企業社會責任的資訊揭露與股價異常報酬關聯性之研究—以天下雜誌「企業公民獎」企業為例

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Title:	企業社會責任的資訊揭露與股價異常報酬關聯性之研究—以天下雜誌「企業公民獎」企業為例
Other Titles:	A Study of the Relationship between the Disclosed Information of Corporate Social Responsibility and the Abnormal Return: Evidence from the CSR of Common Wealth Magazine in Taiwan
Authors:	劉雪蘭 LIU, SHIUE-LAN
Contributors:	財務金融學系財務管理碩士班吳依正 WU, YI-CHEN
Keywords:	企業社會責任;事件研究法;天下雜誌公民獎;異常報酬;台灣經濟新報 Corporate Social Responsibility;Event Study Methods;Common wealth Magazine CSR Awards;Abnormal Return;Taiwan Economic Journal
Date:	2021
Issue Date:	2022-08-16 13:20:26 (UTC+8)
Abstract:	本文宗旨是探討企業社會責任資訊的揭露對於股價關聯性的影響。本文採取天下雜誌企業公民獎自2007年到2020年之獲獎公司為樣本，以該十四個不同的獲獎消息最早公開日為事件宣告日，其前30日至後30日為事件期，總樣本數為495個、新增股數量為145個、刪減股數量為98個。透過觀察事件研究法對得獎名單揭露之事件宣告日與其前後期，對相關股價造成的影響及計算其累積異常報酬率之變化。首先以臺灣經濟新報（TEJ）進行研究樣本公司的市場及產業別和財務報告相關資料與股價交易資訊之資料庫建立，再者用市場的模式來探討新增股及刪除股之平均異常報酬率。實證研究結果，卻顯示獲獎企業的新增股及刪除股在事件宣告日當天並不存在顯著之異常報酬，反而是宣告日之前後期間才會出現顯著的累積異常報酬，亦即說明投資者對於是否購買或拋售該公司股票，並不會受到其是否被評鑑為善盡企業社會責任而改變，也就是說目前的投資者在評價企業時，並不太重視其是否有善盡社會責任。　　This study takes the winning companies of the CMCC Award from 2007 to 2020 as a sample. The 14 different award-winning news is the earliest publicity day as the event announcement day. The first 30 days to the next 30 days are the event period. The number of samples is 495, the number of new shares is 145, and the number of deleted shares is 98. Use the event research method to observe the impact of the event announcement date and the period before and after the event disclosed in the list of awards on the relevant stock prices and calculate the change in the cumulative abnormal return rate. First, use the TEJ to establish a database of market, industry, financial report data and stock price transaction information, and then use a market model to explore the average abnormal return rate of new stocks and delete stocks. The empirical research results show that the newly added shares and deleted shares of the award-winning companies did not have significant abnormal returns on the day of the event announcement. That is to say, current investors do not pay much attention to whether it has fulfilled its social responsibility when evaluating a company.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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