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

The Effect of Corporate Social Responsibility Performance on Financial Risk 298 Table 11 Cost of Capital Regression Analysis Controlled for Reverse Causality FRET1 Non-standard FRET1 Standard R_HAT_MARKET Non-standard R_HAT_MARKET Standard Panel A: Model 1 CSR_STR -0.163*** -0.035** 1.669 0.250 (-3.88) (-2.37) (0.50) (0.36) CSR_CON -0.089** -0.012 -4.182* -0.636 (-1.80) (-0.99) (-1.57) (-1.11) Panel B: Model 2 TOTAL_CSR_STR -0.023*** -0.035** 0.238 0.250 (-3.88) (-2.37) (0.50) (0.36) TOTAL_CSR_CON -0.013** -0.012 -0.597* -0.636 (-1.80) (-0.99) (-1.57) (-1.11) Panel C: Model 3 COMMUNITY -0.032 0.001 0.714 -0.057 (-0.24) (0.14) (0.05) (-0.17) ENVIRONMENT -0.261** -0.003 8.287 0.098 (-1.79) (-0.62) (0.49) (0.12) DIVERSITY -0.369*** -0.029*** 11.250 1.090 (-2.71) (-2.57) (0.36) (0.50) EMPLOYEE -0.157** -0.001 -49.140** -1.692* (-1.70) (-0.46) (-1.74) (-1.29) PRODUCT 0.133 0.003 11.470** 0.362 (1.08) (0.37) (2.09) (1.03) GOVERNANCE 0.428*** 0.010* 67.650 2.194 (3.71) (1.56) (0.96) (0.88) HUMAN 0.548*** 0.003 -8.195 -0.212 (2.48) (0.54) (-0.38) (-0.59) Panel D: Model 4 CSRCOMPOSIT -0.641** -0.013** 38.100 0.536 (-2.25) (-2.14) (1.22) (0.85) 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.