社會企業責任對股價之影響：以公司自行揭露之社會企業責任獨立報告為例

簡易檢索 / 詳目顯示

回結果列表

研究生：	王崇威 Wang, Chong-Wei
論文名稱：	社會企業責任對股價之影響：以公司自行揭露之社會企業責任獨立報告為例 Corporate Social Responsibility and Stock Return: Evidence from Corporate Self-Disclosure Reports
指導教授：	邱婉茜 Chiu, Wan-Chien
口試委員:	林瑞嘉 Lin, Jui-Chia 潘虹華 Pan, Huang-Hua
學位類別：	碩士 Master
系所名稱：	科技管理學院 - 計量財務金融學系 Department of Quantitative Finance
論文出版年：	2022
畢業學年度：	110
語文別：	英文
論文頁數：	29
中文關鍵詞：	社會企業責任報告、文字探勘、股價報酬
外文關鍵詞：	Corporate social responsibility reports, Textual analysis, Stock market returns
相關次數：	點閱：2 下載：0
分享至:	分享至facebook 分享至twitter

查詢本校圖書館目錄查詢臺灣博碩士論文知識加值系統勘誤回報

此篇論文使用2014至2019年間美國標普500之公司作為樣本，研究社會企業責任內容揭露對股價是否造成影響。社會企業責任報告屬於公司自願性揭露之內容，理論上，投資人會關注這些額外揭露的內容，進而使市場產生反應。在這份研究中，我探討資本市場投資人是否對於這些自願性揭露之內容有所反應；更進一步，我使用文字探勘的方法分析社會企業責任報告的語調、可讀性。我發現股價並不會因為公司自願性的揭露而有顯著改變，除此之外，市場也不會被揭露報告的品質所影響。總體而言，我的研究發現即便社會大眾對於公司社會企業責任的關注程度越來越高，但資本市場並不會因為社會企業責任的自願性揭露而產生反應。

This study examines whether a voluntary disclosure of corporate social responsibility (CSR) has an impact on stock returns. I assume that when a firm voluntarily publish its CSR standalone report, equity investors may respond to that CSR report given that the report may provide useful and non-financial information. To examine my assumption, I examine US firm listed in the S&P 500 index and the sample period is from 2014 to 2019. Specifically, I hand collect the selected firms’ CSR report. In addition, I analyze the textual information of the CSR reports and measure the tone and the readability of the reports. My empirical results suggest that stock returns do not change significantly after firms make a voluntary disclosure of their CSR activities, indicating that equity investors do not price firms’ stand-alone CSR reports. Furthermore, I find equity investors do not view the quality of CSR reports—captured by the textual information on the tone and the readability, as a price factor of stock returns.

Abstract    3
1.    Introduction    4
2.    Literature Review    7
2.1    CSR performance and financial performance     7
2.2    CSR information disclosure in standalone report    8
2.3    CSR disclosure and stock return    9
3    Data and Definition of Variables    11
3.1    Data    11
3.2    The measure of the CSR disclosure (DIS)    11
3.3    The measure of the CSR standalone report quality (HIGH_Q)    12
3.4    Control variables    13
3.5    Summary statistics    14
4    Empirical evidence    15
4.1    Preliminary analysis    15
4.2    Multivariate analysis    17
5    Conclusion    18
References    20
List of Figures
Figure 1. Average time between publishing and reporting timing of the CSR report    22
List of Tables
Table 1. The number of reports issued by the company    23
Table 2. Variables definition    24
Table 3. Summary Statistic    25
Table 4. Mean comparison    26
Table 5. Correlation matrix    27
Table 6. Preliminary analysis result    28
Table 7. Multivariate analysis result    29


                                

Dhaliwal, D. S., Li, O. Z., Tsang, A., & Yang, Y. G. (2011). Voluntary nonfinancial disclosure and the cost of equity capital: The initiation of corporate social responsibility reporting. The accounting review, 86(1), 59-100.

Dhaliwal, D. S., Radhakrishnan, S., Tsang, A., & Yang, Y. G. (2012). Nonfinancial disclosure and analyst forecast accuracy: International evidence on corporate social responsibility disclosure. The accounting review, 87(3), 723-759.

Dhaliwal, D., Li, O. Z., Tsang, A., & Yang, Y. G. (2014). Corporate social responsibility disclosure and the cost of equity capital: The roles of stakeholder orientation and financial transparency. Journal of Accounting and Public Policy, 33(4), 328-355.

Flammer, C. (2013). Corporate social responsibility and shareholder reaction: The environmental awareness of investors. Academy of Management Journal, 56(3), 758-781.

Flammer, C., Toffel, M. W., & Viswanathan, K. (2021). Shareholder activism and firms' voluntary disclosure of climate change risks. Strategic Management Journal, 42(10), 1850-1879.

Halling, M., Yu, J., & Zechner, J. (2021). Primary corporate bond markets and social responsibility. Swedish House of Finance Research Paper, (20-13).

Hong, H., & Kacperczyk, M. (2009). The price of sin: The effects of social norms on markets. Journal of financial economics, 93(1), 15-36.

Lambert, R., Leuz, C., & Verrecchia, R. E. (2007). Accounting information, disclosure, and the cost of capital. Journal of accounting research, 45(2), 385-420.

Lev, B., Petrovits, C., & Radhakrishnan, S. (2010). Is doing good good for you? How corporate charitable contributions enhance revenue growth. Strategic management journal, 31(2), 182-200.

Li, F. (2008). Annual report readability, current earnings, and earnings persistence. Journal of Accounting and economics, 45(2-3), 221-247.

Loughran, T., & McDonald, B. (2011). When is a liability not a liability? Textual analysis, dictionaries, and 10‐Ks. The Journal of finance, 66(1), 35-65.

Muslu, V., Mutlu, S., Radhakrishnan, S., & Tsang, A. (2019). Corporate social responsibility report narratives and analyst forecast accuracy. Journal of Business Ethics, 154(4), 1119-1142.

Jo, H., & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of business ethics, 110(4), 441-456.

Sharfman, M. P., & Fernando, C. S. (2008). Environmental risk management and the cost of capital. Strategic management journal, 29(6), 569-592.

Porter, M. E., & Kramer, M. R. (2006). Strategy and society: the link between corporate social responsibility and competitive advantage. Harvard business review, 84(12), 78-92.

Porter, M. E., & Kramer, M. R. (2011). Creating shared value: Redefining capitalism and the role of the corporation in society. Harvard Business Review, 89(1-2), 62-77.

簡易檢索 / 詳目顯示

相關論文