企業社會責任與股票報酬-隨機優勢方法

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题名:	企業社會責任與股票報酬-隨機優勢方法
其它题名:	Corporate Social Responsibility and Stcok Returns- Stochastic Dominance Approach
作者:	張元
贡献者:	淡江大學財務金融學系
关键词:	企業社會責任;隨機優勢;Corporate Social Responsibility;Stochastic Dominance
日期:	2010
上传时间:	2011-07-05 22:59:36 (UTC+8)
摘要:	以股票報酬為基礎，本計畫利用Barrett and Donald (BD, 2003) and Linton et al. (LMW, 2005)所發展的隨機優勢方法分析台灣上市公司中被評等為社會責任型企業相對於未被評等者之相對優劣。使用隨機優勢方法的好處在於它不需考慮變數的分配特性，同時在分析股票報酬時亦不需假設投資人的效用函數型式。在資料方面，根據國內遠見雜誌所公布的企業社會責任調查為基礎，將國內20 家上市公司定義為社會責任型企業，其餘皆設定為非社會責任型企業，資料期間為2005 年6 月1 日至2009 年8 月31 日。透過同產業每家社會責任型公司對非社會責任型公司的隨機優勢交叉檢定，我們可以得到關於平均來說，社會責任型的公司在股票報酬上是否相對較佳的結論。這提供了投資人資金配置的一項參考。 Empirical studies which examine corporate social responsibility (CSR) and financial performance employed accounting- and market-based indicators as performance proxies. Because the ultimate goal of a typical firm is maximizing its profits, and for a typical public company is to maximize its stockholder’s wealth. Thus, based on stock returns, we employ stochastic dominance (SD) approach, developed by Barrett and Donald (BD, 2003) and Linton et al. (LMW, 2005), to examine relative performance between CSR- versus NonCSR-firms which compiled by the Global Views Monthly from June 1, 2005 to Aug 31, 2009. The advantage of SD approach is that it lightens the problems that can arise if the asset returns are not normally distributed because it utilizes the whole distribution of returns. Since SD is nonparametric, SD tests do not require any specific assumptions on investors’ utility function or the returns distribution of asset and thus avoid the joint test problem inherent in the standard approach. SD rankings also have direct interpretations in terms of expected utility and thus provide an appealing basis to relate investors’ revealed preferences to their risk attitudes. From descriptive statistics for CSR and non-CSR firms and cross SD tests between them, we could get the result about relative stock market performance between CSR and Non-CSR Firms. Investors could increase their wealth and expected utility by allocating funds from CSR-firms to NonCSR-firms or vise-versa.
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