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

The Effect of Corporate Social Responsibility Performance on Financial Risk 282 β L Non-standard β L Standard cov ( L i , L m ) Non-standard cov ( L i , L m ) Standard cov ( L i , R m ) Non-standard cov ( L i , R m ) Standard β M Non-standard β M Standard STD_SALES 0.105 0.109 -0.002 -0.002 -0.006 -0.006 -0.318* -0.299* (1.27) (1.35) (-0.10) (-0.09) (-0.63) (-0.59) (-1.90) (-1.80) LOSS 0.036 0.034 -0.023*** -0.023*** 0.010 0.010 0.127 0.121 (0.57) (0.55) (-3.14) (-3.14) (1.29) (1.20) (1.10) (1.07) SALES_GROWTH -0.043** -0.042** 0.004 0.004 0.001 0.001 -0.039 -0.037 (-2.51) (-2.50) (0.89) (0.88) (0.51) (0.57) (-1.38) (-1.29) CYCLE 0.069*** 0.068*** -0.007 -0.007 0.006* 0.007* -0.028 -0.031 (3.35) (3.31) (-1.59) (-1.56) (1.88) (1.89) (-0.63) (-0.68) INTENSITY -0.015 -0.005 0.033** 0.032** 0.002 0.002 0.091 0.126 (-0.17) (-0.05) (2.20) (2.32) (0.15) (0.11) (0.51) (0.73) CASH_RATIO -0.012 -0.011 0.004 0.004 0.004 0.004 -0.000 0.000 (-0.58) (-0.56) (1.08) (1.05) (1.03) (1.03) (-0.01) (0.00) FC -0.010 -0.010 0.027* 0.029* 0.005 0.006 -0.217 -0.215 (-0.18) (-0.18) (1.66) (1.75) (0.94) (0.98) (-1.32) (-1.29) Post-FC -0.050 -0.050 0.051** 0.055** 0.005 0.008 -0.193*** -0.168*** (-0.93) (-1.06) (2.01) (2.09) (0.74) (1.35) (-2.68) (-2.66) Post-Enron -0.048 -0.052 -0.016 -0.014 -0.008 -0.007 0.258* 0.280** (-0.91) (-0.97) (-1.05) (-0.89) (-0.84) (-0.81) (1.82) (2.02) CONS 0.521 0.305 0.504*** 0.332*** 0.192* 0.263*** -0.105 -0.387 (1.00) (1.54) (4.44) (11.15) (1.93) (8.55) (-0.11) (-1.08) N 8519 8519 8519 8519 8519 8519 8519 8519 adj. R 2 0.018 0.018 0.207 0.206 0.055 0.054 0.095 0.094 Note: All variables are calculated as described in the Appendix A. Note: t statistics in parentheses.* p < 0.1, ** p < 0.05, *** p < 0.01, the p -values are based on standard errors clustered by firm and year. The significance of CSR variables are based on one-tailed or two-tailed tests according to our hypotheses, and others are based on two-tailed tests.