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

The Effect of Corporate Social Responsibility Performance on Financial Risk 308 Variable Definition HML the Fama and French (1993) risk factor, is the average return on the two value portfolios minus the average return on the two growth portfolios (book- to-market ratio) β L an coefficient on liquidity factor in Pástor and Stambaugh (2003) four-factor model β M an coefficient on market factor in Pástor and Stambaugh (2003) four-factor model cov ( L i , R m ) the R 2 from the following regression by firm and year: % ∆DPI i , t = α i + β i ,1 MKTRET m , t –1 + β i ,2 MKTRET m , t + β i ,3 MKTRET m , t +1 + ε i , t cov ( L i , L m ) the R 2 from the following regression by firm and year: % ∆DPI i , t = α i + β i ,1 % ∆DPI m , t –1 + β i ,2 % ∆DPI m , t + β i ,3 % ∆DPI m , t +1 + ε i , t DPI | R | PVO , R is the monthly percentage price change, P is price, and VO is the trading volume % ∆DPI the monthly percentage change in DPI MKTRET the monthly country-level market return (CRSP value-weighted return including distributions) FRET1 the measure is compounded the twelve monthly returns R_HAT_MARKET the estimated expected return which is estimated by regressing the stock return on the market return (value-weighted CRSP returns) for each firm-year observation in the past five years R_HAT_FF the estimated expected return which is estimated by regressing Fama-French three-factor model EP_EPSPI the earnings-to-price ratio by using earnings per share including extraordinary items as the earnings EP_EPSPX the earnings-to-price ratio by using earnings per share excluding extraordinary items as the earnings SIZE the natural log of market value of equity BTM annual book value of equity divided by market value of equity STDRET the standard deviation of monthly stock returns ILLIQ the average annually DPI , which is multiplied by 1000 STD_SALES_ME The standard deviation of total sales deflated by mean sales, calculated over the last five fiscal years LOSS The proportion of years that the firm experienced a loss in the last five fiscal years SALES_GROWTH The logged value of the change in sales over the prior year (r.f. Fu et al ., (2012) log(GRWOTH) ) CYCLE The operating cycle based on inventory turnover and accounts receivable turnover as calculated by the total of the number of days in accounts receivable and inventory, divided by 365