We document time-varying investor sentiment for corporate social responsibility (CSR) performance. We show that announcements of CSR activities generate positive abnormal returns during periods when investors place a valuation premium on CSR performance. In addition, we find that firms boost CSR performance in response to investor sentiment, and that this response is more pronounced for those firms that are more inclined to respond to investor sentiment due to valuation uncertainty and investor horizon. Our results suggest that investor sentiment plays a role in firms' commitment to CSR.

JEL Classifications: M41; D82; G14; G30; G31; G32; G34.

Data Availability: Data are available from the public sources cited in the text.

Keywords:
investor sentiment, corporate social responsibility
2019
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