Research On Corporate Social Responsibility, Investor Behaviors And Stock Market Returns

With the development of the theory of corporate social responsibility(CSR), social responsibility investment(SRI) has attracted people's attention. SRI requires investors not only pay attention to economic interests, but also environmental protection, social morality and public interests, In capital markets in both Europe and the United States, SRI has been widely recognized. But in our country, it is still in the initial stage of development. So whether CSR will affect investor behaviors in our country? Under the impact of investor behaviors, whether CSR will affect the stock market returns? Whether investors in concept of SRI will get high returns?Firstly, it describes the theory of stakeholder theory, efficient market hypothesis, corporate social responsibility theory and the theory of decision usefulness, induces literatures about corporate social responsibility and investor behaviors, corporate social responsibility and stock market returns and investor behaviors and stock market returns. Secondly, according to the theoretical analysis, it proposes the relevant assumptions, selects the Shanghai and Shenzhen Stock Exchange' listing firms for the sample, builds regression models and uses Stata12.0 to carry out empirical analysis.Conclusions are as follows:(1)Corporate social responsibility and trading volume were positively correlated with U type, only when corporate social responsibility exceeds a certain threshold, the stock trading volume will rise, and it has a positive impact on investor behaviors; (2)The influence of corporate social responsibility on investor behaviors is lagging;(3)At present, in China's capital market, corporate social responsibility and stock market returns are negatively correlated, the investment income of social responsibility investment is lower than the traditional investment;(4)Under the effect of investor behaviors, when the stock trading volume exceeds a certain threshold, corporate social responsibility will have a positive impact on the stock market returns;(5)Compared with the non sensitive firms, environment sensitive firms and consumer sensitive firms are more influenced by the stock trading volume. In the case of the lower trading volume, the corporate social responsibility will have a positive impact on the stock market returns.Finally, it puts forward the following suggestions:(1) The government needs to guide investors attention to social responsibility information; (2) Government needs to develop the social responsibility investment market; (3) China should establish social responsibility databases.