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Does Warsaw Stock Exchange value corporate social responsibility?

Jacek Lipiec (Warsaw School of Economics, Warsaw, Poland)

Social Responsibility Journal

ISSN: 1747-1117

Article publication date: 1 August 2016




This paper aims to examine the performance of corporate social responsibility (CSR) portfolio at the Warsaw Stock Exchange.


This paper uses the CSR portfolio of public companies that was selected in a three-step procedure. In total, 23 companies were selected and formed a CSR portfolio that is traded on the Warsaw Stock Exchange under the Respect Index. The Capital Asset Pricing Model (CAPM) is used to compare returns of CSR companies with respect to the market. The performance of this portfolio is measured in the period from 2010 to 2012.


This paper finds that the CSR portfolio measured under the Respect Index outperformed market in all time periods from 2010 to 2012. In addition, in 2010, the CSR portfolio exceptionally outperformed the market by almost 80 per cent. In 2011, even though the market was down, the CSR portfolio reported lesser losses: −0.93 vs −1.73 per cent. In the following year, the market regained and the CSR portfolio again outperformed the market by 14 per cent. This paper also finds that the CSR portfolio is more sensitive to systematic risk than to specific risk. In addition, the CSR securities move according to the market trend.

Research limitations/implications

The limitation of this paper is attributed to a cause-and-effect relationship. In other words, it did not answer whether adopting CSR led to higher profitability or profitability reflected an awareness of market conditions that favored the adoption of CSR. The future research should focus on this issue and indicate whether investors prioritize CSR over profits or vice versa.

Practical implications

The results indicate that investments in CSR portfolio companies bring abnormal returns to investors. In addition, the CSR portfolio may resist market downturns and even bring exceptional profits to investors.


This study explains the CSR portfolio’s performance on the Warsaw Stock Exchange by using the CAPM.



Lipiec, J. (2016), "Does Warsaw Stock Exchange value corporate social responsibility?", Social Responsibility Journal, Vol. 12 No. 3, pp. 611-622.



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