社會責任指數之加入與剔除對股東財富之影響

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題名	社會責任指數之加入與剔除對股東財富之影響 The shareholder effects of social index addition or deletion
作者	郭懿萱 Kuo, Calista
貢獻者	吳啟銘<br>許牧彥 Wu, Chi Ming<br>Hsu, Mu Yen 郭懿萱 Kuo, Calista
關鍵詞	企業社會責任道瓊永續性指數累積異常報酬率傾向分數配對法 Corporate Social Responsibility Dow Jones Sustainability Index Cumulative Abnormal Return Propensity Score Matching
日期	2009
上傳時間	4-Sep-2013 11:17:24 (UTC+8)
摘要	自1990年代中期，隨著環保、消費者權利、童工…等這些議題被廣泛檢討，越來越多人同意各別公司與整個社會是價值共享且相互依存的，若要達到共存共榮的理想，則公司必定要將社會責任融入其自身追求競爭力和商業策略的核心架構中。企業社會責任(Corporate Social Responsibility)並無公認標準，但一般泛指企業除了追求股東的利益極大化外，還必須兼顧員工、顧客、供應商、合作夥伴、社區團體、環境…等。道瓊永續性指數(Dow Jones Sustainability Index)為現今資本市場衡量企業社會責任的標竿指數，而企業名列在被大眾認可的永續性指數上，就是企業可以傳達給利益相關者(stakeholders)，表明他們注重企業社會責任的訊號之一。藉由研究企業被涵蓋在聲譽卓著的永續性指數之內是否能為股東創造價值，本論文將探討企業永續發展和企業價值之間的複雜關係。本研究利用傾向分數配對法(Propensity Score Matching)，降低進入與退出道瓊永續性指數這兩組公司間的異質性，以求得出的結果較不受公司規模、財務槓桿、產業等外在其他因素干擾。將2002至2009年間的樣本數配對後，以道瓊永續性指數作為企業社會責任之代理變數，以累積異常報酬率(Cumulative abnormal return)代表為股東創造之財富，我們追蹤資本市場對於企業進入和退出道瓊永續性指數的反應，來探討股東是否認同公司參與企業社會責任是創造價值之行為。本研究結果顯示如下: 第一、當企業被加入道瓊永續性指數時，該企業之股東將獲得正向且顯著性的累積異常報酬率，這代表名列著名的的永續性指數是一個股東認可，且企業應追尋的目標。第二、當企業被道瓊永續性指數剔除時，該企業之股東將獲得負向但不顯著的累積異常報酬率。因此我們至少可以推論，從事企業社會責任活動，並不會破壞企業整體之價值。 Corporate social responsibility (CSR) gradually becomes an important corporate strategy to every company in the worldwide economy. The social performance of a firm can shape the images to key stakeholders, no matter they are employees, suppliers, customers or investors, and influence decision making and relationships with the firm in the later stage. While corporations are busy engaging and enhancing CSR practices, there are few established empirical research on CSR effects and relevance in the capital markets. Hence, my thesis explores the relationship between corporate sustainability and firm value by asking whether membership on a recognized sustainability index is value generating. As stakeholders are urging that firms demonstrate their commitment to sustainability, one signal that companies can send to stakeholders to indicate that they are sustainable is membership on a recognized sustainability index. My research investigates this issue by tracing the market reaction to corporate entries and exits from Dow Jones Sustainability Index, recognized as a CSR benchmark, between 2002 and 2009. Instead of using regression models, I employ a propensity score matching (PSM) pairs design to overcome heterogeneity between different firms. My thesis highlights two main findings: a significant share price rising trend in cumulative abnormal returns (CAR) of the samples under the addition situation, suggesting that inclusion on the Dow Jones Sustainability Index (DJSI) is a goal that firms should pursue. Another is an insignificant negative stock market reaction while firms are removed from the DJSI, and I can draw from the results that, at the very least, adopting CSR doesn’t deteriorate the value of the firms. Our results suggest that the benefits of being included on the DJSI outweigh or equal to the costs associated with applying a membership on DJSI.
參考文獻	Barnea, A., & Rubin, A. Corporate Social Responsibility as a Conflict Between Shareholders. [10.1007/s10551-010-0496-z]. Journal of Business Ethics. Becchetti, L., R. & Hasan, I. (2007). Corporate Social Responsibility and Shareholder’s Value: An Event Study Analysis. Working Paper, Federal Reserve Bank of Atlanta. Bertrand, M., & Mullainathan, S. (2003). Enjoying the Quiet Life? Corporate Governance and Managerial Preferences. The Journal of Political Economy, 111(5), 1043-1075. Cowen, S. S., Ferreri, L. B., & Parker, L. D. (1987). The impact of corporate characteristics on social responsibility disclosure: A typology and frequency-based analysis. [doi: DOI: 10.1016/0361-3682(87)90001-8]. Accounting, Organizations and Society, 12(2), 111-122. Dhaliwal, D. S., Lee, K. J., & Fargher N. L. (1991). The association between unexpected earnings and abnormal security returns in the presence of financial leverage*. Contemporary Accounting Research, 8(1), 20-41. Dutton, J. E., & Dukerich, J. M. (1991). Keeping an Eye on the Mirror: Image and Identity in Organizational Adaptation. The Academy of Management Journal, 34(3), 517-554. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. [doi: DOI: 10.1016/0304-405X(93)90023-5]. Journal of Financial Economics, 33(1), 3-56. Fombrun, C., & Shanley, M. (1990). What`s in a Name? Reputation Building and Corporate Strategy. The Academy of Management Journal, 33(2), 233-258. Fombrun, C. J., & Gardberg, N. A. (2000). Opportunity platforms and safety nets: Corporate citizenship and reputational risk. [Article]. Business & Society Review (00453609), 105(1), 85. Frey, B. S., & Oberholzer-Gee, F. (1997). The Cost of Price Incentives: An Empirical Analysis of Motivation Crowding- Out. The American Economic Review, 87(4), 746-755. Jensen, M. C., & Meckling, W. H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. [doi: DOI: 10.1016/0304-405X(76)90026-X]. Journal of Financial Economics, 3(4), 305-360. Karlsson, J & Yana C. (2008). Does Corporate Social Responsibility Pay off? – An Event Study of the Impact of Corporate Entry and Exit from the Dow Jones Sustainability World Index on the Market Value of a Company. Unpublished Advanced level Thesis, School of Business, Economics and Law, Goteborg University. Lee E Preston, & Douglas P O`Bannon. (1997). The corporate social-financial performance relationship. Business and Society, 36(4), 419-429. Martin Curran, M., & Moran, D. (2007). Impact of the FTSE4Good Index on firm price: An event study. [doi: DOI: 10.1016/j.jenvman.2006.02.010]. Journal of Environmental Management, 82(4), 529-537. McGuire, J. B., Alison, S., & Schneeweis, T. (1988). Corporate Social Responsibility and Firm Financial Performance. The Academy of Management Journal, 31(4), 854-872. Montiel, I. (2008). Corporate Social Responsibility and Corporate Sustainability: Separate Pasts, Common Futures. Organization & Environment, 21(3): 245-269. Newgren, K. A., Rasher, M. LaRoe & M. Szabo. (1985) Environmental Assessment and Corporate Performance: A Longitudinal Analysis Using Market-Determined Performance Measures. Research in Corporate Social Performance and Policy, 7(1), 153–164 O`Connor, M., & Spangenberg, J. H. (2008). A methodology for CSR reporting: assuring a representative diversity of indicators across stakeholders, scales, sites and performance issues. [doi: DOI: 10.1016/j.jclepro.2007.08.005]. Journal of Cleaner Production, 16(13), 1399-1415. Porter, M. E. & M. R. Kramer. (2006). Strategy & Society: The Link Between Competitive Advantage and Corporate Social Responsibility. Harvard Business Review,84(12), 78-92. Posner, R. A. (1975). The Social Costs of Monopoly and Regulation. The Journal of Political Economy, 83(4), 807-827. Rosenbaum, P. R., & Rubin, D. B. (1985). Constructing a Control Group Using Multivariate Matched Sampling Methods That Incorporate the Propensity Score. The American Statistician, 39(1), 33-38. Rubin, D. B., & Thomas, N. (1992). Characterizing the Effect of Matching Using Linear Propensity Score Methods with Normal Distributions. Biometrika, 79(4), 797-809. Ruf, B., Muralidhar, K., Brown, R., Janney, J., & Paul, K. (2001). An Empirical Investigation of the Relationship Between Change in Corporate Social Performance and Financial Performance: A Stakeholder Theory Perspective. [10.1023/A:1010786912118]. Journal of Business Ethics, 32(2), 143-156. Shen, C., & Chang, Y. (2009). Ambition Versus Conscience, Does Corporate Social Responsibility Pay off? The Application of Matching Methods. Journal of Business Ethics, 88, 133. Brammer, S., Brooks,C. & Pavelin, S. (2006). Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures. Financial Management, 35(3), 97-116. Waddock, S. A., & Graves, S. B. (1997). The Corporate Social Performance-Financial Performance Link. Strategic Management Journal, 18(4), 303-319. Walley, N.& B. Whitehead. (1994). It’s Not Easy Being Green. Harvard Business Review, 72, 2–7
描述	碩士國立政治大學科技管理研究所 97359004 98
資料來源	http://thesis.lib.nccu.edu.tw/record/#G0097359004
資料類型	thesis

dc.contributor.advisor	吳啟銘<br>許牧彥	zh_TW
dc.contributor.advisor	Wu, Chi Ming<br>Hsu, Mu Yen	en_US
dc.contributor.author (Authors)	郭懿萱	zh_TW
dc.contributor.author (Authors)	Kuo, Calista	en_US
dc.creator (作者)	郭懿萱	zh_TW
dc.creator (作者)	Kuo, Calista	en_US
dc.date (日期)	2009	en_US
dc.date.accessioned	4-Sep-2013 11:17:24 (UTC+8)	-
dc.date.available	4-Sep-2013 11:17:24 (UTC+8)	-
dc.date.issued (上傳時間)	4-Sep-2013 11:17:24 (UTC+8)	-
dc.identifier (Other Identifiers)	G0097359004	en_US
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/59993	-
dc.description (描述)	碩士	zh_TW
dc.description (描述)	國立政治大學	zh_TW
dc.description (描述)	科技管理研究所	zh_TW
dc.description (描述)	97359004	zh_TW
dc.description (描述)	98	zh_TW
dc.description.abstract (摘要)	自1990年代中期，隨著環保、消費者權利、童工…等這些議題被廣泛檢討，越來越多人同意各別公司與整個社會是價值共享且相互依存的，若要達到共存共榮的理想，則公司必定要將社會責任融入其自身追求競爭力和商業策略的核心架構中。企業社會責任(Corporate Social Responsibility)並無公認標準，但一般泛指企業除了追求股東的利益極大化外，還必須兼顧員工、顧客、供應商、合作夥伴、社區團體、環境…等。道瓊永續性指數(Dow Jones Sustainability Index)為現今資本市場衡量企業社會責任的標竿指數，而企業名列在被大眾認可的永續性指數上，就是企業可以傳達給利益相關者(stakeholders)，表明他們注重企業社會責任的訊號之一。藉由研究企業被涵蓋在聲譽卓著的永續性指數之內是否能為股東創造價值，本論文將探討企業永續發展和企業價值之間的複雜關係。本研究利用傾向分數配對法(Propensity Score Matching)，降低進入與退出道瓊永續性指數這兩組公司間的異質性，以求得出的結果較不受公司規模、財務槓桿、產業等外在其他因素干擾。將2002至2009年間的樣本數配對後，以道瓊永續性指數作為企業社會責任之代理變數，以累積異常報酬率(Cumulative abnormal return)代表為股東創造之財富，我們追蹤資本市場對於企業進入和退出道瓊永續性指數的反應，來探討股東是否認同公司參與企業社會責任是創造價值之行為。本研究結果顯示如下: 第一、當企業被加入道瓊永續性指數時，該企業之股東將獲得正向且顯著性的累積異常報酬率，這代表名列著名的的永續性指數是一個股東認可，且企業應追尋的目標。第二、當企業被道瓊永續性指數剔除時，該企業之股東將獲得負向但不顯著的累積異常報酬率。因此我們至少可以推論，從事企業社會責任活動，並不會破壞企業整體之價值。	zh_TW
dc.description.abstract (摘要)	Corporate social responsibility (CSR) gradually becomes an important corporate strategy to every company in the worldwide economy. The social performance of a firm can shape the images to key stakeholders, no matter they are employees, suppliers, customers or investors, and influence decision making and relationships with the firm in the later stage. While corporations are busy engaging and enhancing CSR practices, there are few established empirical research on CSR effects and relevance in the capital markets. Hence, my thesis explores the relationship between corporate sustainability and firm value by asking whether membership on a recognized sustainability index is value generating. As stakeholders are urging that firms demonstrate their commitment to sustainability, one signal that companies can send to stakeholders to indicate that they are sustainable is membership on a recognized sustainability index. My research investigates this issue by tracing the market reaction to corporate entries and exits from Dow Jones Sustainability Index, recognized as a CSR benchmark, between 2002 and 2009. Instead of using regression models, I employ a propensity score matching (PSM) pairs design to overcome heterogeneity between different firms. My thesis highlights two main findings: a significant share price rising trend in cumulative abnormal returns (CAR) of the samples under the addition situation, suggesting that inclusion on the Dow Jones Sustainability Index (DJSI) is a goal that firms should pursue. Another is an insignificant negative stock market reaction while firms are removed from the DJSI, and I can draw from the results that, at the very least, adopting CSR doesn’t deteriorate the value of the firms. Our results suggest that the benefits of being included on the DJSI outweigh or equal to the costs associated with applying a membership on DJSI.	en_US
dc.description.tableofcontents	TABLE OF CONTENTS CHINESE ABSTRACT...........................................1 ENGLISH ABSTRACT...........................................3 DEDICATION.................................................5 CHAPTER 1: INTRODUCTION....................................8 BACKGROUND.................................................8 MOTIVATION.................................................9 THESIS OBJECTIVE AND INVESTIGATION........................10 THESIS STRUCTURE..........................................11 CHAPTER 2: LITERATURE REVIEW..............................12 STOCK VALUATION INFLUENCED BY SOCIAL INDEX ENTRY/EXIT.....12 SOCIAL IMPACT HYPOTHESIS SUPPORTING POSITIVE EFFECTS OF CSR.......................................................12 SHIFT OF FOCUS HYPOTHESIS VIEWING THE OPPOSITE OF CSR.....13 LITERATURE ON SOCIAL INDEX DELETION OR ADDITION...........15 PROPOSED HYPOTHESIS.......................................16 CHAPTER 3: DATA AND METHODOLOGY...........................17 DATA AND CHOICE OF ANALYSIS PERIOD........................17 MATCHING METHODS: PROPENSITY SCORE MATCHING...............17 CONFIRMATION OF MATCHING RESULT...........................20 REGRESSION ANALYSIS TO ESTIMATE THE TREATMENT RESULT......20 CHAPTER 4: EMPIRICAL RESULTS..............................25 BASIC STATISTICS BEFORE MATCHING..........................25 BASIC STATISTICS AFTER MATCHING...........................28 MARKET PERFORMANCE COMPARISONS............................31 CHAPTER 5: DISCUSSION AND CONCLUSION......................38 REFERENCES................................................41	zh_TW
dc.format.extent	619636 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en_US	-
dc.source.uri (資料來源)	http://thesis.lib.nccu.edu.tw/record/#G0097359004	en_US
dc.subject (關鍵詞)	企業社會責任	zh_TW
dc.subject (關鍵詞)	道瓊永續性指數	zh_TW
dc.subject (關鍵詞)	累積異常報酬率	zh_TW
dc.subject (關鍵詞)	傾向分數配對法	zh_TW
dc.subject (關鍵詞)	Corporate Social Responsibility	en_US
dc.subject (關鍵詞)	Dow Jones Sustainability Index	en_US
dc.subject (關鍵詞)	Cumulative Abnormal Return	en_US
dc.subject (關鍵詞)	Propensity Score Matching	en_US
dc.title (題名)	社會責任指數之加入與剔除對股東財富之影響	zh_TW
dc.title (題名)	The shareholder effects of social index addition or deletion	en_US
dc.type (資料類型)	thesis	en
dc.relation.reference (參考文獻)	Barnea, A., & Rubin, A. Corporate Social Responsibility as a Conflict Between Shareholders. [10.1007/s10551-010-0496-z]. Journal of Business Ethics. Becchetti, L., R. & Hasan, I. (2007). Corporate Social Responsibility and Shareholder’s Value: An Event Study Analysis. Working Paper, Federal Reserve Bank of Atlanta. Bertrand, M., & Mullainathan, S. (2003). Enjoying the Quiet Life? Corporate Governance and Managerial Preferences. The Journal of Political Economy, 111(5), 1043-1075. Cowen, S. S., Ferreri, L. B., & Parker, L. D. (1987). The impact of corporate characteristics on social responsibility disclosure: A typology and frequency-based analysis. [doi: DOI: 10.1016/0361-3682(87)90001-8]. Accounting, Organizations and Society, 12(2), 111-122. Dhaliwal, D. S., Lee, K. J., & Fargher N. L. (1991). The association between unexpected earnings and abnormal security returns in the presence of financial leverage*. Contemporary Accounting Research, 8(1), 20-41. Dutton, J. E., & Dukerich, J. M. (1991). Keeping an Eye on the Mirror: Image and Identity in Organizational Adaptation. The Academy of Management Journal, 34(3), 517-554. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. [doi: DOI: 10.1016/0304-405X(93)90023-5]. Journal of Financial Economics, 33(1), 3-56. Fombrun, C., & Shanley, M. (1990). What`s in a Name? Reputation Building and Corporate Strategy. The Academy of Management Journal, 33(2), 233-258. Fombrun, C. J., & Gardberg, N. A. (2000). Opportunity platforms and safety nets: Corporate citizenship and reputational risk. [Article]. Business & Society Review (00453609), 105(1), 85. Frey, B. S., & Oberholzer-Gee, F. (1997). The Cost of Price Incentives: An Empirical Analysis of Motivation Crowding- Out. The American Economic Review, 87(4), 746-755. Jensen, M. C., & Meckling, W. H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. [doi: DOI: 10.1016/0304-405X(76)90026-X]. Journal of Financial Economics, 3(4), 305-360. Karlsson, J & Yana C. (2008). Does Corporate Social Responsibility Pay off? – An Event Study of the Impact of Corporate Entry and Exit from the Dow Jones Sustainability World Index on the Market Value of a Company. Unpublished Advanced level Thesis, School of Business, Economics and Law, Goteborg University. Lee E Preston, & Douglas P O`Bannon. (1997). The corporate social-financial performance relationship. Business and Society, 36(4), 419-429. Martin Curran, M., & Moran, D. (2007). Impact of the FTSE4Good Index on firm price: An event study. [doi: DOI: 10.1016/j.jenvman.2006.02.010]. Journal of Environmental Management, 82(4), 529-537. McGuire, J. B., Alison, S., & Schneeweis, T. (1988). Corporate Social Responsibility and Firm Financial Performance. The Academy of Management Journal, 31(4), 854-872. Montiel, I. (2008). Corporate Social Responsibility and Corporate Sustainability: Separate Pasts, Common Futures. Organization & Environment, 21(3): 245-269. Newgren, K. A., Rasher, M. LaRoe & M. Szabo. (1985) Environmental Assessment and Corporate Performance: A Longitudinal Analysis Using Market-Determined Performance Measures. Research in Corporate Social Performance and Policy, 7(1), 153–164 O`Connor, M., & Spangenberg, J. H. (2008). A methodology for CSR reporting: assuring a representative diversity of indicators across stakeholders, scales, sites and performance issues. [doi: DOI: 10.1016/j.jclepro.2007.08.005]. Journal of Cleaner Production, 16(13), 1399-1415. Porter, M. E. & M. R. Kramer. (2006). Strategy & Society: The Link Between Competitive Advantage and Corporate Social Responsibility. Harvard Business Review,84(12), 78-92. Posner, R. A. (1975). The Social Costs of Monopoly and Regulation. The Journal of Political Economy, 83(4), 807-827. Rosenbaum, P. R., & Rubin, D. B. (1985). Constructing a Control Group Using Multivariate Matched Sampling Methods That Incorporate the Propensity Score. The American Statistician, 39(1), 33-38. Rubin, D. B., & Thomas, N. (1992). Characterizing the Effect of Matching Using Linear Propensity Score Methods with Normal Distributions. Biometrika, 79(4), 797-809. Ruf, B., Muralidhar, K., Brown, R., Janney, J., & Paul, K. (2001). An Empirical Investigation of the Relationship Between Change in Corporate Social Performance and Financial Performance: A Stakeholder Theory Perspective. [10.1023/A:1010786912118]. Journal of Business Ethics, 32(2), 143-156. Shen, C., & Chang, Y. (2009). Ambition Versus Conscience, Does Corporate Social Responsibility Pay off? The Application of Matching Methods. Journal of Business Ethics, 88, 133. Brammer, S., Brooks,C. & Pavelin, S. (2006). Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures. Financial Management, 35(3), 97-116. Waddock, S. A., & Graves, S. B. (1997). The Corporate Social Performance-Financial Performance Link. Strategic Management Journal, 18(4), 303-319. Walley, N.& B. Whitehead. (1994). It’s Not Easy Being Green. Harvard Business Review, 72, 2–7	zh_TW

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