Abstract: At present, it has been suggested by many studies that negative correlation (referred to as “social responsibility anomaly” in the paper) exists between social responsibility and stock return. A-share companies listed in China securities market from 2009 to 2016 were taken as the sample to explore relations between performance of enterprise social responsibility and stock return. It is suggested that better performance of social responsibility is related with a lower stock return, while performances of different social responsibility dimensions lead to different changes of stock return. The negative correlation between social responsibility and stock return is insignificant in enterprises with high disclosure quality of social responsibility ,but is significant in enterprises without the information disclosure and with low-quality disclosure, suggesting that social responsibility anomaly is sourced from information asymmetry-induced mispricing. Cross-section regression was applied in the paper to examine whether there was risk premium for social responsibility. It is indicated that there is no positive risk premium for social responsibility, and it is further verified that social responsibility anomaly springs from mispricing.

Key words: social responsibility;stock return, mispricing, risk