Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23353
標題: The Performance of Social Responsibility Investment
社會責任投資之績效探討
作者: 黃瑋雯
Huang, Wei-Wen
關鍵字: corporate social responsibility
企業社會責任
social responsibility investment,
intangible asset valuation
社會責任投資
無形資產評價
出版社: 財務金融系所
引用: 參考文獻 一、 中文部分 1. 天下雜誌調查「天下企業公民」,天下雜誌第367, 393, 416, 452期。 2. 中華公司治理協會http://www.cga.org.tw/ 3. 中華民國證券暨期貨發展基金會,資訊接露評鑑http://www.sfi.org.tw/edis/ 4. 台灣企業社會責任協會 http://www.csrtaiwan.org/index.php 5. 世界企業永續發展協會 http://www.wbcsd.org/ 6. 企業永續發展整合資訊網 7. 沈中華、張元 (2008),「企業的社會責任行為可以改善財務績效嗎?-以英國FTSE 社會責任指數為例」,經濟論文,第36 卷,第3 期,頁339-385 8. 林佳瑩,企業社會責任績效與財務績效及無形資產價值之相關性研究-以台灣資訊電子產業為例,國立交通大學科學管理所碩士班論文,民國98年 9. 陳裕仁(2003),「員工紅利及董監酬勞對企業經營績效及股票報酬影響之研究」,國立台北大學會計學研究所碩士論文。 10. 程芝萱,台灣地區社會責任投資組合之績效探討,國立臺灣大學管理學院碩士在職專班財務金融組碩士論文,民國98 年。 11. 遠見雜誌調查「遠見雜誌企業社會責任獎」,2005~2010年遠見雜誌,「企業社責任」,第228, 239, 251, 262, 274, 285 期。 12. 富邦社會責任基金公開說明書。 13. 楊雨雯(2002),「台灣員工認股權與員工分紅對公司績效影響之研究」,元智大學金融研究所碩士論文。 14. 顏信輝、顏裕芳,無形資產衡量對台灣股票評價攸關性之研究-股市週期與產業別之影響, 2001年會計理論與實務研討會。 二、西文部分 1. Aigner, D. J. (2006), “Corporate Social Responsibility and the Bottom Line,” Working Paper, Paul Merage School of Business, University of California. 2. AMERICA''S MOST ADMIRED COMPANIES - from FORTUNE magazine http://money.cnn.com/magazines/fortune/mostadmired/2011/index.html 3. Anderson, J. and G. Smith (2006), “A Great Company Can Be a Great Investment,” Financial Analysts Journal, 62, 86–93. 4. Domini-Social-Equity-Fund, http://www.domini.com/domini-funds/Domini-Social-Equity-Fund/index.htm 5. Domini Social Investments, http://www.domini.com/ 6. Domini-Social-Equity-Fund, http://www.domini.com/domini-funds/Domini-Social-Equity-Fund/index.htm 7. DJSI, http://www.sustainability-indexes.com/ 8. FTSE4Good Index Series http://www.ftse.com/Indices/FTSE4Good_Index_Series/index.jsp 9. Dzinkowski, R.(2000), “The measurement and management of intellectual capital:An introduction,” Management Accounting, Vol.78, No.2, pp.32-36. 10. Hamel, G. (1994), “Competing for the future”, Harvard Business Review, 72(4), 122-128. 11. Interbrand, Best Global Brands Methodology, http://www.interbrand.com/ 12. Long, Richard, 1978, The effects of employee ownership on organizational identification, employee job attitudes and organizational performance: A tentative framework and empirical findings, Human Relations 31 (1), 29-48. 13. Joseph D. Piotroski (2000), “Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers.” Journal of Accounting Research 38 14. Jensen, M. C., and W. H. Meckling, (1976), “Theory of the Firm: Managerial Behavior, Agency Cost and Ownership Structure,” Journal of Financial Economics , 3, 305-360. 15. Jeroen Derwall, Nadja Guenster, Rob Bauer, and Kees Koedijk(2005)“The Eco-Efficiency Premium Puzzle,”Financial Analysts Journal, 61, 2, 51-63 16. Mcconnell, J.J., and Servaes, H., (1990), “Additional Evidence on Equity Ownership and Corporate Value,” Journal of Financial Economics, 27, 595-612 17. McDaniel, William R. Jeff Madura and Kenneth J. Wiant, 1995, Performance following ESOP formations by publicly-held corporations, Journal of Economics and Finance 19 (3), 147-169. 18. McWilliams, A. and D. Siegel (2001), “Corporate Social Responsibility: A Theory of the Firm Perspective,” Academy of Management Review, 26, 117–127. 19. N. Kreander, R.H. Gary, D.M. Power, C.D. Sinclair (2002)“The financial Performance of European Ethical Funds 1996~1998” Journal of Accounting and Finance, 1, 3-22 20. Rob Bauer, Kees Koedijk , Roge’r Otten(2005)“International evidence on ethical mutual fund performance and investment style,”Journal of Banking & Finance, 29, 1751–1767 21. Sveiby K., Methods of measuring intangible assets, http://www.sveiby.com/ 22. SRI World Group http://www.sriworld.com/ 23. Verschoor, Curtis C. (1998), “A Study of the Link Between A Corporation’s Financial Performance and its Commitment of Ethics,” Journal of Business Ethics, 17, 13, 1509-1516. 24. Xueming Luo and C.B. Bhattacharya (2006), “Corporate social responsibility, customer satisfaction, and market value”, Journal of Marketing, Vol.70, 1-18.
摘要: 隨著國際環保意識的高漲及公司治理觀念的深化,企業社會責任 (corporate social responsibility, CSR)履行漸獲重視,企業之社會責任也就無法單從經濟層面的獲利情形來決定。本研究首先檢視國內外社會責任基金與永續性指數之績效,並參考其選股方式,形成符合社會責任型企業為投資組合,進行績效評估,並探討此類投資組合是否存在顯著之超額報酬。實證結果顯示道瓊永續性指數(Dow Jones Sustainability Index)、天下CSR投資組合及富邦社會責任基金有顯著的超額報酬存在,而富時永續性指數系列(FTSE4Good Index Series)、財富雜誌(Fortune)之投資組合及遠見CSR投資組合並無顯著之超額報酬,故社會責任投資之績效並無一定論。故本研究擬以二元信號模型為投資組合建構基礎,並參考各社會責任型指數之評選標準,以社會環境、企業承諾及公司治理等三構面衡量台灣企業之社會責任履行程度,形成「社會責任型投資組合」,並以台灣大盤指數為標竿 (benchmark),進行投資績效之比較。結果顯示本研究建構之社會責任投資組合有明顯超越大盤之績效,適合一般追求穩健報酬之投資人列入投資組合之選股方向。換言之,本研究不僅可為投資人提供投資依據,並可作為政府鼓勵企業履行社會責任之理論依據,同時企業在公司經營上認知社會責任對提升公司價值之重要。
The concept of corporate social responsibility (CSR) becomes more and more important in the history of corporate governance. This research aims to investigate the fund and index performance of CSR portfolios in Taiwan and world stock market. The findings of the study show that the Dow Jones Sustainability Index、CommonWealth CSR portfolio、Fubon Social Responsibility Fund have significantly excess return, while FTSE4Good Index Series、KLD 400 Social Index、遠見CSR portfolio、Fortune CSR portfolio do not exhibit excess return than conventional benchmarks. Furthermore, based on the constructed procedure of CSR indices and funds, a local corporate social responsibility portfolio is established from three aspects, the social and environmental, corporate finance, and firm commitment, to evaluate a firm’s contribution to CSR. Applying the approach of binary signal model, utilize the model to discriminate winners from losers, along with intangible asset valuation, then use the market index as a benchmark for performance evaluation. The findings of this study show that the CSR portfolio this research constructed have significantly excess return. Therefore, investors could base on the relief of corporate social responsibility to construct their portfolio and the corporate should grand corporate social responsibility seriously in order to enhance the corporate value.
URI: http://hdl.handle.net/11455/23353
其他識別: U0005-2006201115282100
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2006201115282100
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