企業社會責任與股票報酬之英美市場實證研究

Abstract

近年來企業社會責任的議題受到國際社會的高度重視，企業也紛紛前仆後繼地投入企業社會責任活動，此外國際間投資也興起重視永續性的經營，社會責任投資也因此崛起，企業社會責任顯見地已蔚為投資人選擇投資標目的考量因素之一。對於投資人而言，其所關注的是能否藉由企業所揭露的企業社會責任資訊在投資標的中獲得報酬，是以本研究主要目的係探討企業社會責任績效對股票報酬率之影響。\n研究樣本係就2018年5月英國FTSE 100指數與美國S&P 500指數之成分股選出85家與444家公司資料，研究期間為2011年至2016年，資料庫來源為彭博資（Bloomberg）料庫及Thomson Reuters Eikon資料庫，先後以多元線性迴歸模型與追蹤資料模型進行企業社會責任績效對股票報酬率之實證研究，前者實證結果顯示2011年至2016年各年度企業社會責任績效對股票報酬率無一致性之顯著影響，可能原因在於多元線性迴歸未考量橫斷面不同樣本間的特性與其時間序列之動態過程，以致無法得到較具效率性的估計結果，後者實證結果顯示企業社會責任績效對股票報酬率為負向影響，然為了避免企業社會責任績效與其他自變數存在內生性問題造成假性迴歸狀況，另以兩階段最小平方法建立迴歸模型，再分別以高污染產業與環境、社會、公司治理揭露分數作為工具變數，得出企業社會責任績效對股票報酬率無影響與負向影響之結果。\n由於目前現有文獻在企業從事企業社會責任對其股票報酬率這方面之研究結果多偏正向影響或無影響，與本研究為負向影響之研究結果不同，本研究認為較可能解釋的原因為以下二點：第一、投資人認為公司從事企業社會責任必須先投入一定的資源，卻無法確定後續會帶來正面抑或是負面的效益，所以不受投資人之青睞。第二、雖說Bloomberg資料庫會根據企業對於「環境、社會與公司治理」（ESG）資料的揭露程度，依各資料之重要性加權，然每個產業其擁有之核心能力不同，所從事的企業社會責任也會依其產業屬性而有所不同，倘Bloomberg資料庫能針對所從事的企業社會責任依其產業屬性給予不同之加權，或許能得到正向之影響；此外，公司所從事之企業社會責任未能與其所擁有之核心能力結合，致難以對投資人深植其品牌形象與精神，進而投資該公司。

The international community has recently placed great emphasis on the issue of corporate social responsibility, and corporations also sought to maximize their engagement in activities relevant to corporate social responsibility. Parallel to this, international investors also placed a premium on sustainable management, which gives rise to responsible investment. Corporate social responsibility is a factor that investors consider when choosing investment products. Investors care whether they can profit from the information that corporations disclose. This study looks primarily at the impact the corporate social responsibility performance has on stock returns.\nThe data of this study is provided by Bloomberg and the Thomson Reuters Eikon Databases. There are 85 companies from the 2018 UK FTSE 100 Index and 444 companies from the 2018 USA S&P Index selected for the study. The chronological range is from 2011 to 2016. This empirical study on the relationship between corporate social responsibility performance and stock returns uses a multivariable linear regression model and then panel data model for data description and analysis. In the multivariable linear regression model, empirical results show that corporate social responsibility performance has no apparent effect on stock returns between 2011 and 2016. The possible explanation is that multivariable linear regression does not consider the characteristics of different samples, nor does it account for the dynamism of the time series of cross-sectional data, to the result that the analysis did not produce efficient forecasting results. As for the panel data model approach, empirical results show corporate social responsibility performance hurts stock returns. However, to avoid spurious regression that resulted from the endogeneity within corporate responsibility performance and other independent variables, the study uses two-stage least squares regression analysis modeling, and use high-pollution industry and environment, society, corporation management scores as instrumental variables. The study found that corporate social responsibility performance has no effect or adverse effect on stock returns.\nCurrent literature on the relationship of corporations engaging in corporate social responsibility with stock returns generally concludes that there is a positive effect or no effect, which differs from the findings of this study. There are two explanations for this discrepancy. First, investors think that corporations engaged in corporate social responsibility need to invest a certain amount of resources, but without the certainty of positive or negative reward. As a result, investors shun from them. Second, while the Bloomberg database weights the importance of different data based on the degree of transparency that corporations have towards their own Environmental, Social, and Governance (ESG) data, each industry has different core competencies, leading to variations in the corporate social responsibility based on industry type. If the Bloomberg database can weight corporate responsibility data based on industry type, perhaps the result would be positive. Furthermore, if a corporation`s engagement in corporate social responsibilities cannot merge with its core competencies, it would not be able to impress investors on its brand image and its corporate spirit and convince them to invest in the corporation.