本研究以天下雜誌之天下企業公民獎,2011年至2020年,每年度獲選的50家大型企業為樣本,以事件研究法探討當年度未獲選企業的短期股價變化。從未獲選之企業,來觀察各年度的期間累計異常報酬率(ACAR),以及企業的平均異常報酬率(AAR)。為了進一步瞭解各宣告期的累積異常報酬率是否顯著,本研究利用符號檢定,分別檢定不同區間的宣告效果,顯示累積異常報酬率是否具有顯著異常的負向宣告效果。 實證結果發現,在十年的觀察中,未獲選之企業有七個年度的累積異常報酬率,具有顯著異常的負向宣告效果,表示未獲選企業短期股價變化有下跌現象。由此可知,未獲選企業具有顯著異常的負向宣告效果。
Based on both the event research method and the comparison with the selected “Top 50 Sustainable Citizens” by CommonWealth Magazine, this study focuses on short-term stock price changes of the companies unselected in the category of "Corporate Citizen." That is, it means to explore their annual ACAR as well as AAR of those unchosen corporations. In order to understand whether cumulative abnormal return rate in each announcement period is significant, this study adopts sign test to examine the declaration effect of different intervals respectively to show if the cumulative abnormal return rate comes with a significantly abnormal negative declaration effect. The empirical results show those unselected companies came with the cumulative abnormal return rates for seven years in ten, followed by a significant abnormal negative declaration effect. Also, it means that the downturns of the short-term stock prices of the unselected companies did happen. It can be concluded that unselected companies are with significantly abnormal negative declaration effect.