不同企業社會責任表現指標與股價報酬之關聯性

Abstract

本研究整理衡量台灣上市櫃企業社會責任表現之不同指標，並探討指標間一致性、對CSR報告書之依賴程度，以及各指標對股價報酬之影響。本研究以各指標開始年度至最近期評選結果公布年度為樣本期間，並透過四分相關（Tetrachoric Correlation）、概率單位模型（Probit Model）及簡單迴歸（Simple Regression）等方式進行實證分析。 研究結果顯示，用於衡量台灣企業之CSR表現之指標間存在中度一致性，且企業揭露CSR報告書會顯著增加獲評選為優良CSR企業之機率。從邊際效果之計算中，可以看出不同指標間對CSR表現之相關佐證資料關注程度存在顯著差異。但即使使用不同CSR表現指標，獲評選為優良CSR企業皆會有較低之股價報酬。進一步檢測則發現，獲評選為優良CSR企業雖會有較低之股價報酬，但其證券之風險值亦會降低，受總體經濟波動之影響較小。而自願揭露之CSR報告書較強制揭露之CSR報告書，更能提升獲評為優良CSR企業之機率。

This study is an introduction to the different indicators that measure the performance of Taiwan’s listed companies’ corporate social responsibility, and discusses the consistency between the indicators, their degree of dependence on the CSR report disclosed by the firms, and the impact of each indicator on stock price returns. This study conducts empirical analysis through Tetrachoric Correlation, Probit Model, and Simple Regression. Empirical results of the study show that there is moderate consistency between the indicators used to measure the CSR performance of Taiwanese companies, and that companies revealing CSR reports will significantly increase their chances of being selected as well performed CSR firms. From the calculation of the marginal effect, a significant difference in the degree of attention to the relevant supporting data on CSR performance between different indicators can be observed. However, independent of the CSR performance indicators used, companies selected as good CSR companies have lower stock returns than those that were not. Further analysis also revealed that, firm’s security risk will also be reduced upon being selected as good CSR companies, making it less sensitive to overall economic fluctuations. Voluntary disclosure of the CSR reports can increase the probability of being rated as a good CSR company than Mandatory disclosure of the CSR reports.