本研究蒐集經濟日報、聯合報及聯合晚報的新聞文章,以中研院的中文斷詞系統進行結構性的處理,研究企業社會責任新聞,對於股價的報酬率是否有正面、負面的影響,而以台灣掛牌的企業為研究的標的(以台灣50為例)。
本研究利用新聞文字,去判斷這個新聞是否與企業社會責任有關,而這次所利用的新聞,是台灣報章媒體的新聞,我們用這些新聞來測試新聞對投資人的投資行為、財富有沒有影響。
本研究發現,正面的企業社會責任新聞帶來不顯著的累積超額負報酬,而負面的企業社會責任新聞,則會帶來顯著的股價宣告效果。這個現象是由於負面的企業社會責任新聞通常較正面的企業社會責任新聞難以被投資人所預期,因此相對正面的企業社會責任新聞,負面的企業責任新聞對於股價宣告效果有較顯著的影響。
接著,本研究依據Michael Porter(2006)的研究,將企業社會責任新聞分為三類(一般、價值維護、價值創造),我們發現企業社會責任新聞在其中一類,也就是「價值創造」,正面新聞對於股票的報酬有顯著正面影響。在調整了市場報酬並調整交易成本之後,我們發現投資人能利用以下的交易策略獲得超額正報酬。
1. 買入有「價值創造」正面企業社會責任新聞的個股
2. 放空有負面企業社會責任相關新聞、負面企業治理新聞的個股。
綜合以上發現,本論文得到,企業社會責任新聞的傳播,確實影響了股票的報酬率,而投資人也可以因應企業社會責任新聞,來獲得超額正報酬。 / This study is to investigate whether CSR Media coverage has positive and negative impacts on corporate stock returns using Taiwan listed company sample data (0050.TT Taiwan Top 50). We use a simple text-analysis approach to quantify CSR (Corporate Social Responsibility) Chinese news at newspapers to test if CSR news influences investor behavior and shareholder wealth changes. This study discovers that, while positive CSR news bring in insignificant negative cumulative abnormal return, negative CSR news have significant impacts on stock announcement returns. The evidence supports the argument that corporate negative CSR news (compare with positive CSR news) is unexpected by investors and have significant impacts on investor risk concern and results in negative announcement returns. Secondly, we follow Michael Porter (2006), we decompose CSR good news into three categories, and we discover that CSR news related to value creation activities has significant positive stock returns. After we control well-known systematic risk and adjust transaction cost, this study discovers that Investors can earn significant positive returns using either long-only trading strategy for stocks with value-creation CSR good news and short-only trading strategy for bad news on corporate governance issues. Our findings suggest that the CSR information dissemination affects stock returns.
Identifer | oai:union.ndltd.org:CHENGCHI/G0983570012 |
Creators | 魏匡劭, Wei, Kuang Shao |
Publisher | 國立政治大學 |
Source Sets | National Chengchi University Libraries |
Language | 中文 |
Detected Language | English |
Type | text |
Rights | Copyright © nccu library on behalf of the copyright holders |
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