In this paper, we extend the research on the effect of corporate social responsibility (CSR) on firm risk by analyzing the CSR–idiosyncratic risk nexus and how CSR can be integrated as insurance in a global risk management strategy. First, the causality between CSR and risk was tested. Second, copulas were estimated to strengthen the existing results on the structure of the dependence between the different dimensions of CSR activities and idiosyncratic risk levels. The empirical analysis was conducted on a sample of 254 European-listed firms over the 2018–2020 period. The main results showed a directional causality effect between CSR and idiosyncratic risk, and the dependences were modeled between CSR and realized idiosyncratic risk. This allows a better understanding of the risk implications of CSR for investors, corporate managers, and policy makers.

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La théorie des options réelles est abondamment évoquée par les travaux en stratégie. Néanmoins, l'impact de cette théorie sur le raisonnement des managers est limité si l'on s'en tient à l'aspect calculatoire de la valorisation des options. Dans le même temps, il apparaît que les décideurs, s'ils n'utilisent pas les options réelles dans leur forme pure, adoptent pourtant des modes de raisonnement qui s'inspirent des grands principes des options réelles. L'objectif de cet article est d'identifier, à partir de quatre grands types d'options, à quels facteurs explicatifs la sensibilité des managers au raisonnement optionnel est rattachée. Par le biais d'une étude empirique, nous montrons que la mobilisation de ces options par les managers dépend étroitement de leur propension à évaluer leurs projets en termes d'alternative et à penser les investissements selon un horizon temporel fini. En revanche, nous mettons en évidence des effets contrastés, selon les catégories d'options, de l'incertitude ressentie, de la pression à l'innovation, et de la veille environnementale menée au sein de l'entreprise.

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Abstract-Based on a survey of 203 Insurance equities from European capital markets over the 2001-2014 period, this article analyses the role of idiosyncratic risk in the pricing of European insurance equities. The capital asset pricing model predicts that in equilibrium, investors should hold the market portfolio. As a result, investors should only be rewarded for carrying undiversifiable systematic risk and not for diversifiable idiosyncratic risk. The framework of Fama and MacBeth is employed. Regressions of the cross-section of expected equity excess returns on idiosyncratic risk and other firm characteristics such as beta, size, book-to-market equity (BE/ME), momentum, liquidity and co-skewness are performed.The empirical models reveal that the largest part of total volatility is idiosyncratic and therefore firm specific in nature. Simple cross-correlations indicate that high beta, small size, high BE/ME, low momentum, low liquidity and high co-skewness equities have higher idiosyncratic risk.