This study examines the relationship between corporate social performance (CSP) and stock returns in the UK, using disaggregated measures for environment, employment, and community activities. The authors find that while composite CSP scores are significantly negatively correlated with stock returns, the poor financial performance of firms with high CSP scores is primarily due to their good social performance in employment and to a lesser extent in environmental aspects. Interestingly, holding a portfolio of the socially least desirable stocks can yield considerable abnormal returns. These relationships cannot be explained by multi-factor models or industry effects. The study suggests that expenditure on corporate social activities may largely destroy shareholder value, and that behavioral explanations, such as altruistic shareholders willing to forgo returns for moral satisfaction, may be more relevant than standard risk-based models.This study examines the relationship between corporate social performance (CSP) and stock returns in the UK, using disaggregated measures for environment, employment, and community activities. The authors find that while composite CSP scores are significantly negatively correlated with stock returns, the poor financial performance of firms with high CSP scores is primarily due to their good social performance in employment and to a lesser extent in environmental aspects. Interestingly, holding a portfolio of the socially least desirable stocks can yield considerable abnormal returns. These relationships cannot be explained by multi-factor models or industry effects. The study suggests that expenditure on corporate social activities may largely destroy shareholder value, and that behavioral explanations, such as altruistic shareholders willing to forgo returns for moral satisfaction, may be more relevant than standard risk-based models.