The value of Saints and the price of Sin

•We estimate the proportion of firm value that is attributable to CSR initiatives•For firms followed by sell-side analysts, the Saint premium is $5.77 (19.2%) and the Sinner discount is $3.91 (32.1%).•The evidence supports the notion CSR creates shareholder value.•Practices contrary to social norms destroy value.

Using firms in the MSCI KLD 400 as exemplars of virtuous firms (the “Saints”), and firms in the “Triumvirate of Sin” – alcohol, tobacco and gaming – we utilize a modification of the Feltham and Ohlson (1995) valuation model and quantile regressions to estimate “Saint premiums” and “Sinner discounts”. For firms followed by sell-side analysts, the Saint premium is, on average, $5.77 (a 19.2% premium over the share price) and the Sinner discount is, on average, $3.91 (a discount of 32.1% of the share price). The evidence supports the notion that CSR creates shareholder value. Practices contrary to social norms destroy value.