The impact of the dimensions of social performance on firm risk

► This paper examines the impact of the individual dimensions of SP on firm risk. ► Employee, Diversity and Governance concerns positively affect risk of S&P500 firms. ► Community (Diversity) strengths negatively (positively) affect risk of S&P500 firms. ► Employee concerns and Diversity strengths positively affect risk of non-S&P500 firms. ► Environment strengths negatively affect risk of non-S&P500 firms.