Bouslah, Kryzanowski, and M'Zali (2011)

Bouslah, Kais, Lawrence Kryzanowski, and Bouchra M’Zali.  “Does Social Performance Affect the Risk of Financial Firms?”  Working paper (Université du Québec à Montréal), December 2011.

From the authors' abstract:  "This paper examines the impact of social performance (SP) on the financial firm’s risk (total, idiosyncratic, systematic and tail). We find that the aggregate measure of SP (concerns) is significantly and negatively (positively) related to a financial firm’s risk. Only some SP dimensions significantly affect the risk of financial firms. Specifically, Employee, Product and Corporate Governance concerns positively affect total risk, idiosyncratic risk, systematic risk, and the Value at Risk (VaR), whereas Product strengths positively affect the VaR. Additional analysis shows that SP affects the risk of banks and trading firms, but not insurance firms."