CSR Return Comovement

We find return comovement in stocks that conduct a similar extent of corporate social responsibility (CSR) activities. The return comovement is stronger among firms with lower CSR scores than among firms with higher CSR scores. Consistent with the affordable fund view, high-growth companies may be more likely to allocate funds toward achieving profitability rather than conducting CSR, resulting in higher return comovement among their stocks. Therefore, CSR return comovement likely arises from fundamentals, in particular asset growth. In addition, we find weak evidence that CSR return comovement is related to investor recognition or information diffusion in excess of the fundamentals