Sensitivity of market performance to social risk index: Evidence from global listed companies in logistics and transportation industry

•The social risk prevails the most amorphous and self-inflicting risk due to the insulating power of companies' cultural bubble. This study empirically examines the relationship between social risk and market performance.•We first perform the Ordinary Least Square (OLS), then apply the quantile regression to test if SRI impact is greater for higher market performance.•Findings depict an inverse relationship between SRI and market performance, and the negative impact is more pronounced in more profitable firms. Firms in the upper quantiles of market performance are more sensitive as their performances are directly affected by the absence of social norms.•In the context of L&T industry, this study concludes that engaging in social norms is beneficial for better performance, less social risk, and higher translated citizenship.•The research contributes to the literature by providing insights for investors, managers, and employees about the influence of SRI on L&T performance.