Corporate Social Responsibility and Risk: Evidence from China

企業社會責任與公司風險：中國市場的實證

詹場(Chang Chan) ； 柯文乾(Wen-Chyan Ke) ； 池祥麟(Hsiang-Lin Chih) ； 盧嘉梧(Chia-Wu Lu)

《財務金融學刊》 28卷2期 (2020/06) Pp. 91-133

https://doi.org/10.6545/JFS.202006_28(2).0003

摘要

The empirical findings in this paper show that CSR mitigates the firm-specific risk of Chinese firms, but exacerbates the market risk since CSR is associated with higher market risk. In addition, the returns of CSR-minded firms rise faster than those of less CSR-minded firms when the stock market return is positive, indicating that Chinese investors value firms' CSR performance when the stock market is up. The 'upside' effect is driven by the positive news effect and reliability effect, especially pronounced for firms with a lower level of government ownership and firms whose CSR policies are less driven by agency problems.

關鍵字

Corporate social responsibility ； firm risk ； idiosyncratic risk ； market risk ； China

並列摘要

本文探討中國市場中，企業社會責任與公司風險的關係。實證結果顯示：企業社會責任能減緩公司特有風險，但與系統風險則呈現正向關係。當大盤報酬率為正，企業社會責任表現較佳的公司報酬率上升速度較快，此情形主要是由「正面的新聞效果」及「信賴效果」所造成，對於政府持股較低及代理問題較小的企業尤其明顯。

並列關鍵字

企業社會責任 ； 公司風險 ； 特有風險 ； 市場風險 ； 中國

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