碩士 / 國立彰化師範大學 / 財務金融技術學系 / 103 / In this master thesis, I employ annual data of listed-firms on Shanghai Stock Exchange through 2009 to 2013 to examine the linkage between corporate social responsibility (CSR) and firm risk. While existing studies have well documented on cost and benefit on firm’s engaging in CSR, little study is focus on the effect of CSR on operating risk of firm and also on the background of fast-growing Chinese listed firms.
To measure CSR, first, firm including Shanghai Stock Exchange Social Responsibility Index is defined as CSR-firm, otherwise, it is a nonCSR-firm, it is the proxy of short-term CSR. Second, the accumulated years of firm’s engaging in CSR is the proxy of accumulated performance on CSR. Third, whether firm is always included in Shanghai Stock Exchange Social Responsibility Index is equal to one, otherwise, it is zero, serves as the proxy of long-term or persistent performance on CSR. I calculate nine risk indicators as firm’s risk proxies, namely, standard deviation of original daily stock returns, standard deviation of daily stock returns relative to market returns, standard deviation of daily stock price, beta coefficient, VaR(90%), VaR(95%), VaR(99%), standard deviation of quarterly returns on assets and standard deviation of quarterly returns on equity.
Empirical evidence shows that firm with CSR tends to have lower stock returns volatility and accounting performance, means that firm’s engaging in CSR helps firms to enjoy lower stock market performance volatility and lower operational uncertainty. Firm’s doing CSR has benefit of lower risk.
| Identifer | oai:union.ndltd.org:TW/103NCUE5316030 |
| Creators | Liao Chien Wen, 廖千雯 |
| Contributors | 張元 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 61 |
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