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

295 NTU Management Review Vol. 30 No. 2 Aug. 2020 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 -0.011** -0.005* -0.003** -0.212*** -0.045** (-1.99) (-1.47) (-1.71) (-4.08) (-2.20) 0.007*** -0.001 0.001 0.229** 0.051* (2.72) (-0.05) (0.19) (2.08) (1.61) -0.011** -0.001* -0.003** -0.030*** -0.045** (-1.99) (-1.47) (-1.71) (-4.08) (-2.20) 0.007*** -0.000 0.001 0.033** 0.051* (2.72) (-0.05) (0.19) (2.08) (1.61) -0.004 0.105* 0.000 -0.458 -0.026** (-1.22) (1.62) (0.09) (-1.11) (-1.95) -0.005** 0.020 0.002 -0.753* -0.023 (-1.74) (0.27) (0.65) (-1.47) (-0.93) -0.002 -0.033* -0.002 -0.436** -0.006 (-0.63) (-1.28) (-0.60) (-2.37) (-0.27) -0.001 -0.059 -0.003 -0.574** -0.016 (-0.48) (-1.17) (-1.21) (-1.99) (-0.84) -0.009** -0.066** -0.005*** 0.253 0.003 (-2.14) (-1.85) (-2.57) (0.70) (0.16) CSR_CON and TOTAL_CSR_CON on β L (standardized value) turn to be insignificant, but the coefficients of CSR_STR and TOTAL_CSR_STR on cov ( L i , R m ) (standardized value) turn to be significant. For cost of capital regressions, the coefficients of COMMUNITY on FRET1 turn to be insignificant, but the coefficients of COMMUNITY on EP_EPSPI and EP_EPSPX turn to be significant, etc. Furthermore, GOVERNANCE still has a positive relationship with the cost of capital, and the composite index of CSR performance still significantly negatively related with the cost of capital. Thus, CSR variables are not endogenous variables.