CSR in Times of Crisis: Evidence from the COVID-19 Pandemic

We examine the relation between corporate social responsibility (CSR) and stock market returns during the COVID-19 pandemic-induced market crash and the post-crash recovery. During the crash period, the relation between CSR and stock returns is mixed, depending on the CSR data provider. This result persists both in the post-crash period and across industries. When we examine the CSR components, we find some evidence that environmentally friendly firms enjoy higher returns during the crash period. In additional cross-sectional analyses, we find that variation in trust, corporate governance, firm risk, investor base, customer awareness, and organizational capital does not affect the relation between CSR and stock returns during the crash period. We further find that Business Roundtable companies do not outperform during the pandemic crisis. The results suggest that care should be taken in drawing unambiguous inferences on the value of CSR during crisis periods.