Social capital and idiosyncratic return volatility

Mostafa Monzur Hasan, Ahsan Habib*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

15 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)3-31
Number of pages29
JournalAustralian Journal of Management
Issue number1
Publication statusPublished - 1 Feb 2019
Externally publishedYes


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


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