short run."