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題名 道瓊與天下雜誌永續指標之比較與市場反應分析
The comparison and market reaction analysis of Dow Jones and CommonWealth Magazine Sustainability Index
作者 胡孝卉
Hu, Hsiao Hui
貢獻者 李志宏
Lee, Jie Haun
胡孝卉
Hu, Hsiao Hui
關鍵詞 企業社會責任
股價累積平均異常報酬
道瓊永續指數
天下企業公民獎
Corporate social responsibility(CSR)
Cumulate average abnormal returns
Dow Jones Sustainability Index (DJSI)
Common Wealth Magazine CSR Awards
日期 2018
上傳時間 12-Jun-2018 17:18:39 (UTC+8)
摘要 本文之研究目的為，利用事件研究法檢驗不同市場對於企業社會責任（CSR）表現良好或較差之公司反應，採用股價累積平均異常報酬（CAAR）作為衡量標準，比較美國與台灣之投資人對於企業入選道瓊永續指數與天下企業公民獎之異同。結果顯示，企業被納入道瓊永續指數之CAAR為正，被踢除之公司有顯著短暫負報酬，長期宣告效果消失，CAAR反轉。而企業被納入或被踢除天下企業公民獎亦皆有顯著負報酬，但長期負CAAR未反轉，負面效果持續。推測可能原因為「評分機構公信力」與「問卷指標選用」造成宣告效果差異。
The purpose of this study is to examine the response of different markets to corporate social responsibility (CSR) performance using event study method. Using the cumulate average abnormal return (CAAR) as a measure to compare the US and Taiwan investors` different response to Dow Jones Sustainability Index (DJSI) and CommonWealth Magazine CSR Awards. The results show that enterprises have positive return when included in Dow Jones Sustainability Index, while those who are excluded have negative returns. And the announcement effect disappears in the long-term, CAAR reversed. On the other hand, enterprises included in or excluded from CommonWealth Magazine CSR Awards all have negative returns, but the enterprises which are excluded show a larger negative return. And the long-term negative CAAR is not reversed, the negative effect continued. The difference in the announcement effect may be caused by “the credibility of rating institution” and “the questionnaire indicator selection”.
參考文獻 1. 何里仁(2003)，公司治理之資訊透明度與績效評核關聯性之研究，逢甲大學，會計與財稅研究所未出版碩士論文
2. 林穎捷. (2016). 負面社會責任對企業股價之影響-以台灣上市公司為例. 宜蘭大學應用經濟與管理學系經營管理碩士班未出版碩士論文, 1-57.
3. 洪榮華，陳香如，王玉珍(2005)，公司內部治理機制與公司績效之關係-股權結構與董事會特性的觀點，輔仁管理評論， 12(3)，23-40
4. 張鳳真. (2011). 企業社會責任事件宣告與股票異常報酬率之關連性. 亞洲大學會計與資訊學系學位論文, 1-70.
5. 陳有生. (2011). 企業社會責任獎宣告效應對股票異常報酬影響之實證分析. 長榮大學高階管理碩士在職專班 (EMBA) 學位論文, 1-104.
6. 黃瓊瑤, 王癸元, & 張鳳真. (2013). 企業社會責任事件宣告與股價異常報酬之研究. 當代會計, 14(2), 175-204.
7. Akerlof, G. A. (1982). Labor contracts as partial gift exchange. The Quarterly Journal of Economics, 97(4), 543-569
8. Bauer, R., Koedijk, K., & Otten, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance, 29(7), 1751-1767.
9. Bragdon, J. H., & Marlin, J. (1972). Is pollution profitable. Risk management, 19(4), 9-18.
10. Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial management, 35(3), 97-116.
11. Byus, K., Deis, D., & Ouyang, B. (2010). Doing well by doing good: Corporate social responsibility and profitability. SAM Advanced Management Journal, 75(1), 44.
12. Cheung, A. W. K. (2011). Do stock investors value corporate sustainability? Evidence from an event study. Journal of Business Ethics, 99(2), 145-165.
13. Clacher, I., & Hagendorff, J. (2012). Do announcements about corporate social responsibility create or destroy shareholder wealth? Evidence from the UK. Journal of Business Ethics, 106(3), 253-266.
14. Curran, M. M., & Moran, D. (2007). Impact of the FTSE4Good Index on firm price: An event study. Journal of environmental management, 82(4), 529-537.
15. Deng, X., Kang, J. K., & Low, B. S. (2013). Corporate social responsibility and stakeholder value maximization: Evidence from mergers. Journal of Financial Economics, 110(1), 87-109.
16. Di Giuli, A., & Kostovetsky, L. (2014). Are red or blue companies more likely to go green? Politics and corporate social responsibility. Journal of Financial Economics, 111(1), 158-180.
17. Edmans, A. (2011). Does the stock market fully value intangibles? Employee satisfaction and equity prices. Journal of Financial economics, 101(3), 621-640.
18. El Ghoul, S., Guedhami, O., Kwok, C. C., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital?. Journal of Banking & Finance, 35(9), 2388-2406.
19. Ferrell, A., Liang, H., & Renneboog, L. (2016). Socially responsible firms. Journal of Financial Economics, 122(3), 585-606.
20. Friedman, M.(1970, September). The Social Responsibility of Business is to Increase its Profits. The New York Times Magazine.
21. Griffin, J. J., & Mahon, J. F. (1997). The corporate social performance and corporate financial performance debate: Twenty-five years of incomparable research. Business & society, 36(1), 5-31.
22. Jensen, M. (2001). Value maximisation, stakeholder theory, and the corporate objective function. European financial management, 7(3), 297-317.
23. Jensen, M. C. & Meckling W. (1976).Theory of the Firm: Managerial Behavior, Agency Costs, and Capital Structure. Journal of Financial Economics, 33,305-360.
24. Jensen, M. C. & Ruback, R. ( 1983). The Market for Corporate Control: the Scientific Evidence. Journal of Financial Economics, 11, 5-50.
25. Jensen, M. C. (1993). The modern industrial revolution, exit, and the failure of internal control systems. Journal of Finance, 48(3), 831-880
26. Lipton, M. and Lorsch, J. W. (1992). A modest proposal for improved corporate governance. Business Lawyer, 48(1), 59-77.
27. Martin, R. L. (2002). The virtue matrix: Calculating the return on corporate responsibility. Harvard business review, 80(3), 68-75.
28. Martinez‐Blasco, M., Garcia‐Blandon, J., & Castillo‐Merino, D. (2017). Are Investors Concerned by Annual Corporate Governance Reports? Some Evidence from the Spanish Stock Market. European Management Review.
29. Maxfield, S. (2008). Reconciling corporate citizenship and competitive strategy: Insights from economic theory. Journal of Business Ethics, 80(2), 367-377.
30. McGregor, D,(1960) ,The Human Side of Enterprise, McGraw-Hill, New York.
31. Middlemiss, N. (2003). Authentic not cosmetic: CSR as brand enhancement. The journal of brand management, 10(4), 353-361.
32. Mollet, J. C., & Ziegler, A. (2014). Socially responsible investing and stock performance: New empirical evidence for the US and European stock markets. Review of Financial Economics, 23(4), 208-216.
33. Morck, R., Shleifer , A. , & Vishny, R. W.(1988). Management Ownership and Market Valuation: An Empirical Analysis. Journal of Financial Economics, 20, 293-315.
34. Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193.
35. Oberndorfer, U., Schmidt, P., Wagner, M., & Ziegler, A. (2013). Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms. Journal of Environmental Economics and Management, 66(3), 497-509.
36. Paul M. Guest(2009) The Impact of Board Size on Firm Performance: Evidence from the UK The European Journal of Finance, Volume 15, Issue 4, June 2009, Pages 385-404
37. Pearce, J. A. and Zahra, S. A. (1992). Board composition from a strategic contingency perspective. Journal of Management Studies, 29(4), 53-58.
38. Rappaport, A. (1986). Creating shareholder value: the new standard for business performance. Free press.
39. Shapiro, C., & Stiglitz, J. E. (1984). Equilibrium unemployment as a worker discipline device. The American Economic Review, 74(3), 433-444.
40. Surroca, J., Tribó, J. A., & Waddock, S. (2010). Corporate responsibility and financial performance: The role of intangible resources. Strategic management journal, 31(5), 463-490.
41. Utrero-González, N., & Callado-Muñoz, F. J. (2016). Do investors react to corporate governance news? An empirical analysis for the Spanish market. BRQ Business Research Quarterly, 19(1), 13-25.
42. Van Stekelenburg , A., Georgakopoulos, G., Sotiropoulou, V., Vasileiou, K. Z., & Vlachos, I. (2015). The relation between sustainability performance and stock market returns: an empirical analysis of the Dow Jones Sustainability Index Europe. International Journal of Economics and Finance, 7(7), 74.
43. Yermack, D. (1996). Higher market valuation of companies with a small board of directors. Journal of Financial Economics, 40(2), 185–212.
44. Zhang, L., Wang, T. N., & Fung, H. G. (2014). Market reaction to corporate social responsibility announcements: Evidence from China. China & World Economy, 22(2), 81-101.
描述 碩士
國立政治大學
財務管理研究所
105357007
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1053570071
資料類型 thesis
dc.contributor.advisor 李志宏zh_TW
dc.contributor.advisor Lee, Jie Haunen_US
dc.contributor.author (Authors) 胡孝卉zh_TW
dc.contributor.author (Authors) Hu, Hsiao Huien_US
dc.creator (作者) 胡孝卉zh_TW
dc.creator (作者) Hu, Hsiao Huien_US
dc.date (日期) 2018en_US
dc.date.accessioned 12-Jun-2018 17:18:39 (UTC+8)-
dc.date.available 12-Jun-2018 17:18:39 (UTC+8)-
dc.date.issued (上傳時間) 12-Jun-2018 17:18:39 (UTC+8)-
dc.identifier (Other Identifiers) G1053570071en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/117638-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 105357007zh_TW
dc.description.abstract (摘要) 本文之研究目的為，利用事件研究法檢驗不同市場對於企業社會責任（CSR）表現良好或較差之公司反應，採用股價累積平均異常報酬（CAAR）作為衡量標準，比較美國與台灣之投資人對於企業入選道瓊永續指數與天下企業公民獎之異同。結果顯示，企業被納入道瓊永續指數之CAAR為正，被踢除之公司有顯著短暫負報酬，長期宣告效果消失，CAAR反轉。而企業被納入或被踢除天下企業公民獎亦皆有顯著負報酬，但長期負CAAR未反轉，負面效果持續。推測可能原因為「評分機構公信力」與「問卷指標選用」造成宣告效果差異。zh_TW
dc.description.abstract (摘要) The purpose of this study is to examine the response of different markets to corporate social responsibility (CSR) performance using event study method. Using the cumulate average abnormal return (CAAR) as a measure to compare the US and Taiwan investors` different response to Dow Jones Sustainability Index (DJSI) and CommonWealth Magazine CSR Awards. The results show that enterprises have positive return when included in Dow Jones Sustainability Index, while those who are excluded have negative returns. And the announcement effect disappears in the long-term, CAAR reversed. On the other hand, enterprises included in or excluded from CommonWealth Magazine CSR Awards all have negative returns, but the enterprises which are excluded show a larger negative return. And the long-term negative CAAR is not reversed, the negative effect continued. The difference in the announcement effect may be caused by “the credibility of rating institution” and “the questionnaire indicator selection”.en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究動機及背景 1
第二節 研究目的 2
第三節 研究架構與流程 3
第二章 文獻回顧 5
第三章 道瓊世界永續指數與天下企業公民獎之比較 11
第一節 董事會特性 11
第二節 經理人薪酬 13
第三節 勞工政策 15
第四章 研究方法 18
第一節 假說建立 18
第二節 研究對象、期間及樣本分析 20
第三節 事件研究法操作方式 20
第四節 樣本資料分布 23
第五章 實證研究結果與分析 25
第一節 道瓊世界永續指數 25
第二節 天下雜誌CSR企業公民獎 30
第三節 產業差異 34
第六章 結論 37
參考文獻 42		zh_TW
dc.format.extent 787988 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1053570071en_US
dc.subject (關鍵詞) 企業社會責任zh_TW
dc.subject (關鍵詞) 股價累積平均異常報酬zh_TW
dc.subject (關鍵詞) 道瓊永續指數zh_TW
dc.subject (關鍵詞) 天下企業公民獎zh_TW
dc.subject (關鍵詞) Corporate social responsibility(CSR)en_US
dc.subject (關鍵詞) Cumulate average abnormal returnsen_US
dc.subject (關鍵詞) Dow Jones Sustainability Index (DJSI)en_US
dc.subject (關鍵詞) Common Wealth Magazine CSR Awardsen_US
dc.title (題名) 道瓊與天下雜誌永續指標之比較與市場反應分析zh_TW
dc.title (題名) The comparison and market reaction analysis of Dow Jones and CommonWealth Magazine Sustainability Indexen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. 何里仁(2003)，公司治理之資訊透明度與績效評核關聯性之研究，逢甲大學，會計與財稅研究所未出版碩士論文
2. 林穎捷. (2016). 負面社會責任對企業股價之影響-以台灣上市公司為例. 宜蘭大學應用經濟與管理學系經營管理碩士班未出版碩士論文, 1-57.
3. 洪榮華，陳香如，王玉珍(2005)，公司內部治理機制與公司績效之關係-股權結構與董事會特性的觀點，輔仁管理評論， 12(3)，23-40
4. 張鳳真. (2011). 企業社會責任事件宣告與股票異常報酬率之關連性. 亞洲大學會計與資訊學系學位論文, 1-70.
5. 陳有生. (2011). 企業社會責任獎宣告效應對股票異常報酬影響之實證分析. 長榮大學高階管理碩士在職專班 (EMBA) 學位論文, 1-104.
6. 黃瓊瑤, 王癸元, & 張鳳真. (2013). 企業社會責任事件宣告與股價異常報酬之研究. 當代會計, 14(2), 175-204.
7. Akerlof, G. A. (1982). Labor contracts as partial gift exchange. The Quarterly Journal of Economics, 97(4), 543-569
8. Bauer, R., Koedijk, K., & Otten, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance, 29(7), 1751-1767.
9. Bragdon, J. H., & Marlin, J. (1972). Is pollution profitable. Risk management, 19(4), 9-18.
10. Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial management, 35(3), 97-116.
11. Byus, K., Deis, D., & Ouyang, B. (2010). Doing well by doing good: Corporate social responsibility and profitability. SAM Advanced Management Journal, 75(1), 44.
12. Cheung, A. W. K. (2011). Do stock investors value corporate sustainability? Evidence from an event study. Journal of Business Ethics, 99(2), 145-165.
13. Clacher, I., & Hagendorff, J. (2012). Do announcements about corporate social responsibility create or destroy shareholder wealth? Evidence from the UK. Journal of Business Ethics, 106(3), 253-266.
14. Curran, M. M., & Moran, D. (2007). Impact of the FTSE4Good Index on firm price: An event study. Journal of environmental management, 82(4), 529-537.
15. Deng, X., Kang, J. K., & Low, B. S. (2013). Corporate social responsibility and stakeholder value maximization: Evidence from mergers. Journal of Financial Economics, 110(1), 87-109.
16. Di Giuli, A., & Kostovetsky, L. (2014). Are red or blue companies more likely to go green? Politics and corporate social responsibility. Journal of Financial Economics, 111(1), 158-180.
17. Edmans, A. (2011). Does the stock market fully value intangibles? Employee satisfaction and equity prices. Journal of Financial economics, 101(3), 621-640.
18. El Ghoul, S., Guedhami, O., Kwok, C. C., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital?. Journal of Banking & Finance, 35(9), 2388-2406.
19. Ferrell, A., Liang, H., & Renneboog, L. (2016). Socially responsible firms. Journal of Financial Economics, 122(3), 585-606.
20. Friedman, M.(1970, September). The Social Responsibility of Business is to Increase its Profits. The New York Times Magazine.
21. Griffin, J. J., & Mahon, J. F. (1997). The corporate social performance and corporate financial performance debate: Twenty-five years of incomparable research. Business & society, 36(1), 5-31.
22. Jensen, M. (2001). Value maximisation, stakeholder theory, and the corporate objective function. European financial management, 7(3), 297-317.
23. Jensen, M. C. & Meckling W. (1976).Theory of the Firm: Managerial Behavior, Agency Costs, and Capital Structure. Journal of Financial Economics, 33,305-360.
24. Jensen, M. C. & Ruback, R. ( 1983). The Market for Corporate Control: the Scientific Evidence. Journal of Financial Economics, 11, 5-50.
25. Jensen, M. C. (1993). The modern industrial revolution, exit, and the failure of internal control systems. Journal of Finance, 48(3), 831-880
26. Lipton, M. and Lorsch, J. W. (1992). A modest proposal for improved corporate governance. Business Lawyer, 48(1), 59-77.
27. Martin, R. L. (2002). The virtue matrix: Calculating the return on corporate responsibility. Harvard business review, 80(3), 68-75.
28. Martinez‐Blasco, M., Garcia‐Blandon, J., & Castillo‐Merino, D. (2017). Are Investors Concerned by Annual Corporate Governance Reports? Some Evidence from the Spanish Stock Market. European Management Review.
29. Maxfield, S. (2008). Reconciling corporate citizenship and competitive strategy: Insights from economic theory. Journal of Business Ethics, 80(2), 367-377.
30. McGregor, D,(1960) ,The Human Side of Enterprise, McGraw-Hill, New York.
31. Middlemiss, N. (2003). Authentic not cosmetic: CSR as brand enhancement. The journal of brand management, 10(4), 353-361.
32. Mollet, J. C., & Ziegler, A. (2014). Socially responsible investing and stock performance: New empirical evidence for the US and European stock markets. Review of Financial Economics, 23(4), 208-216.
33. Morck, R., Shleifer , A. , & Vishny, R. W.(1988). Management Ownership and Market Valuation: An Empirical Analysis. Journal of Financial Economics, 20, 293-315.
34. Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193.
35. Oberndorfer, U., Schmidt, P., Wagner, M., & Ziegler, A. (2013). Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms. Journal of Environmental Economics and Management, 66(3), 497-509.
36. Paul M. Guest(2009) The Impact of Board Size on Firm Performance: Evidence from the UK The European Journal of Finance, Volume 15, Issue 4, June 2009, Pages 385-404
37. Pearce, J. A. and Zahra, S. A. (1992). Board composition from a strategic contingency perspective. Journal of Management Studies, 29(4), 53-58.
38. Rappaport, A. (1986). Creating shareholder value: the new standard for business performance. Free press.
39. Shapiro, C., & Stiglitz, J. E. (1984). Equilibrium unemployment as a worker discipline device. The American Economic Review, 74(3), 433-444.
40. Surroca, J., Tribó, J. A., & Waddock, S. (2010). Corporate responsibility and financial performance: The role of intangible resources. Strategic management journal, 31(5), 463-490.
41. Utrero-González, N., & Callado-Muñoz, F. J. (2016). Do investors react to corporate governance news? An empirical analysis for the Spanish market. BRQ Business Research Quarterly, 19(1), 13-25.
42. Van Stekelenburg , A., Georgakopoulos, G., Sotiropoulou, V., Vasileiou, K. Z., & Vlachos, I. (2015). The relation between sustainability performance and stock market returns: an empirical analysis of the Dow Jones Sustainability Index Europe. International Journal of Economics and Finance, 7(7), 74.
43. Yermack, D. (1996). Higher market valuation of companies with a small board of directors. Journal of Financial Economics, 40(2), 185–212.
44. Zhang, L., Wang, T. N., & Fung, H. G. (2014). Market reaction to corporate social responsibility announcements: Evidence from China. China & World Economy, 22(2), 81-101.		zh_TW