Does CSR Factor Explain the Cross-sectional Variation of Stock Returns? Evidence from the Taiwan Stock Market

• Main Authors: HSIAO, CHIU-MING, 蕭秋銘
• Other Authors: LIN, WEN-CHANG
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/rvrcr3

博士 === 國立中正大學 === 財務金融系研究所 === 107 === The research objective of this study is to examine the impact of stakeholder risk on the stock returns of listed companies. By establishing the indicator of corporate social responsibility (CSR), this study first create a portfolio consisting of Taiwanese listed companies with the highest social responsibility (BestCSR) and a portfolio consisting of companies with the lowest social responsibility portfolio (WorstCSR), and uses their difference in return (WMB) to proxy the stakeholder risk premium. The empirical results reveal that, firms with greater CSR engagement tend to have lower beta risk in comparison with low-CSR firms. It suggests that investors demand for lower returns from high-CSR firms, hence lower firm’s capital costs will be lower. As such, high-CSR firms, ceteris paribus, have higher firm value and lower default risk. This study is the first to expand the Sharpe-Lintner-Mossin and Fama-French-Carhart models by including CSR factor in addition to the market risk and size factor to in the context of capital asset pricing model, and corroborates that stakeholder risk premiums can plausibly explain the cross-sectional variation in stock return. The CSR-based factor model developed in this study may play as a new method in determining firm value.