社會責任投資已成為一股新時代的潮流，但台灣既有之文獻多以探討企業社會責任與企業財務績效為主，社會責任投資之研究較為缺乏，因此，本文以獲選天下雜誌第一屆、第二屆以及第三屆企業公民獎之企業為研究對象，分析在評選結果公布後六個月、一年、兩年、三年以及四年的股價表現，以及這些企業相對於市場大盤、對照產業指數與對照公司的股票報酬。實證結果顯示，隨著資料期間增加，社會責任投資組合的標準差有減小的趨勢，且長期下低於對照產業指數與對照公司之標準差，代表獲獎企業的風險程度較低。但就平均日報酬與夏普指標而言，獲獎企業的表現並沒有顯著優於對照產業指數與對照公司。此外，本文運用Carhart (1997)四因子模型評估獲獎企業的績效表現，結果顯示在控制市場風險溢酬、規模大小、帳面市值比以及動能因子後，獲獎企業並無顯著的異常報酬，僅長期下的表現優於產業指數。而由市場風險溢酬、規模因子以及帳面市值比係數可以得知，獲選企業公民獎之企業對市場風險的敏感性顯著較低，且得獎企業以「大公司」為主，股票性質多為「成長股」。根據上述結果，若投資人選擇投資標的是以「風險」為考量，獲獎企業確實為一好的投資標的。但若投資人選擇投資標的是以「報酬」為前提，善盡企業社會責任的優良公司卻不一定是好的投資標的。It has become a new trend of Socially Responsible Investment. The researches mainly focus on the relationship between corporate social responsibility and corporate financial performance and lack of Socially Responsible Investment in Taiwan. Therefore, this study target at the corporations who earned the award of first, second and third Excelence in Corporate Social Responsibility of CommonWealth Magazine and examine the stock performance after the award release within six months, one year, two years, three years and four years. Besides, we also compare the performance of award companies with market, matching industry index and matching companies. The empirical result shows that as the time horizon increased, the standard deviation of SRI portfolio had a downward tendency and is smaller than matching industry index and matching companies in the long run. This result indicates the award companies have lower risk. But there is no different between award companies and matching industry index/matching companies on the part of equally daily return and Sharpe ratio. Furthermore, we apply Carhart (1997) 4-factor asset pricing model to examine the performance of award companies. The result demonstrates that there is no significant abnormal return in award companies when controlling for market risk, size, book-to-market and momentum and the performance is only better than matching industry index in the long run. And from the coefficient of market risk, size and book-to-market, we could know that award companies tend to have less exposure to the market portfolio, heavily exposed to “large caps” and are more “growth-oriented.” According to the empirical results, we suggest if “risk” is the primary consideration for investors when selecting investment target, award companies definitely are a good target. But if investor view “return” as the primary consideration, good companies excellent in corporate social responsibility are not sure a good target.
