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題名:企業社會責任因子是否能解釋股票報酬橫斷面變異?以臺灣股票市場為例
作者:蕭秋銘
作者(外文):HSIAO, CHIU-MING
校院名稱:國立中正大學
系所名稱:財務金融系研究所
指導教授:林文昌
學位類別:博士
出版日期:2019
主題關鍵詞:利害關係人風險企業社會責任資本資產定價模型Fama-French三因子模型橫斷面變異Stakeholder RiskCorporate Social ResponsibilityCAPMFama-French Three-factor ModelCross-sectional Variation
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本文主旨在於檢驗利害關係人風險(Stakeholder Risk)對上市公司的股票報酬率的影響。透過建立企業社會責任指標,本研究首先將台灣的上市公司組合成最佳社會責任投資組合(BestCSR)與最差社會責任投資組合(WorstCSR),並以其報酬率的差額(WMB)做為利害關係人風險溢酬(Stakeholder Risk Premium)的代理變數。研究結果發現, 投入較多CSR的公司其貝他風險比投入較少CSR公司之貝他風險低。顯示投資人對其必要報酬率要求較CSR投入較少的公司為低,因此其權益資金成本也會比較低,公司的價值隨之提高,違約風險亦隨之降低。其次,研究發現利害關係人風險溢酬可解釋股票報酬率的橫斷面變動。根據Sharpe-Lintner-Mossin以及Fama-French-Carhart的方法,本研究首次將利害關係人風險溢酬與市場超額報酬、公司規模因子,組合成一個包含企業社會責任因子的資本資產定價模型(CSR-embedded CAPM),並證明此模型可以解釋與CSR相關之股票報酬的橫斷面變異,對公司價值提出新的評價方法。
The research objective of this study is to examine the impact of stakeholder risk on the stock returns of listed companies. By establishing the indicator of corporate social responsibility (CSR), this study first create a portfolio consisting of Taiwanese listed companies with the highest social responsibility (BestCSR) and a portfolio consisting of companies with the lowest social responsibility portfolio (WorstCSR), and uses their difference in return (WMB) to proxy the stakeholder risk premium. The empirical results reveal that, firms with greater CSR engagement tend to have lower beta risk in comparison with low-CSR firms. It suggests that investors demand for lower returns from high-CSR firms, hence lower firm’s capital costs will be lower. As such, high-CSR firms, ceteris paribus, have higher firm value and lower default risk. This study is the first to expand the Sharpe-Lintner-Mossin and Fama-French-Carhart models by including CSR factor in addition to the market risk and size factor to in the context of capital asset pricing model, and corroborates that stakeholder risk premiums can plausibly explain the cross-sectional variation in stock return. The CSR-based factor model developed in this study may play as a new method in determining firm value.
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