主 题：企业社会责任、社会责任投资与股票市场效率（Corporate Social Responsibility, Socially Responsible Investing, and Stock Market Efficiency）
报告人：曹杰（香港中文大学财务系副教授、终身教职、硕博项目主任）Jie Cao, Associate Professor, Coordinator of MPhil-PhD, Department of Finance, The Chinese University of Hong Kong(CUHK)
This paper examines how corporate social responsibility predicts the stock return in the cross-section for 2004-2014. We find most underpriced stocks with poor CSR performance have highest risk adjusted returns, while most overpriced stocks with good CSR performance have lowest risk adjusted returns. A long-short trading strategy generates a monthly three-factor alpha of 1.33%. The results are mainly driven by the stocks held by more socially responsible (SR) institutional investors and not due to limits to arbitrage. Our results suggest SR investors are constrained to buy underpriced stocks with poor CSR performance and reluctant to sell overpriced stocks with good CSR performance. Such inefficiency is not fully offset by unconstrained investors like hedge funds.
曹杰现为香港中文大学财务系副教授，硕博项目负责人，德克萨斯大学奥斯汀分校（University of Texas at Austin）金融学博士，研究兴趣为资产定价、行为金融和公司治理，在Journal of Financial Economics、Journal of Financial and Quantitative Analysis、Journal of Banking and Finance等国际权威学术期刊发表论文多篇。
Professor Cao is currently Associate Professor, Department of Finance, The Chinese University of Hong Kong (CUHK), and Coordinator of MPhil-PhD in Finance Program. He received his PhD in Finance from University of Texas at Austin. Professor Cao’s research interests are mainly in the areas of empirical asset pricing, behavioral finance, and corporate governance. He has published articles in leading journals, including Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Journal of Banking and Finance, among others.