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研究生:闕廷書
研究生(外文):Cyue, TingShu
論文名稱:企業社會責任與資訊不對稱
論文名稱(外文):Corporate Social Responsibility And Information Asymmetry
指導教授:盧嘉梧盧嘉梧引用關係
指導教授(外文):Lu, ChiaWu
口試委員:邱慈觀黃正忠黃啟瑞詹場盧嘉梧
口試日期:2012-06-18
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:金融與合作經營學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:英文
論文頁數:44
中文關鍵詞:企業社會責任資訊不對稱
外文關鍵詞:Corporate Social ResponsibilityInformation AsymmetryDow Jones Sustainability Indices
相關次數:
  • 被引用被引用:1
  • 點閱點閱:455
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  • 下載下載:36
  • 收藏至我的研究室書目清單書目收藏:1
This research investigates the connection between Corporate Social Responsibility (CSR) and the issue of information asymmetry. Our empirical work would like to provide evidences about the following questions: First, firms which put more attentions on corporate social responsibility (abbreviated as CSR firms) would have less degree of information asymmetry contrast to those being considered making fewer efforts in CSR. Second, although the firms who have higher degree of information asymmetry may endure higher cost of capital, CSR firms would enjoy a discount because they demonstrate positive images in the markets. Furthermore, we also examine whether CSR may reduce the excess returns when higher degree of information asymmetry exist; and the last, this study explores that CSR character may reduce the overreaction results of book-to-market effect and intangible information, which are mentioned by Daniel and Titman(2006).
Our CSR sample comes from the DJSI (Dow Jones Sustainability North America Index), and ranges since 2002 to 2010. We also collect the counterparty matching firms by selecting with same SIC code and similar size in the sample. Refer to Jayaraman (2008, JAR) , the information asymmetry is proxied by daily closing bid-ask spread divided by the mid-point of bid and ask quotation. Control variables, such as size, ROA, and BM ratio are also considered in the regressions.
The major findings can be depicted as follows:
1. There is a significantly negative relationship between CSR and information asymmetry proxy, which means that market responds CSR with smaller gap between bid-ask spreads.
2. CSR firms would enjoy a discount of capital cost when they belong to higher degree of information asymmetry; in addition, CSR also reduce the excess returns when higher degree of information asymmetry exists.
3. Finally, CSR firms have less degree of overreaction than matching firms when the book-to-market effect is considered.

A table of contents
I. Introduction 1
II. Literature Review & Hypotheses Development 3
A. Conceptual Definition of CSR 3
B. Related CSR literature 5
C. Information asymmetry and capital cost 9
D. Stock returns, CSR, and information asymmetry 11
E. Book-to-market effect and intangible information 11
III. Data and Methodology 15
A. Sample selection 15
B. Construction of variable 18
C. Research design for hypotheses 21
IV. Empirical Results 24
A. Summary Statistics 24
B. Multivariate regression analysis 27
V. Conclusions and Study Limitations 37
Reference 39

Reference

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Website information:
Dow Jones Sustainability Indexes
http://www.sustainability-index.com/
The Industry Classification Benchmark (ICB)
http://www.icbenchmark.com/
ASQ Social Responsibility Conference http://asq.org/conferences/social-responsibility/index.html

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