企業社會責任對台灣企業股價異常報酬率影響之事件研究

Abstract

本研究主要探討企業社會責任獲獎宣告對不同產業股價所造成之影響，利用GARCH市場模式納入虛擬變數檢測企業社會責任獲獎對於所有得獎企業和不同產業之企業的影響，實證結果發現：一、獲獎宣告對於所有得獎企業平均而言，沒有正向的顯著影響，且由天下雜誌獲獎宣告日前一日有負向的顯著結果。二、各產業受到獲獎宣告的異常報酬率反應並不一致。三、本篇研究整理出面對獲獎宣告產生正向異常報酬及負向異常報酬產業以供投資人及公司企業參考。四、獲獎宣告的負向異常報酬或不顯著效果多發生在高科技產業。

This study examines the influence to the stock market of corporate social responsibility prize awarded announcement. It evaluates the stock price for those corporates winning the prize, comparing to the Taiwan Stock Exchange and industry index, this research adopts GARCH market model with dummy variables to estimate abnormal returns on the pre- and post- of announcement. The results are listed in the following: First, in the event period for all rewarded corporates, there are no positive significance in abnormal returns, but a negative significance at the day before announcement. Second, there are different abnormal returns in different industries. Third, this study provides the information to the investors and corporations for which industry has positive abnormal return and negative abnormal return. Finally, in the event period, the negative significance effect and not significance effect are mostly occurs in high-tech industry.