企業社會責任獲獎對股價異常報酬率影響

The Influence of Corporate Social Responsibility Prize Awarded on the Stock Abnormal Returns

謝懷恕(Hwai-Shuh Shieh) ； 龔哲緯(Che-Wei Kung)

《全球管理與經濟》 15卷2期 (2019/12) Pp. 25-46

https://doi.org/10.6565/JGME.201912_15(2).0002

摘要

本研究主要探討企業社會責任獲獎宣告對不同產業股價異常報酬所造成之影響，採用事件研究法，利用GARCH市場模式納入虛擬變數，研究期間與對象為2011年至2015年遠見雜誌與天下雜誌的企業社會責任獎之獲獎上市（櫃）企業，檢測企業社會責任獲獎宣告對於所有得獎企業和不同產業之企業的影響。實證結果發現：一、獲獎宣告對於所有得獎企業平均而言，沒有正向的顯著影響；但由天下雜誌獲獎宣告日前一日有負向的顯著結果；二、各產業受到獲獎宣告的異常報酬率反應並不一致；三、獲獎宣告的負向異常報酬或不顯著效果多發生在高科技產業。

關鍵字

企業社會責任 ； 事件研究 ； 異常報酬 ； GARCH

並列摘要

The study examines the influence to the stock market of corporate social responsibility prize awarded announcement, adopts GARCH market model with dummy variables to estimate abnormal returns on the pre- and post- of announcement and comparing to the Taiwan Stock Exchange and industry index, evaluates the stock price of those corporates winning the prize awarded. The samples are selected from the public listed firms that corporate social responsibility prize awarded on all industry sectors in Taiwan from 2011 to 2015. The findings show that, first, for all prize rewarded corporates, abnormal returns have no positive significance in during the event period; however, abnormal returns have negative significance at the day before announcement. Second, there are different abnormal returns in different industries. Finally, in the event period, negative/no significance effects appear in most high-tech industry.

並列關鍵字

Corporate Social Responsibility ； Event Study ； Abnormal Returns ； GARCH