臺大管理論叢 NTU Management Review VOL.28 NO.1

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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
120
Variables
Model 1 (M1)
Model 2 (M2a)
Model 2 (M2b)
Model 3 (M3a)
Model 3 (M3b)
Coeff.
t value Coeff.
t value Coeff.
t value Coeff.
t value Coeff.
t value
Panel B: Dependent variable:
CAR
[T
0,
T
4]
Constant
7.53
1.25
10.73
1.60
7.71
1.28
6.11
0.93
7.58
1.25
CSR
T
0
3.88
1.55
3.64
1.45
3.86
1.54
4.84
1.60
3.88
1.55
CAR
[–
T4,
T
0]
0.46*** 11.53
0.46*** 11.51
0.47*** 11.61
0.46***
0.46
0.46
11.53
TURN
[–
T
4,
T0]
–6.93*** –4.45
–6.85*** –4.37
–6.85*** –4.39
–6.97*** –4.46
–6.93*** –4.45
MV
[–
T4,
T
0]
0.09
0.12
–0.33
–0.41
0.04
0.05
0.24
0.32
0.08
0.11
P/B
[–
T4,
T
0]
–4.97*** –4.50
–4.83*** –4.36
–4.79*** –4.30
–4.92*** –4.40
–4.96*** –4.40
MEDIA
[–
T1,
T
0]
–
–
2.07
1.09
–
–
–
–
–
–
SRso
[–
T
1,
T
0]
–
–
–4.62
–1.09
–
–
–
–
–
–
MR
[–
T1,
T
0]
–
–
–
–
–5.47
–1.25
–
–
–
–
CSR
T
0 *MEDIA
[–
T1,
T
0]
–
–
–
–
–
–
–1.67
–0.56
–
–
CSR
T
0 *SRso
[–
T 1,
T 0]
–
–
–
–
–
–
–1.54
–0.21
–
–
CSR
T
0 *MR
[–
T1,
T
0]
–
–
–
–
–
–
–
–
–0.57
–0.08
Adj-
R
2
0.22
0.23
0.22
0.22
0.22
Note: The respective dependent variables in Panels A and B are ‘stock returns’ (
RET
) and ‘cumulative abnormal returns’ (
CAR
) at time
T
4 . Time
T
0 refers to the CSR award announcements in the current year; time –
T
4 refers to the period 90 days prior to CSR award announcements;
Times –
T
1 refers to the period 5 days prior to CSR award announcements; and time
T
4 refers to the period 90 days after the CSR award
announcements. Model 1, which is examined based upon Equation (14), includes the CSR dummy at time
T
0 , the lag term of the
dependent variable at time –
T
4 and the control variables at time –
T
4 ; Model 2, which is examined based upon Equation (15), includes the
CSR dummy at time
T
0 , the lag term of the dependent variable at time –
T
4 , the control variables at time –
T
4 and the media proxies at time
–T
1 ; Model 3, which is examined based upon Equation (16), includes the CSR dummy at time
T
0 , the lag term of the dependent variable
at time –
T
4 , the control variables at time –
T
4 and the CSR/media proxies interaction term at time –
T
1 . The abbreviation of variables refers
to Table 2. * indicates significance at the 10% level; ** indicates significance at the 5% level; and *** indicates significance at the 1% level.