Corporate social responsibilities and stock returns: Stochastic dominance approach

doi:10.5897/AJBM10.714

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/72362

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题名:	Corporate social responsibilities and stock returns: Stochastic dominance approach
作者:	Lean, Hooi Hooi;Chang, Yuan
贡献者:	淡江大學財務金融學系
关键词:	Corporate social responsibility;stochastic dominance
日期:	2011-02
上传时间:	2013-06-13 11:21:43 (UTC+8)
出版者:	Lagos: Academic Journals
摘要:	Empirical studies which examine corporate social responsibility (CSR) and financial performance employed accounting and market-based indicators as performance proxies. As the ultimate goal of a typical firm is maximizing its profits, while for a typical public company, the goal is to maximize its stockholder’s wealth. Thus, based on stock returns distribution, the study employ stochastic dominance (SD) approach to examine relative performance between CSR versus non-CSR firms which are compiled by the Global Views Monthly from July, 2005 to August, 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. Most of the evidence shows the dominance in stock returns of non-CSR firms relative to the CSR firms. Thus, investors in Taiwan do not price CSR for their investment decision.
關聯:	African Journal of Business Management 5(4), pp.1277-1285
DOI:	10.5897/AJBM10.714
显示于类别:	[財務金融學系暨研究所] 期刊論文

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