本文以KLD STATS提供之企業CSR分數，從六大構面（環境（Environment）、社會（Community）、員工關係（Employee Relation）、多樣性（Diversity）、產品（Product）、人權（Human Rights））實證CSR對於股票超額報酬是否具有顯著的正向影響。參考Kempf and Osthoff (2007)的研究，本文共建立四種篩選方法，並發現以產業調整（Best-in-Class）後之買高賣低（買進高CSR投資組合並賣出低CSR投資組合）策略最能為投資人賺得超額報酬。而基於企業的角度，公司須考量其所在產業，可以適時投入「人權議題」等CSR活動，進而提升其股票報酬。此外，承襲Galema et al. (2008)的研究，本文認為CSR對於股票報酬之影響應為「間接」，並以CSR虛擬變數與Carhart (1997)四因子進行交乘項迴歸分析。本文實證發現，CSR對於股票報酬具「中介效果（Mediating Effect）」，即企業投入CSR可以調整其在市場、規模、價值以及動能之曝險水準，進而間接提供其股票報酬推升的助力。

Through constructing four screening strategies (Negative, Positive, Best-in-Class and Combination), I test the relationship between Corporate Social Responsibility (CSR) and Corporate excess returns (Alpha). As in Kempf and Osthoff (2007), the Best-in-Class strategy provides the best performance. And the portfolio invested in “Human Rights” wins significant positive Alpha, which can be a good target for companies to invest in (in order to enhance its stock returns). The most insignificant results can be pointed to the “Mediating Effect” of CSR on excess returns. By lowering the coefficients and influencing the Market (Beta), Size, Value or Momentum premium, CSR can indirectly enhance stock returns with lowered factor loadings in a corporation’s market Beta, size, value or past returns (momentum).

論文審定書…………………………………………………….…..... i
中文摘要…………………………………………………….…... ii
英文摘要………………………………………..……………..…….... iii
第 一 章 緒 論……………………………………………….…..… 1
第 二 章 文 獻 回 顧………..…………………………...………. 2
第一節 企業社會責任與公司財務績效…………………..…….. 2
第二節 企業社會責任構面………………………………..…….. 7
第三節 Fama-French因子模型與風險調整……………..…….. 9
第 三 章 研 究 設 計………………..…..………………...…….. 11
第一節 研究架構…………………………………………..…. 11
第二節 研究方法……………………………………………... 13
第三節 資料說明…………………………………………..…… 14
第 四 章 實 證 結 果………………..…..………………...…… 17
第一節 敘述統計…………………………………………..…… 17
第二節 超額報酬迴歸分析…………………………………….. 18
第三節 交乘項迴歸分析………………………………….……. 19
第四節 穩健性測試………………………………………..…… 20
第 五 章 結 論………………..…..………………………...…… 20
參考文獻…………………………………………..…………….…… 21
附錄……………………………………………………….....………… 39

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