社會責任表現較佳的公司有較低的股價崩盤風險嗎？－來自上海證券交易所的證據

Does Social Responsibility Help Decreasing Stock Price Crash Risk?- Evidence from Listed Companies on Shanghai Stock Exchange

張元(Yuan Chang)；涂峻瑋(Chun-Wei Tu)；許敏政(Ming-Cheng Hsu)

企業社會責任 ； 股價崩盤風險 ； Corporate Social Responsibility ； Stock Price Crash Risk

兩岸金融季刊

5卷2期（2017 / 06 / 01）

23 - 66

繁體中文

近年來隨著企業經營環境的變化與管理思潮的變遷，愈來愈多的公司將企業社會責任(Corporate Social Responsibility；CSR)做為所必須投入的活動之一。既有研究已大量探討公司社會責任投入程度與公司經營與非經營指標的影響，較少探討公司的社會責任作為將如何影響公司在金融市場出現崩跌的可能性，如果公司經營太過關注於股東利益，將愈有可能使得該種狀態在越過某臨界點時，讓其餘的利害關係人權益惡化或喪失的狀態被突顯出來，進而使公司在營運以及金融市場上受到負面影響，例如失去商譽、財務績效惡化並導致股價異常暴跌等惡果。本研究根據中國上海證券交易所所編制的上證社會責任指數(SSE Social Responsibility Index)以量化公司社會責任的衡量指標，參考Kim, Li and Li (2014)的研究，以公司年度股票報酬率的偏態係數、負報酬率平方合相對正報酬率平方和兩種方式來衡量股價崩盤風險，分析2009~2014 年間公司企業社會責任表現如何影響股價的崩盤風險。實證結果顯示企業社會責任與股價崩盤風險呈現正向關聯，有較佳社會責任表現的公司對應著相對較高的崩盤風險，與Kim, Li and Li (2014)的研究結論相反，本研究以公司承擔企業社會責任有可能產生過度投資以及惡化代理問題來解釋，企業社會責任需要投入資源，過度投資以及代理成本有可能相當大，進而使公司股價崩盤的可能性增加。

In recent years, the management practice and academics have paid more and more attention on Corporate Social Responsibility (CSR) such that a corporation has to take care of not only stockholders but also all stakeholders surrounding business. In addition to business cases and management practice devoted wider and greater resource on CSR, academically, existing literature has also well documented on various kinds of benefits as well costs and empirically examined linkages between firm's performance on CSR and economic consequences. Following Kim, Li and Li (2014), this paper examines whether firm's performance on CSR increases or decreases firm's downside risk on stock market performance, namely, stock price crash risk. By referring to Kim, Li and Li (2014), the first measure of crash risk is the negative conditional skewness of stock returns, and the second one is bottom-up volatility measure. To measure CSR, three indicators of CSR are constructed based on annual name-list of the SSE Social Responsibility Index of Shanghai Stock Exchange. The data covers the period of 2009 to 2014. Basic empirical result shows that higher performance on CSR is associated with greater crash risk that is explained by agency cost may outweigh positive feedback by engaging in CSR.

1. Kao, H.,Shiu, Y. M.,Lin, C. H.(2016).Does Engagement in Corporate Social Responsibility Reduce Firm Risk? Evidence from China.Journal of Management,33,501-529.
   連結：
2. Shen, C. H.,Chang, Y.(2008).Taking Corporate Social Responsibilities Improves Financial Performance?-Evidence from FTSE4GOOD UK Index.Academia Economic Papers,36,339-385.
   連結：
3. 池祥萱、池祥麟、梁綺羚(2016)。企業社會責任之策略性分析。管理評論，35(1)，21-45。
   連結：
4. Minor, D. B. and J. Morgan (2010), “CSR as Reputation Insurance: Primum Non Nocere,” working Paper, Haas School of Business, UC Berkeley.
5. (2015)。金融服務之概論與實務。臺灣金融服務業聯合總會。
6. Barnea, A.,Rubin, A.(2010).Corporate Social Responsibility as a Conflict between Shareholders.Journal of Business Ethics,97,71-86.
7. Becchetti, L.,Ciciretti, R.,Hasan, I.,Kobeissi, N.(2012).Corporate Social Responsibility and Shareholder's Value.Journal of Business Research,65,1628-1635.
8. Cespa, G.,Cestone, G.(2007).Corporate Social Responsibility and Managerial Entrenchment.Journal of Economics and Management Strategy,16,741-771.
9. Chang, Y.,Chen, T. H.,Chou, H. H.,Shen, Y. F.(2014).Corporate Social Responsibility and Analyst's Recommendation.International Review of Accounting, Banking and Finance,6,1-42.
10. Chang, Y.,Hsieh, C. H.,Wang, T.C.,Hsieh, T. Y.(2014).Corporate Social Responsibility, Cost of Equity and Cost of Bank Loan.International Review of Accounting, Banking and Finance,6,99-143.
11. Cheng, B.,Ioannou, I.,Serafeim, G.(2014).Corporate Social Responsibility and Access to Finance.Strategic Management Journal,35,1-23.
12. Chih, H. L.,Shen, C. H.,Kang, F. C.(2008).Corporate Social Responsibility, Investor Protection, and Earnings Management: Some International Evidence.Journal of Business Ethics,79,179-198.
13. Choi, B. B.,Lee, D.,Park, Y.(2013).Corporate Social Responsibility, Corporate Governance and Earnings Quality: Evidence from Korea.Corporate Governance: An International Review,21,447-467.
14. Chung, R.,Firth, M.,Kim, J.(2002).Institutional Monitoring and Opportunistic Earnings Management.Journal of Corporate Finance,8,29-48.
15. Cornell, B.,Shapiro, A. C.(1987).Corporate Stakeholder and Corporate Finance.Financial Management,16,5-14.
16. Dechow, P.,Sloan, R.,Sweeney, A.(1996).Causes and Consequences of Earnings Manipulation: An Analysis of Firms Subject to Enforcement Actions by the SEC.Contemporary Accounting Research,13,1-36.
17. Dhaliwal, D. S.,Li, O. Z.,Tsang, A. H.,Yang, Y. G.(2014).Corporate Social Responsibility Disclosure and the Cost of Equity Capital: The Roles of Stakeholder Orientation and Financial Transparency.Journal of Accounting and Public Policy,33,328-355.
18. EI Ghoul, S.,Guedhami, O.,Kwok, C. Y.,Mishra, R.(2011).Does Corporate Social Responsibility Affect the Cost of Capital?.Journal of Banking and Finance,35,2388-2406.
19. Friedman, M.(1970).The Social Responsibility of Business Is to Increase Its Profits.The New York Times Magazine,13, September
20. Gelb, D. S.,Strawser, J. A.(2001).Corporate Social Responsibility and Financial Disclosure: An Alternative Explanation for Increased Disclosure.Journal of Business Ethics,33,1-13.
21. Godfrey, P.(2005).The Relationship between Corporate Philanthropy and Shareholder Wealth: A Risk Management Perspective.Academy of Management Review,30,777-798.
22. Godfrey, P.,Merrill, C.,Hansen, J.(2009).The Relationship between Corporate Social Responsibility and Shareholder Values: An Empirical Test of the Risk Management Hypothesis.Strategic Management Journal,30,425-445.
23. Goss, A.,Roberts, G. S.(2011).The Impact of Corporate Social Responsibility on the Cost of Bank Loans.Journal of Banking and Finance,35,1794-1810.
24. Hemingway, C. A.,Maclagan, P. W.(2004).Managers' Personal Values as Drivers of Corporate Social Responsibility.Journal of Business Ethics,50,33-44.
25. Hildebrand, D.,Sen, S.,Bhattacharya, C. B.(2011).Corporate Social Responsibility: A Corporate Marketing Perspective.European Journal of Marketing,45,1353-1364.
26. Hutton, A. P.,Marcus, A. J.,Tehranian, H.(2009).Opaque Financial Reports, R2, and Crash Risk.Journal of Financial Economics,94,67-86.
27. Ioannou, I.,Serafeim, G.(2015).The Impact of Corporate Social Responsibility on Investment Recommendations: Analysts' Perceptions and Shifting Institutional logics.Strategic Management Journal,36,1053-1081.
28. Jensen, M. C.(2001).Value Maximization, Stakeholder Theory, and the Corporate Objective Function.Journal of Applied Corporate Finance,14(3)
29. Jensen, M. C.,Meckling, W. H.(1976).Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure.Journal of Financial Economics,3,305-360.
30. Jiao, Y.(2010).Stakeholder Welfare and Firm Value.Journal of Banking and Finance,34,2549-2561.
31. Jin, L.,Myers, S. C.(2006).R2 around the World: New Theory and New Tests.Journal of Financial Economics,79,257-292.
32. Kao, H.,Fung, H. G.,Li, Q.(2014).What Explains Corporate Social Responsibility Engagement in Chinese Firms?.Chinese Economy,47,50-80.
33. Kim, J. B.,Li, Y.,Zhang, L.(2011).Corporate Tax Avoidance and Stock Price Crash Risk: Firm Level Analysis.Journal of Financial Economics,100,639-662.
34. Kim, J. B.,Li, Y.,Zhang, L.(2011).CFO vs. CEO: Equity Incentives and Crashes.Journal of Financial Economics,101,713-730.
35. Kim, J. B.,Zhang, L.(2016).Accounting Conservatism and Stock Price Crash Risk: Firm-level Evidence.Contemporary Accounting Research,33,412-441.
36. Kim, Y.,Li, H.,Li, S.(2014).Corporate Social Responsibility and Stock Price Crash Risk.Journal of Banking and Finance,43,1-13.
37. Kim, Y.,Park, M. S.,Wier, B.(2012).Is Earnings Quality Associated with Corporate Social Responsibility?.The Accounting Review,8,761-796.
38. Kim, Y.,Statman, M.(2012).Do Corporations Invest Enough in Environmental Responsibility?.Journal of Business Ethics,105,115-129.
39. Lee, D. D.,Faff, R.(2009).Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective.Financial Review,44,213-237.
40. Lee, M. T.(2016).Corporate Social Responsibility and Stock Price Crash Risk: Evidence from An Asian Emerging Market.Managerial Finance,42,963-979.
41. Liang, H.,Renneboog, L.(2017).On the Foundations of Corporate Social Responsibility.Journal of Finance,72,853-910.
42. Lins, K. V.,Servaes, H.,Tamayo, A.(2017).Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis.Journal of Finance
43. Luo, Q.,Hachiya, T.(2005).Corporate Governance, Cash Holdings, and Firm Value: Evidence from Japan.Review of Pacific Basin Financial Markets and Policies,8,613-636.
44. Luo, X.,Bhattacharya, C. B.(2006).Corporate Social Responsibility, Customer Satisfaction, and Market Value.Journal of Marketing,70,1-18.
45. McWilliams, A.,Siegel, D.(2000).Corporate Social Responsibility and Financial Performance: Correlation or Misspecification?.Strategic Management Journal,21,603-609.
46. McWilliams, A.,Siegel, D.,Wright, P. M.(2006).Corporate Social Responsibility: Strategic Implications.Journal of Management Studies,43,1-18.
47. Peloza, J.(2006).Using Corporate Social Responsibility as Insurance for Financial Performance.California Management Review,48,52-72.
48. Petrovits C.(2006).Corporate-sponsored Foundations and Earnings Nanagement.Journal of Accounting and Economics,41,335-362.
49. Preston, L. E.,O' Bannon, P.(1997).The Corporate Social-Financial Performance Relationship.Business and Society,36,419-429.
50. Prior, D.,Surroca, J.,Tribo, J.(2008).Are Socially Responsible Managers Really Ethical? Exploring the Relationship between Earnings Management and Corporate Social Responsibility.Corporate Governance: An International Review,16,160-177.
51. Segarra, A.,Teruel, M.(2014).High-Growth Firms and Innovation: An Empirical Analysis for Spanish Firms.Small Business Economics,43,805-821.
52. Shen, C. H.,Chang, Y.(2009).Ambition versus Conscience, Does Corporate Social Responsibility Pay off?-The Application of Matching Methods.Journal of Business Ethics,88,133-153.
53. Van de Velde. E.,Vermeir, W.,Corten, F.(2005).Corporate Social Responsibility and Financial Performance.Corporate Governance: The international journal of business in society,5,129-138.
54. Waddock, S.,Graves, S.(1997).The Corporate Social Performance-Financial Performance Link.Strategic Management Journal,18,303-319.
55. Wu, M. V.,Shen, C. H.(2013).Corporate Social Responsibility in the Banking Industry: Motives and Financial Performance.Journal of Banking and Finance,37,3529-3547.
56. Yermack, D.(2006).Board Members and Company Value.Financial Markets Portfolio Management,20,33-47.
57. 林景暄、張元、林淑惠(2017)。經理人過度自信與企業社會責任的關聯。2017企業倫理與社會責任精進學術研討會論文
58. 許孟書、張元、陳俞如(2017)。產業競爭與企業社會責任。2017年台灣財務金融學會年會論文
59. 趙德樞(2008)。國政研究報告國政研究報告,國家政策研究基金會。

1. 陳英祥,姚名鴻,林靖傑,林文祥(2023)。中美貿易戰事件、社會責任資訊揭露與公司治理對股價異常報酬影響－以科技業為例。中山管理評論，31(3)，447-479。
2. (2020)。企業社會責任與股票報酬之英美市場實證研究。臺灣銀行季刊，71(4)，21-52。