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媒體聲譽對企業社會責任得獎企業其股市表現與財務績效之影響
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4.2 The Relationship between CSR and Stock Market Returns
The patterns illustrated earlier in Figures 7 and 8, which described the variations in
media reputation, revealed obvious changes in media coverage and news sentiment in the
5-day period around the CSR award announcement date.
Figures 3 and 4 revealed structural variations in the evolution of stocks returns and
CARs in the 60- and 120-trading-day periods after CSR award announcements, and the
90-day period after the point when the structural variation of the event becomes more
significant than during other periods.
We therefore carry out examinations of the 5-day impact of media reputation on the
market performance of the firms prior to and after CSR award announcements over both
short- and longer-term periods after the event day, including 20, 40, 60, 90 and 120 days.
17
Our empirical results show that the signaling effect of the receipt of a CSR award (CSR
dummy) has a significantly positive effect on stock returns during the 90-day periods after
the award announcement, with the coefficient on the CSR dummy variable ranging
between 5.43 and 6.72.
However, no significant impact of the CSR effect is discernible on CARs, regardless
of whether this is measured over short- or longer-term periods after the event date. This
finding is consistent with the evolution illustrated in Figures 3 and 4. Furthermore, as
shown in Table 8, the media reputation prior to the announcement date has no effect on
either stock returns or CARs, regardless of whether the returns are calculated over short-
or longer-term periods.
17 Due to space considerations, Tables 8 and 9 report only the 90-day stock market performance results;
however, the results on all other periods are available from the authors upon request.