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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
書刊名：臺灣銀行季刊
作者：蕭秋銘
出版日期：2020
卷期：71:3
頁次：頁33-57
主題關鍵詞：利害關係人風險；企業社會責任；資本資產訂價模型；Fama-French三因子模型；橫斷面變異
原始連結：連回原系統網址new window
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  • 共同引用共同引用:206
  • 點閱點閱:6
期刊論文
1.El Ghoul, Sadok、Guedhami, Omrane、Kwok, Chuck C. Y.、Mishra, Dev R.(2011)。Does corporate social responsibility affect the cost of capital?。Journal of Banking and Finance，35(9)，2388-2406。  new window
2.黃正忠(20060800)。21世紀企業全球佈局的通行證--企業社會責任。證券櫃檯，122，21-30。  延伸查詢new window
3.黃家齊(20000900)。企業社會績效研究--社會責任表現、企業聲望與財務績效關聯性之實證分析。亞太管理評論，5(3)，367-380。new window  延伸查詢new window
4.Makni, Rim、Francoeur, Calude、Bellavance, François(2009)。Causality between corporate social performance and financial performance: Evidence from Canadian firms。Journal of Business Ethics，89(3)，409-422。  new window
5.顧廣平(20020900)。臺灣上市（櫃）公司股東期望報酬橫斷面差異解釋因子之探討。亞太社會科技學報，2(1)，139-164。  延伸查詢new window
6.Barnea, Amir、Rubin, Amir(2010)。Corporate social responsibility as a conflict between shareholders。Journal of Business Ethics，97(1)，71-86。  new window
7.黃金生、游清芳、徐鼎欣(20140600)。Why High-dividend Yields Equate to High Returns in the Greater China Region。證券市場發展，26(2)=102，151-178。new window  延伸查詢new window
8.Melo, T.、Garrido-Morgado, A.(2012)。Corporate reputation: A combination of social responsibility and industry。Corporate Social Responsibility and Environmental Management，19(1)，11-31。  new window
9.吳淑鶯、陳瑞和、陳燕柔(20150500)。企業社會責任對消費者品牌關係影響之研究。中華管理評論，18(2)，(6)1-(6)27。  延伸查詢new window
10.許溪南、郭玟秀、李依靜(20081100)。反向策略的績效與獲利因子：臺灣股市之實證。中華管理評論，11(4)，(6)1-(6)25。  延伸查詢new window
11.McCarthy, Scott、Oliver, Barry、Song, Sizhe H.(2017)。Corporate social responsibility and CEO confidence。Journal of Banking and Finance，75(C)，280-291。  new window
12.吳幸蓁、陳漢鐘、戚務君(20170400)。誠信經營與企業社會責任報告書之揭露與確信。中華會計學刊，12特刊，423-470。new window  延伸查詢new window
13.Fama, Eugene F.、French, Kenneth R.(1995)。Size and Book-to-Market Factors in Earnings and Returns。The Journal of Finance，50(1)，131-155。  new window
14.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance，7(1)，77-91。  new window
15.周賓凰、張宇志、林美珍(20070700)。投資人情緒與股票報酬互動關係。證券市場發展季刊，19(2)=74，153-190。new window  延伸查詢new window
16.Chen, Nai-fu、Roll, Richard、Ross, Stephen A.(1986)。Economic Forces and the Stock Market。Journal of Business，59(3)，383-403。  new window
17.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance，51(1)，55-84。  new window
18.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance，52(1)，57-82。  new window
19.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics，33(1)，3-56。  new window
20.李春旺、劉維琪、高孔廉(19890700)。股價行為與規模效應：臺灣股票市場實證研究。管理評論，8(1)，99-121。new window  延伸查詢new window
21.洪榮華、雷雅淇(20020700)。公司規模、股價、益本比、淨值市價比與股票報酬關係之實證研究。管理評論，21(3)，25-48。new window  延伸查詢new window
22.黃瑞卿、蕭兆祥、呂進瑞(20120400)。臺灣股市條件資產定價模型之研究。管理與系統，19(2)，277-310。new window  延伸查詢new window
23.Ang, A.、Chen, J.(2005)。The CAPM over the Long Run: 1926-2001。Journal of Empirical Finance，14(1)，1-40。  new window
24.Becchetti, Leonardo、Ciciretti, Rocco、Hasan, Iftekhar(2015)。Corporate Social Responsibility, Stakeholder Risk, and Idiosyncratic Volatility。Journal of Corporate Finance，35，297-309。  new window
25.Becchetti, L.、Ciciretti, R.、Dalò, A.(2018)。Fishing the Corporate Social Responsibility Risk Factors。Journal of Financial Stability，37，25-48。  new window
26.Chen, R. C. Y.、Lee, C. H.(2017)。The Influence of CSR on Firm Value: An Application of Panel Smooth Transition Regression on Taiwan。Applied Economics，49(34)，3422-3434。  new window
27.Chen, C. H.、Hsiao, C. M.(2020)。Can International Standards Discriminate the Corporate Social Responsibility/Irresponsibility? Empirical Evidence from Taiwan。Journal of Business and Management Sciences，8(1)，28-37。  new window
28.Chen, S. J.、Chen, M. H.(2012)。Timing the Taiwan Stock Market: Simple Rotation vs. Sector Rotation。Journal of American Academy of Business，18(1)，310-317。  new window
29.De Haan, M.、Dam, L.、Scholtens, B.(2012)。The Drivers of the Relationship between Corporate Environmental Performance and Stock Market Returns。Journal of Sustainable Finance and Investment，2(3/4)，338-375。  new window
30.Deng, X.、Kang, J. K.、Low, B. S.(2013)。Corporate Social Responsibility and Stakeholder Maximization: Evidence from Mergers。Journal of Financial Economics，110，87-109。  new window
31.Halbritter, G.、Dorfleitner, G.(2015)。The Wages of Social Responsibility: Where Are They? A Critical Review of ESG Investing。Review of Financial Economics，26，25-35。  new window
32.Hall, J.、Vredenburg, H.(2004)。Sustainable Development Innovation and Competitive Advantage: Implications for Business, Policy and Management Education。Corporate Sustainability: Governance, Innovation Strategy, Development and Methods，6，129-140。  new window
33.Kao, E. H.、Yeh, C. C.、Wang, L. H.、Fung, H. G.(2018)。The Relationship between CSR and Performance: Evidence in China。Pacific-Basin Finance Journal，51，155-170。  new window
34.Nguyen, P. A.、Kecskés, A.、Mansi, S.(2020)。Does Corporate Social Responsibility Create Shareholder Value? The Importance of Long-Term Investors。Journal of Banking and Finance，112。  new window
35.Price, J. M.、Sun, W. B.(2017)。Doing Good and Doing Bad: The Impact of Social Responsibility and Irresponsibility on Firm Performance。Journal of Business Research，80，82-97。  new window
36.Renneboog, Luc、Ter Horst, Jenke、Zhang, Chendi(2008)。The Price of Ethics and Stakeholder Governance: The Performance of Socially Responsible Mutual Funds。Journal of Corporate Finance，14(3)，302-322。  new window
37.Steurer, R.、Martinuzzi, A.、Margula, S.(2012)。Public Policies on CSR in Europe: Themes, Instruments, and Regional Differences。Corporate Social Responsibility & Environmental Management，19(4)，206-227。  new window
38.Wang, Zhihong、Sarkis, Joseph(2017)。Corporate Social Responsibility Governance, Outcomes, and Financial Performance。Journal of Cleaner Production，162，1607-1616。  new window
39.李秀英、劉俊儒、楊筱翎(20110800)。企業社會責任與公司績效之關聯性。東海管理評論，13(1)，77-111。new window  延伸查詢new window
40.Waddock, Sandra A.、Graves, Samuel B.(1997)。The Corporate Social Performance-Financial Performance Link。Strategic Management Journal，18(4)，303-319。  new window
41.洪茂蔚、林宜勉、劉志諒(20070900)。動能投資策略之獲利性與影響因素。中山管理評論，15(3)，515-546。new window  延伸查詢new window
42.Ang, Andrew、Hodrick, Robert J.、Xing, Yuhang、Zhang, Xiaoyan(2006)。The Cross-section of Volatility and Expected Returns。The Journal of Finance，61(1)，259-299。  new window
43.Bénabou, Roland、Tirole, Jean(2010)。Individual and Corporate Social Responsibility。Economica，77(305)，1-19。  new window
44.Moskowitz, Milton R.(1972)。Choosing Socially Responsible Stocks。Business and Society Review，1(1)，71-75。  new window
45.王麗惠、郭憲章、吳壽山(20091000)。公司報酬演化階段與市價淨值比溢酬現象之探討。證券市場發展，21(3)=83，1-24。new window  延伸查詢new window
46.Babiak, Kathy(2010)。The role and relevance of corporate social responsibility in sport: A view from the top。Journal of Management & Organization，16(4)，528-549。  new window
47.Black, Fischer(1972)。Capital Market Equilibrium with Restricted Borrowing。Journal of Business，45(3)，444-455。  new window
48.Borghesi, R.、Houston, J. F.、Naranjo, A.(2014)。Corporate socially responsible investments: CEO altruism, reputation, and shareholder interests。Journal of Corporate Finance，26，164-181。  new window
49.Chui, Andy C. W.、Wei, K. C. John(1998)。Book-to-market, Firm Size, and the Turn-of-the-year Effect: Evidence from Pacific-Basin Emerging Markets。Pacific-Basin Finance Journal，6(3/4)，275-293。  new window
50.Clarkson, Max B. E.(1995)。A Stakeholder Framework for Analyzing and Evaluating Corporate Social Performance。The Academy of Management Review，20(1)，92-117。  new window
51.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance，25(2)，383-417。  new window
52.Fama, Eugene F.、French, Kenneth R.(2004)。The Capital asset pricing model: Theory and evidence。The Journal of Economic Perspectives，18(3)，25-46。  new window
53.Hillman, Amy J.、Keim, Gerald D.(2001)。Shareholder Value, Stakeholder Management, and Social Issues: What's the Bottom Line?。Strategic Management Journal，22(2)，125-139。  new window
54.Kassinis, G.、Vafeas, N.(2006)。Stakeholder Pressures and Environmental Performance。Academy of Management Journal，49(1)，145-159。  new window
55.Lintner, John(1965)。The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets。Review of Economics and Statistics，47(1)，13-37。  new window
56.McWilliams, Abagail、Siegel, Donald S.(2001)。Corporate Social Responsibility: A theory of the Firm Perspective。Academy of Management Review，26(1)，117-127。  new window
57.Mossin, Jan(1966)。Equilibrium in a Capital Asset Market。Econometrica，34(4)，768-783。  new window
58.Nelling, Edward、Webb, Elizabeth(2009)。Corporate Social Responsibility and Financial Performance: The 'Virtuous Circle' Revisited。Review of Quantitative Finance and Accounting，32(2)，197-209。  new window
59.Roll, Richard(1977)。A Critique of the Asset pricing Theory's Tests, Part I: On Past and Potential Testability of the Theory。Journal of Financial Economics，4(2)，129-176。  new window
60.Ross, Stephen A.(1976)。The Arbitrage Theory of Capital Asset Pricing。Journal of Economic Theory，13(3)，341-360。  new window
61.Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance，19(3)，425-442。  new window
62.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance，47(2)，427-465。  new window
63.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance，48(1)，65-92。  new window
64.方智強、姚明慶(19980900)。臺灣上市公司的淨值市價比現象。管理學報，15(3)，367-391。new window  延伸查詢new window
65.李春安、羅進水、蘇永裕(20060600)。動能策略報酬、投資人情緒與景氣循環之研究。財務金融學刊，14(2)，73-109。new window  延伸查詢new window
66.周賓凰、劉怡芬(20000400)。臺灣股市橫斷面報酬解釋因子：特徵、單因子、或多因子？。證券市場發展季刊，12(1)=45，1-32。new window  延伸查詢new window
67.顧廣平(20050700)。單因子、三因子或四因子模式？。證券市場發展季刊，17(2)=66，101-146。new window  延伸查詢new window
會議論文
1.李建瑩、林麗嬌(2009)。企業社會責任表現與財務績效關聯性研究--以本國金融業為例。第七屆管理學術研討會。  延伸查詢new window
研究報告
1.Ciciretti, R.、Dalò, A.、Dam, L.(2017)。The Price of Taste for Socially Responsible Investment。  new window
2.Hsiao, C. M.(2019)。An Optimal Expense Ratio on Corporate Social Responsibility。  new window
3.Lioui, A.、Poncet, P.、Sisto, M.(2018)。Corporate Social Responsibility and the Cross Section of Stock Returns。  new window
4.Akpinar, Anil、Jiang, Yiyi、Gomez-Mejia, Luis R.、Berrone, Pascual、Walls, Judith L.(2008)。Strategic Use of CSR as a Signal for Good Management。  new window
學位論文
1.沈念蓁(2018)。台灣企業社會責任與違約風險的關聯性(碩士論文)。國立中正大學。  延伸查詢new window
2.陳宣亦(2018)。企業社會責任報告書對利害關係人行為之影響(碩士論文)。淡江大學。  延伸查詢new window
3.陳泓志(2015)。企業社會責任行為與企業績效之關聯性研究(碩士論文)。國立臺灣大學。  延伸查詢new window
4.簡瑜君(2013)。企業社會責任與公司財務績效之關聯性研究--以台灣公司為例(碩士論文)。國立交通大學。  延伸查詢new window
圖書
1.Carroll, A. B.、Buchholtz, A. K.(2006)。Business and Society Ethics and Stakeholder Management。South-Western Thomson Learning Company。  new window
2.Ferrell, O. C.、Thorne, D. M.、Ferrell, L.(2010)。Social Responsibility and Business。Cengage Learning。  new window
3.Freeman, Robert Edward(1984)。Strategic Management: A Stakeholder Approach。Pitman。  new window
4.黃奇輔、Litzenberger, Robert H.(1988)。Foundations for Financial Economics。North-Holland。  new window
圖書論文
1.楊政學、俞慧芸(2014)。社會責任。企業倫理--倫理決策訂定與案例。華泰文化事業股份有限公司。  延伸查詢new window
2.Allouche, J.、Laroche, P.(2006)。The Relationship between Corporate Social Responsibility and Corporate Financial Performance: A Survey。Corporate Social Responsibility: Performance and Stakeholders。  new window
3.Moffett, M. H.、Stonehill, A. I.、Eiteman, D. K.(2009)。The Globalization Process。Fundamentals of Multinational Finance。Addison-Wesley。  new window
 
 
 
 
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