企業社會責任表現變動與股價報酬關聯之實證研究

Abstract

近年國際間社會責任投資 (socially responsible investment) 的快速發展，顯示企業社會責任已是投資人關心的重要活動；而無論自願性或強制性永續報告書 (sustainability report) 及整合報告書 (integrated report) 的編製，皆突顯利害關係人對相關活動資訊的需求與重視。過去研究顯示企業從事社會責任相關活動不僅為企業帶來多方效益，也因此承擔諸多成本。然而，當企業改變社會責任活動投入時，投資人如何評估企業價值的變化；且當社會責任活動投入改變之項目屬性不同時，投資人對企業價值的變化是否具有不同判斷，過去研究提供的證據仍相當有限。本研究參照Ball and Brown (1968) 的研究方法，使用股價報酬檢驗企業社會責任表現變動對股權價值的影響。具體而言，本研究檢驗：(1)、企業社會責任表現之變動，與股價報酬間是否存在任何關聯；(2)、企業社會責任表現變動與股價報酬間之關聯性，是否因其變動項目屬性係企業之正面作為 (優勢；最佳管理實務) 或負面作為 (劣勢；企業面臨之嚴重挑戰) 而不同。 實證結果顯示，當未考慮企業社會責任表現變動項目之屬性，而僅以整體評分衡量時，無法發現社會責任表現變動與股價報酬間具有顯著一致的關聯性。進一步依據變動項目屬性分別進行測試時，則發現優勢項目變動與股價報酬呈現顯著負向關聯 (優勢增加時，報酬較低)，但劣勢項目變動與股價報酬呈現顯著正向關聯 (劣勢改善時，報酬較高)。本研究之發現顯示企業投入資源於改善其所面臨之社會責任挑戰議題 (劣勢) 時，投資人可能認同其作為將可替股東創造價值；但企業一味地投入資源於追求最佳管理實務 (優勢) 時，可能傷害股東之利益。本研究提供企業改變社會責任活動資源投入時，對於股權價值影響的證據，並呈現將企業社會責任活動資訊依屬性區分之重要性，實證結果亦可提供經理人從事社會責任相關活動決策參考的依據。

The rapid development of socially responsible investment (SRI) worldwide in recent years indicates that corporate social responsibility (CSR) has been an important activity that investors are interested in. The voluntary or mandatory preparation of sustainability reports and integrated reports also highlight the demand and significance of information about CSR activities to the stakeholders of firms. Prior research indicates that there are various costs and benefits associated with firms’ CSR activities. However, it is not clear how investors adjust their perceived firm value when firms change their inputs in CSR activities. Besides, little is known about whether investors’ adjustment in perceived firm value differs when firms change their CSR activities in different nature, i.e. positive performance (strength; management best practices) and negative performance (concern; most serious challenges). Following Ball and Brown (1968), this study uses stock performance to examine the net effect of changes in CSR performance. Specifically, this study examines: (1) whether there is any association between changes in CSR performance and stock returns, and (2) whether the association between changes in CSR performance and stock returns is conditional on the nature of CSR activities. The empirical results show that, without considering the nature of CSR activities, changes in CSR performance do not have a significant correlation with stock returns. Further tests conditional on the nature of CSR activities reveal that for strength activities the changes in CSR performance have significantly negative associations with stock returns (firms with increase in strengths have lower returns), but for concern activities the changes in CSR performance have significantly positive associations with stock returns (firms with elimination in concerns have higher returns). The findings of this study indicate that managers could create value for their shareholders by engaging in CSR activities that address for serious challenges firms faced, while managers might destroy value for their shareholders by simply pursuing the best CSR practices. The findings of this study not only provide evidence of the effects on changes in equity value when firms change their inputs in CSR activities, but also highlight the importance of the distinction between information on different nature of CSR activities. These findings also provide important implications for managers in making CSR activities decisions.