| dc.description.abstract | 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.
| en_US |