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123
臺大管理論叢
第
28
卷第
1
期
Variables
Model (M1)
Model (M2a)
Model (M2b)
Model (M3a)
Model (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
10.12
1.55
7.50
1.25
6.26
1.00
7.39
1.23
CSR
T
0
3.88
1.55
3.57
1.41
3.86
1.54
5.01
1.63
3.88
1.54
CAR
[–
T
4,
T
0]
0.46*** 11.53
0.46*** 11.42
0.46*** 11.49
0.46***
0.46
0.46
11.50
TURN
[–
T
4,
T
0]
–6.93*** –4.45
–7.00*** –4.48
–6.92*** –4.43
–6.96*** –4.46
–6.92*** –4.44
MV
[–
T
4,
T
0]
0.09
0.12
–0.26
–0.32
0.09
0.12
0.23
0.31
0.11
0.16
P/B
[–
T
4,
T
0]
–4.97*** –4.50
–4.95*** –4.48
–4.95*** –4.46
–4.96*** –4.47
–5.03*** –4.53
MEDIA
[
T
0,
T
1]
–
–
1.80
1.03
–
–
–
–
–
–
SRso
[
T
0,
T
1]
–
–
–0.42
–0.11
–
–
–
–
–
–
MR
[
T
0,
T
1]
–
–
–
–
–0.78
–0.23
–
–
–
–
CSR
T
0
*MEDIA
[
T
0,
T
1]
–
–
–
–
–
–
–1.72
–0.71
–
–
CSR
T
0
*SRso
[
T
0,
T
1]
–
–
–
–
–
–
–0.26
–0.04
–
–
CSR
T
0
*MR
[
T
0,
T
1]
–
–
–
–
–
–
–
–
2.03
0.47
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
4
refers to the period 90 days prior to CSR award announcements; time
T
0
refers to the CSR award announcements in the current year;
Times
T
1
refers to the period 5 days after 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.