臺大管理論叢 NTU Management Review VOL.30 NO.2

267 NTU Management Review Vol. 30 No. 2 Aug. 2020 value of the strengths and their impacts on the moments of cash flows. Kim et al . (2014) investigate the relationship between CSR and stock price crash risk. They use social performance data from the KLD STATS database to compute an aggregate CSR score. The crash risk is measured by the conditional skewness of the return distribution derived from the CAPM. The findings support the conclusion that CSP mitigates future stock price crash risk, and that this mitigating effect is significant when firms have lower corporate governance ratings. Bae, Kang, and Wang (2011) look at whether CSR, in the form of fair employee treatment, leads to low leverage, which can be seen as capturing lower risk. El Ghoul et al . (2011) follow Hail and Leuz (2006) to compute the average cost of equity premium using four different models. The results show that US firms with higher CSR scores enjoy lower costs of equity capital. They also find that not all CSR dimensions are related to cost of equity. It is only when firms invest in improving employee relations, environmental policies, and product strategies do those investments contribute to the lowering of the cost of equity. From a global perspective, Feng et al . (2015) provide supporting evidence for the results of El Ghoul et al . (2011), finding that firms with superior CSR performance are associated with a reduced cost of equity capital in North America and Europe. 2.6 Hypothesis Development As mentioned above, the public and investors are gradually coming to value CSR more and more. A socially responsible firm will enjoy a lower risk and cost of capital (Heinkel et al . , 2001; Dhaliwal, Li, Tsang, and Yang, 2011). Therefore, investors who value CSR may affect corporate behavior and encourage corporations to improve their practices with regard to ESG issues. Prior research suggests that accounting information is related to market risk (beta) (Beaver et al . , 1970; Lambert et al . , 2007; Core et al . , 2008; Francis et al., 2005). Without taking into account illiquidity cost, the CAPM states that the required return on an asset increases with the covariance between the asset’s return and the market return. In this case, the market beta (market risk), or systematic risk, is the sensitivity of stock returns to unexpected changes in market return. However, as mentioned by Acharya and Pedersen (2005), liquidity risk may affect asset prices. They derive a liquidity-adjusted version of the CAPM and suggest that the expected return of a stock is affected by market risk, liquidity risk, and commonality in liquidity. Therefore, three liquidity risk factors are added to extend the standard CAPM. In the past, many studies suggest that accounting