Table 5.

Corporate social responsibility (CSR) and stock returns in response to COVID-19.

 The table reports regression results analyzing how stock prices respond to the COVID-19 pandemic as functions of pre-pandemic corporate social responsibility activities. The dependent variable is the weekly stock return of each firm. We measure a firm's CSR performance using the overall CSR Score and Environmental, Social, and CSR Strategy indicators. Social Norms is an indicator equal to one if a country has social norms that place a higher priority on treating others fairly and mitigating environmental degradation and zero otherwise. Firm Traits * COVID19 represents the interactions of COVID19 and a set of firm characteristics (i.e., Firm Size, Leverage, Cash, and ROA). The Appendix provides detailed variable definitions. We include firm, industry by week, and economy by week fixed effects. Robust standard errors clustered at the economy level are reported in parentheses. ***, **, and * denote significance levels at 1%, 5%, and 10%, respectively.

	Weekly Stock Return
Variable	(1)	(2)	(3)	(4)	(5)
CSR Score * COVID19	0.900**				0.078
	(0.385)				(0.146)
Environmental * COVID19		0.735**
		(0.364)
Social * COVID19			0.638**
			(0.249)
CSR Strategy * COVID19				0.495**
				(0.216)
Social Norms * CSR Score * COVID19					1.315***
					(0.317)
Firm Traits * COVID19	Yes	Yes	Yes	Yes	Yes
Firm fixed effects	Yes	Yes	Yes	Yes	Yes
Industry-time fixed effects	Yes	Yes	Yes	Yes	Yes
Economy-time fixed effects	Yes	Yes	Yes	Yes	Yes
Number of observations	126,711	126,690	126,690	126,711	123,065
Adjusted R-squared	0.504	0.504	0.504	0.504	0.504
Number of firms	6,041	6,040	6,040	6,041	5,867