強摘果實不甜?探究市場對CSR報告書負面反應的原因

Abstract

政府要求符合要件的上市櫃公司應編製企業社會責任報告書，預期此舉將提升非財務資訊透明度、降低資訊不對稱，然而研究卻發現企業社會責任報告書發布時之三日累積異常報酬平均數顯著小於零。本研究由揭露內容、投資人偏好以及公司資源的角度，試圖了解報告書發布時市場呈負面反應之因素，並探究強制揭露政策本身對市場反應所造成的影響。 本文發現企業社會責任報告書負面語調之市場反應大於正面語調，顯示負面語調較有資訊內涵；而企業現金股利率愈高，較容易吸引追求短期報酬的投資人，對報告書發布時的反應愈負面；同時當公司面臨財務壓力且投信持股比例愈高，對報告書發布時之市場反應有負面影響。本文也發現，市場對於強制揭露之報告書反應更為負面，顯示其企業社會責任表現與自願揭露者有差距。

Since 2014, the government in Taiwan has required certain types of companies to prepare for independent corporate social responsibility reports. The report is expected to enhance the transparency and reduce information asymmetry between the management and shareholders. However, studies had found the average cumulated abnormal returns surrounding the issuance of CSR reports are significantly less than zero. The purpose of this study is to understand the reasons for this negative market reaction. We also use text mining to classify the tone of CSR report to discern the relationship. We find that, on average, the market reacts to the negative information but not the positive information in the CSR report. In addition, cash constrained firms, firms with higher dividend payout ratio, and firms that attracted more institutional investors from the investment trust suffer more negative market reaction upon CSR announcement. In the additional test, we find that investors react more negatively to mandatory CSR reports even when they disclose positive tone. It implies that their social responsibility performance is different from that of those voluntary disclose firms.