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

The Effect of Corporate Social Responsibility Performance on Financial Risk 288 Table 7 Cost of Capital Regression Analysis FRET1 Non-standard FRET1 Standard R_HAT_MARKET Non-standard R_HAT_MARKET Standard Panel A: Model 1 CSR_STR -0.185*** -0.032*** -1.562 -0.224 (-5.44) (-2.84) (-1.09) (-0.40) CSR_CON -0.259*** -0.020 -4.716** 0.174 (-4.23) (-1.25) (-2.21) (0.53) Panel B: Model 2 TOTAL_CSR_STR -0.027*** -0.032*** -0.223 -0.224 (-5.44) (-2.84) (-1.09) (-0.40) TOTAL_CSR_CON -0.037*** -0.020 -0.674** 0.174 (-4.23) (-1.25) (-2.21) (0.53) Panel C: Model 3 COMMUNITY -0.167** -0.010** 2.082 -0.166 (-1.68) (-1.98) (0.15) (-0.56) ENVIRONMENT -0.273* 0.002 2.527 -0.195 (-1.64) (0.49) (0.28) (-0.37) DIVERSITY -0.428*** -0.024** 2.449 0.440 (-3.75) (-2.18) (0.14) (0.33) EMPLOYEE -0.087 -0.002 -37.580** -1.316* (-0.75) (-0.32) (-2.02) (-1.64) PRODUCT 0.223* 0.001 7.792 0.088 (1.46) (0.11) (1.23) (0.36) GOVERNANCE 1.461*** 0.023** 44.810* 0.925 (5.26) (1.77) (1.39) (0.66) HUMAN 0.594 0.011** -5.139 0.098 (1.24) (1.65) (-0.29) (0.26) Panel D: Model 4 CSRCOMPOSIT 0.141 -0.006 16.550 -0.097 (0.29) (-0.65) (0.82) (-0.26) 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.