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研究生:王昱程
研究生(外文):Yu-Cheng Wang
論文名稱:CSR 政策波動度與股價報酬之關係
論文名稱(外文):The Relationship between CSR Volatility and Stock Return
指導教授:周賓凰周賓凰引用關係
指導教授(外文):Pin-Huang Chou
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文出版年:2020
畢業學年度:108
語文別:中文
論文頁數:32
中文關鍵詞:企業社會責任迎合效果股價報酬投資人行為偏誤
外文關鍵詞:Corporate Social ResponsibilityCatering EffectStock ReturnInvestors’ Behavioral Biases
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在近年許多企業社會責任(Corporate Social Responsibility,簡稱CSR)相關新聞中,企業往往在事件發生後才匆匆提升自己的企業社會責任水平以博取社會大眾的信任。然而,在先前的文獻中提到,長期迎合投資人CSR 需求而使得CSR政策搖擺不定的結果將反而使一般投資人認為其CSR 落實不真誠而降低對其持股,導致其股票報酬降低。而本文欲使用美國上市公司之追蹤資料,並以CSR 分數波動度做為CSR 政策變化之代理變數做迴歸分析,證實此推論。
研究發現CSR 政策之波動度的提升將顯著使該公司股價報酬下降,並且此結果在使用不同波動度衡量方法的穩健性測試之下依然顯著有效。另外亦發現造成高CSR 波動度之公司經常是風險較高的公司,而此高風險卻未帶來高報酬的原因可能為投資人不理性所致。最後,雖然低CSR 波動度能提升股價報酬,但維持CSR 政策將產生額外成本而使公司之ROE、ROA 降低。
In many corporate social responsibility(Corporate Social Responsibility, CSR) news in recent years, companies often hurriedly improve their corporate social responsibility level after the incident to cater to the trust of the public. However, in the previous literature, it is mentioned that the long-term catering to investors' CSR needs would cause high volatility of CSR policy and make investors doubt the sincerity of companies’ CSR implementation and reduce their shareholding, resulting in lower stock returns. This article intends to use the tracking data of listed companies in the United States, and use the volatility of CSR scores as a proxy variable for CSR policy changes to do regression analysis to confirm this inference.
We find the increase in volatility of CSR policy will significantly reduce the company’s stock price returns, and this result is still significantly valid under the robustness test using different volatility measurement methods. The research also found that companies that cause high CSR volatility are often higher-risk companies, and the reason of high-risk without high returns may be due to investors irrationality. In addition, although low CSR volatility can increase stock price returns, maintaining the CSR policy will incur additional costs and reduce the company's ROE and ROA.
摘 要 .................................................................................................................................... i
ABSTRACT .............................................................................................................................. ii
目錄 .......................................................................................................................................... iii
表目錄 ...................................................................................................................................... iv
一、緒論 ................................................................................................................................... 1
二、文獻回顧 ............................................................................................................................ 3
三、資料與研究方法 ................................................................................................................ 5
3.1 變數處理 .................................................................................................................. 5
(1) CSR 分數及波動度 ............................................................................................. 5
(2) 其他變數 ............................................................................................................ 6
3.2 研究方法 .................................................................................................................. 7
四、實證結果 ............................................................................................................................ 8
4.1 CSR 政策波動度與股價報酬 ................................................................................... 8
4.2 影響CSR 政策波動度之要素 .................................................................................. 9
4.3 不同公司績效指標 ................................................................................................ 11
五、穩健性測試 ...................................................................................................................... 13
5.1 波動度衡量指標 .................................................................................................... 13
(1) 平均變動量 ...................................................................................................... 13
(2) 標準差 .............................................................................................................. 13
(3) 產業調整前波動度 .......................................................................................... 14
5.2 測試結果 ................................................................................................................ 14
六、結論 ................................................................................................................................. 15
參考文獻 ................................................................................................................................. 17
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