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

The Effect of Corporate Social Responsibility Performance on Financial Risk 292 Table 9 Cost of Capital Regression Analysis Controlled for Industry E ff ects FRET1 Non-standard FRET1 Standard R_HAT_MARKET Non-standard R_HAT_MARKET Standard Panel A: Model 1 CSR_STR -0.188*** -0.036*** -1.829* -0.366 (-5.86) (-3.47) (-1.36) (-0.65) CSR_CON -0.248*** -0.026** -4.929** -0.100 (-4.20) (-1.87) (-2.22) (-0.22) Panel B: Model 2 TOTAL_CSR_STR -0.027*** -0.036*** -0.261* -0.366 (-5.86) (-3.47) (-1.36) (-0.65) TOTAL_CSR_CON -0.036*** -0.026** -0.704** -0.100 (-4.20) (-1.87) (-2.22) (-0.22) Panel C: Model 3 COMMUNITY -0.169** -0.011** 1.561 -0.093 (-1.75) (-2.32) (0.11) (-0.30) ENVIRONMENT -0.327** 0.001 0.126 -0.086 (-1.98) (0.23) (0.01) (-0.18) DIVERSITY -0.435*** -0.025** 3.774 0.287 (-4.28) (-2.35) (0.22) (0.21) EMPLOYEE -0.092 -0.002 -39.160** -1.315* (-0.78) (-0.33) (-2.10) (-1.60) PRODUCT 0.238** 0.004 5.339 0.151 (1.65) (0.51) (0.94) (0.73) GOVERNANCE 1.471*** 0.025** 48.290* 0.915 (5.34) (2.18) (1.45) (0.63) HUMAN 0.536 0.012** -1.443 0.136 (1.14) (1.77) (-0.08) (0.36) Panel D: Model 4 CSRCOMPOSIT 0.083 -0.006 15.590 -0.059 (0.18) (-0.63) (0.83) (-0.15) 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.