社會責任表現較佳的公司有較低的股價崩盤風險嗎？－來自上海證券交易所的證據

近年來隨著企業經營環境的變化與管理思潮的變遷，愈來愈多的公司將企業社會責任(Corporate Social Responsibility；CSR)做為所必須投入的活動之一。既有研究已大量探討公司社會責任投入程度與公司經營與非經營指標的影響，較少探討公司的社會責任作為將如何影響公司在金融市場出現崩跌的可能性，如果公司經營太過關注於股東利益，將愈有可能使得該種狀態在越過某臨界點時，讓其餘的利害關係人權益惡化或喪失的狀態被突顯出來，進而使公司在營運以及金融市場上受到負面影響，例如失去商譽、財務績效惡化並導致股價異常暴跌等惡果。本研究根據中國上海證券交易所所編制的上證社會責任指數(SSE Social Responsibility Index)以量化公司社會責任的衡量指標，參考Kim, Li and Li (2014)的研究，以公司年度股票報酬率的偏態係數、負報酬率平方合相對正報酬率平方和兩種方式來衡量股價崩盤風險，分析2009~2014 年間公司企業社會責任表現如何影響股價的崩盤風險。實證結果顯示企業社會責任與股價崩盤風險呈現正向關聯，有較佳社會責任表現的公司對應著相對較高的崩盤風險，與Kim, Li and Li (2014)的研究結論相反，本研究以公司承擔企業社會責任有可能產生過度投資以及惡化代理問題來解釋，企業社會責任需要投入資源，過度投資以及代理成本有可能相當大，進而使公司股價崩盤的可能性增加。

關鍵字

企業社會責任；股價崩盤風險

並列摘要

In recent years, the management practice and academics have paid more and more attention on Corporate Social Responsibility (CSR) such that a corporation has to take care of not only stockholders but also all stakeholders surrounding business. In addition to business cases and management practice devoted wider and greater resource on CSR, academically, existing literature has also well documented on various kinds of benefits as well costs and empirically examined linkages between firm's performance on CSR and economic consequences. Following Kim, Li and Li (2014), this paper examines whether firm's performance on CSR increases or decreases firm's downside risk on stock market performance, namely, stock price crash risk. By referring to Kim, Li and Li (2014), the first measure of crash risk is the negative conditional skewness of stock returns, and the second one is bottom-up volatility measure. To measure CSR, three indicators of CSR are constructed based on annual name-list of the SSE Social Responsibility Index of Shanghai Stock Exchange. The data covers the period of 2009 to 2014. Basic empirical result shows that higher performance on CSR is associated with greater crash risk that is explained by agency cost may outweigh positive feedback by engaging in CSR.