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題名：企業社會責任投資組合財務績效實證研究
作者：許峰睿
作者(外文)：Feng-Jui Hsu
校院名稱：國立中興大學
系所名稱：財務金融學系所
指導教授：陳育成
林盈課
學位類別：博士
出版日期：2013
主題關鍵詞：企業社會責任；產品安全；高經理人薪酬；KLD；公司的研發及創新；無形資產；Corporate Social Responsibility；Product Safety；High Compensation；KLD；Research and Development；Intangible Asset
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本論文主要探討三大研究主題，第一篇研究主題為無形資產低估、第二篇為無形資投資組合績效：考慮產品安全與經理人薪酬、第三篇為企業社會責任與公司績效：產品責任是重要因素。
研究主題一發現擁有好的企業社會責任及品牌的公司長期股票報酬優於S&P500指數，顯示公司的品牌、企業社會責任受到市場低估。此外，研究中更發現投資人傾向於低估企業社會責任價值更甚於品牌價值。
在研究主題二，本研究進一步以公司聲譽、勞雇關係、品牌、社會道德等無形資產及KLD Research & Analytics企業社會責任資料庫分析無形資產投資組合績效。實證結果顯示，具有多個無形資產特性的投資組合績效優於單一無形資產特性的投資組合及市場投資組合。這表示投資人不只低估無形資產的重要性，更忽略公司治理對股票報酬的影響。此結果顯示若投資人重視公司的無形資產評價，有機會獲得較佳的投資組合報酬。
研究主題三連結企業社會責任與公司績效表現。企業社會責任費用的支出對公司財務績效的影響各有正、反方的支持意見。本研究將各種不同的企業社會責任活動加以考慮並試圖發現新的實證結果。研究設計中考慮二個主要因素：產品安全、公司的研發及創新(R&D)，以釐清企業社會責任與公司績效表現的關聯。實證結果指出，R&D對公司的ROE 及 Tobin’s q有正面助益。但是，消費者對不良產品的安全顧慮卻會摧毀R&D產生的正面效益，特別對ROA, ROE,及公司效率分數影響最大。這也說明了與產品安全相關的活動有效的解釋了企業社會責任與公司績效表現的衡量因子。
The dissertation is composed of three research topics. First one is discussed in the chapter 2 titled “The Undervalue of Intangible Assets”. Second is presented in the chapter 3 titled “Investment Performance of Intangible Assets: a Further Consideration of Product Safety and High Compensation”. The last is exhibited in the chapter 4 titled “Corporate Social Responsibility and Firm Performance -- Yes, Product Liability Matters”.
Chapter 2 investigates the investment performance of the top 40 firms listed on the annual surveys of Fortune, Business-Week, and Business Ethics. The finding indicates that both good corporate social responsibility (CSR) firms and good brand firms outperform the benchmark S&P500 market index, suggesting the undervalue of good CSR firms and of good brand firms. We also find that the undervaluation of good CSR firms is more serious than that of good brand firms. Investors could make excess returns from the undervalue of CSRP and BP, which are ranked on the top lists of the four surveys.
Chapter 3 explores the investment performance of selected portfolios which focus on intangible assets, such as a firm’s reputation, employee relations, brand quality, and social ethics. Corporate social responsibility investment is also investigated using the KLD Research & Analytics database. The evidence indicates that the performance of portfolios based on multi-indicator intangible assets significantly outperforms those of single-indicator intangible assets and the benchmark index returns. It appears that investors underestimate the value of intangible assets and the importance of corporate governance, suggesting that investment performance could potentially be improved by raising awareness in the undervaluation of intangible assets.
Chapter 4, recent studies reveal the link between corporate social responsibility (hereafter CSR) and firm performance is not clearly established. The proponents argue that CSR has a positive impact on firm reputation, in turn, is a feeder to increase firm’s value. The opponents claim that CSR is expensive and inconsistent with the preeminent goal of maximizing shareholder return. This study conjectures the inconsistent empirical findings can be attributed to the CSR measure includes a wide variety of CSR activities, i.e., various CSR activities generate differential weight and/or differential impacts on firm’s performances. Focusing on two product-related CSR characteristics, i.e., product safety and R&D, this study investigates the association between CSR and firm’s performances. The empirical results reveal that R&D is positively associated with firm’s ROE and Tobin’s q. However, the product safety concern prominent deteriorates the positive impacts of R&D on firm’s performance measures, particularly, ROA, ROE, and Efficiency Score. It suggests the important role of product safety concern in explaining the association between product-related activities of corporate social responsibility and firm’s performance measures.
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