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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/50833


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    題名: 企業社會責任相關新聞對於企業股票報酬的影響(以台灣50為例)
    Impacts of CSR media coverage on corporate stock return
    作者: 魏匡劭
    Wei, Kuang Shao
    貢獻者: 吳啟銘
    Wu, Chiming
    魏匡劭
    Wei, Kuang Shao
    關鍵詞: 文字分析
    企業社會責任
    超額累積報酬率
    媒體報導
    Text Analysis
    Corporate Social Responsibility
    Cumulative Abnormal Returns
    Media Coverage
    日期: 2010
    上傳時間: 2011-09-29 16:47:53 (UTC+8)
    摘要: 本研究蒐集經濟日報、聯合報及聯合晚報的新聞文章，以中研院的中文斷詞系統進行結構性的處理，研究企業社會責任新聞，對於股價的報酬率是否有正面、負面的影響，而以台灣掛牌的企業為研究的標的(以台灣50為例)。
    本研究利用新聞文字，去判斷這個新聞是否與企業社會責任有關，而這次所利用的新聞，是台灣報章媒體的新聞，我們用這些新聞來測試新聞對投資人的投資行為、財富有沒有影響。
    本研究發現，正面的企業社會責任新聞帶來不顯著的累積超額負報酬，而負面的企業社會責任新聞，則會帶來顯著的股價宣告效果。這個現象是由於負面的企業社會責任新聞通常較正面的企業社會責任新聞難以被投資人所預期，因此相對正面的企業社會責任新聞，負面的企業責任新聞對於股價宣告效果有較顯著的影響。
    接著，本研究依據Michael Porter(2006)的研究，將企業社會責任新聞分為三類(一般、價值維護、價值創造)，我們發現企業社會責任新聞在其中一類，也就是「價值創造」，正面新聞對於股票的報酬有顯著正面影響。在調整了市場報酬並調整交易成本之後，我們發現投資人能利用以下的交易策略獲得超額正報酬。
    1. 買入有「價值創造」正面企業社會責任新聞的個股
    2. 放空有負面企業社會責任相關新聞、負面企業治理新聞的個股。
    綜合以上發現，本論文得到，企業社會責任新聞的傳播，確實影響了股票的報酬率，而投資人也可以因應企業社會責任新聞，來獲得超額正報酬。
    This study is to investigate whether CSR Media coverage has positive and negative impacts on corporate stock returns using Taiwan listed company sample data (0050.TT Taiwan Top 50). We use a simple text-analysis approach to quantify CSR (Corporate Social Responsibility) Chinese news at newspapers to test if CSR news influences investor behavior and shareholder wealth changes. This study discovers that, while positive CSR news bring in insignificant negative cumulative abnormal return, negative CSR news have significant impacts on stock announcement returns. The evidence supports the argument that corporate negative CSR news (compare with positive CSR news) is unexpected by investors and have significant impacts on investor risk concern and results in negative announcement returns. Secondly, we follow Michael Porter (2006), we decompose CSR good news into three categories, and we discover that CSR news related to value creation activities has significant positive stock returns. After we control well-known systematic risk and adjust transaction cost, this study discovers that Investors can earn significant positive returns using either long-only trading strategy for stocks with value-creation CSR good news and short-only trading strategy for bad news on corporate governance issues. Our findings suggest that the CSR information dissemination affects stock returns.
    參考文獻: Arx, U. V. and Ziegler, A. (2009). “The Effect of CSR on Stock Performance: New Evidence for the USA and Europe.” Working paper, CER-ETH.
    Chih, H. H., and Chin H. L., and Huang Y. T. (池祥萱、池祥麟和黃郁婷)(2007) "Doing Good with or without Being Known? The Impact of Media Coverage of Corporate Social Performance on Corporate Financial Performance", The 2nd World Business Ethics Forum, Hong Kong.
    Fama, E. F., and Kenneth R. French (1992). "The cross-section of expected stock returns." Journal of Finance 47.
    Fama, E. F. and K. R. French (1993). "Common risk factors in the returns on stocks and bonds." Journal of Financial Economics 33(1): 3-56.
    Fang, L. and Peress, J. (2009). “Media Coverage and the Cross-Section of Stock Returns.” Journal of Finance 64(5): 2023-2052.
    Hollander, S., M. Pronk, et al. (2010). "Does Silence Speak? An Empirical Analysis of Disclosure Choices During Conference Calls." Journal of Accounting Research 48(3): 531-563.
    Joe, J. R., Louis, H. and Robinson, D. (2009). “Managers` and Investors` Responses to Media Exposure of Board Ineffectiveness.” Journal of Financial and Quantitative Analysis 44(3): 579-605
    Pae, J. and Choi, T. H. (2011). “Corporate Governance, Commitment to Business Ethics, and Firm Valuation: Evidence from the Korean Stock Market.” Journal of Business Ethics 100(2): 323-348
    Patten, D. (2008). “Does the Market Value Corporate Philanthropy? Evidence from the Response to the 2004 Tsunami Relief Effort.” Journal of Business Ethics 81(3): 599-607
    Porter, M. E. and Kramer, M. R. (2006). "Strategy and Society: The Link Between Competitive Advantage and Corporate Social Responsibility." Harvard Business Review, 78-92.
    Tetlock, P. C. (2007). "Giving content to investor sentiment: The role of media in the stock market." Journal of Finance 62(3): 1139-1168.
    Tetlock, P. C., M. Saar-Tsechansky, et al. (2007). "More than words: Quantifying language to measure firms` fundamentals." Journal of Finance 63(3): 1437-1467.
    傅奇珅 (2010), 文字背後的意含-資訊的量化測量公司基本面與股價(以中鋼為例), 政治大學財務管理研究所
    郭先珍等編 (1996[民85]). 常用褒貶義詞語詳解詞典. 中國語言--修辭--字典,辭典, 北京：商務出版：新華發行.
    陳景揆 (2000). 探勘中文新聞文件中的概念關聯及趨勢, 雲林科技大學資訊管理研究所(未出版碩士論文).
    鍾尚倫 (2009). 新聞資訊與股票市場動態之關連性-報紙資訊對法人持股以及個股報酬率的影響, 臺灣大學商學研究所(未出版碩士論文).
    描述: 碩士
    國立政治大學
    財務管理研究所
    98357001
    99
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0983570012
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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