This paper investigates the relationship between corporate social responsibility and the
idiosyncratic risk of Eurozone banks. Idiosyncratic risk represents firm-specific risks for
banks, and the Carhart four-factor model is used for 31 Eurozone banks from 2002 to 2019
to determine the idiosyncratic risk. Thomson Reuters ESG scores are used to determine the
ESG scores of these banks during the same period, and the effects of the environmental,
social, and governance dimensions are investigated separately. The quantile regression …