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

The Effect of Corporate Social Responsibility Performance on Financial Risk 284 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 FC -0.011 -0.010 0.028* 0.028* 0.005 0.005 -0.220 -0.216 (-0.20) (-0.18) (1.70) (1.74) (0.96) (0.96) (-1.31) (-1.28) Post-FC -0.051 -0.049 0.054** 0.055** 0.009 0.009 -0.179*** -0.175*** (-1.06) (-1.04) (2.11) (2.10) (1.38) (1.40) (-2.84) (-2.77) Post-Enron -0.058 -0.051 -0.018 -0.014 -0.008 -0.008 0.244* 0.263* (-1.16) (-1.01) (-1.19) (-0.93) (-0.86) (-0.89) (1.78) (1.93) CONS 0.578*** 0.298* 0.522*** 0.334*** 0.257*** 0.268*** 0.577 -0.268 (2.70) (1.77) (6.41) (12.22) (9.24) (10.48) (1.31) (-0.79) N 8519 8519 8519 8519 8519 8519 8519 8519 adj. R 2 0.018 0.018 0.207 0.206 0.053 0.053 0.094 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.