Social capital and idiosyncratic return volatility

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We examine whether regional social capital has any impact on idiosyncratic return volatility. Using US data, we find that firms headquartered in high social capital counties exhibit significantly lower idiosyncratic return volatility. This effect is more pronounced in the presence of financial reporting quality and corporate social responsibility. When we estimate the direct and indirect effects of social capital, our study reveals that the direct effect of social capital captures around 80% of the total effect. These findings suggest that firm-specific variables do not explain all of a firm’s idiosyncratic return volatility, but regional social capital also plays a role.

LanguageEnglish
Pages3-31
Number of pages29
JournalAustralian Journal of Management
Volume44
Issue number1
DOIs
Publication statusPublished - 1 Feb 2019
Externally publishedYes

Fingerprint

Social capital
Return volatility
Direct effect
Financial reporting quality
Headquarters
Indirect effects
Corporate Social Responsibility

Keywords

  • Corporate social responsibility
  • financial reporting quality
  • idiosyncratic return volatility
  • social capital

Cite this

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Social capital and idiosyncratic return volatility. / Hasan, Mostafa Monzur; Habib, Ahsan.

In: Australian Journal of Management, Vol. 44, No. 1, 01.02.2019, p. 3-31.

Research output: Contribution to journalArticleResearchpeer-review

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