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

The Effect of Corporate Social Responsibility Performance on Financial Risk 286 B, the results are qualitatively similar to those in panel A. The results indicate that the information asymmetry effect is weaker than the information precision effect, so the cost of capital will be decreased as we find that the information regarding CSR decreases the cost of capital for both CSR strength score and CSR concern score. When we separate the CSR performance into seven CSR dimensional performances, the results are presented in panel C. The results show that COMMUNITY is significantly negatively correlated with FRET1 (-0.167, t = -1.68; -0.010, t = -1.98) (non-standardized and standardized value), ENVIRONMENT is significantly negatively correlated with FRET1 (-0.273, t = -1.64) (non-standardized value), EP_EPSPI (-10.680, t = -2.09) (non-standardized value), and EP_EPSPX (-10.510, t = -2.00) (non-standardized value), DIVERSITY is significantly negatively correlated with FRET1 (-0.428, t = -3.75; -0.024, t = -2.18) (non-standardized and standardized value), EP_EPSPI (-12.300, t = -1.40; -0.811, t = -1.45) (non- standardized and standardized value), and EP_EPSPX (-12.190, t = -1.40; -0.818, t = -1.48) (non-standardized and standardized value), EMPLOYEE is significantly negatively correlated with R_HAT_MARKET (-37.580, t = -2.02; -1.316, t = -1.64) (non-standardized and standardized value), EP_EPSPI (-5.568, t = -1.32) (non-standardized value), and EP_ EPSPX (-5.825, t = -1.39) (non-standardized value), and PRODUCT is significantly negatively correlated with R_HAT_FF (-37.720, t = -4.68; -2.119, t = -4.60) (non- standardized and standardized value), with the exception of PRODUCT (0.223, t = 1.46) (non-standardized value) and HUMAN (0.011, t = 1.65) (standardized value) which are slightly positively correlated with FRET1 . Similarly, GOVERNANCE is significantly positively correlated with FRET1 (1.461, t = 5.26; 0.023, t = 1.77) (non-standardized and standardized value), R_HAT_MARKET (44.810, t = 1.39) (non-standardized value), R_ HAT_FF (40.550, t = 1.64) (non-standardized value), EP_EPSPI (29.470, t = 1.57; 1.127, t = 1.47) (non-standardized and standardized value), and EP_EPSPX (29.340, t = 1.56; 1.125, t = 1.46) (non-standardized and standardized value). However, when we aggregate seven CSR dimensions’ performances into one index, CSRCOMPOSIT , there is a significantly negative relation between the CSR performance and EP ratio, which is at least significant at a 10% significance level under one-tailed test in panel D. Therefore, this shows that superior CSR performance reduces the cost of capital, and the hypotheses are supported. Nevertheless, we find that CSR performance regarding corporate governance may lower a firm’s risk, but increase the cost of capital of a firm. Although there is a positive association between corporate governance and the cost of capital, the corporate governance dimension is distinct from other social and environmental