本研究調查2020美股熔斷事件對臺灣股市的影響，並且檢驗致力於企業社會責任（CSR）的公司是否受到的影響比較小。本研究整理國內學者在撰寫論文時，經常使用之衡量企業社會責任表現的四種不同指標，將上市上櫃公司分成CSR公司與非CSR公司，並利用市場模型（Market Model）與三因子模型（Three Factor Model）計算異常報酬率，探討在此事件下指標間的一致性，及CSR公司受到的影響程度是否一致。
過往關於企業社會責任與股價報酬關聯性之研究，皆有支持派與反對派。實證結果顯示，美股熔斷事件導致所有股價產生顯著的異常報酬和累積異常報酬，無論市場模型或三因子模型，四種表現指標均有一致的結果。市場模式下CSR公司受到的影響比較小，股價相對能抵禦下跌；三因子模型下反而非CSR公司受到的影響比較小。這兩種方法呈現不同的結果也反映過去相關文獻中，企業社會責任與股價報酬的影響同時存在正向與反向關係。

This study investigates the impact of the 2020 U.S. stock market circuit breaker events on the Taiwan stock market and examines whether companies committed to corporate social responsibility (CSR) are less affected. The study compiles four different indicators commonly used by domestic scholars to measure corporate social responsibility performance. It categorizes listed and over-the-counter companies into CSR and non-CSR companies. The study then utilizes the market model and three-factor model to calculate abnormal returns to explore the consistency between these indicators during the event and whether CSR companies are affected to a lesser degree.

Previous studies on the relationship between corporate social responsibility and stock price returns have had both proponents and opponents. Empirical results indicate that the U.S. stock market circuit breaker events lead to significant abnormal returns and cumulative abnormal returns for all stocks, regardless of the market model or three-factor model. All four performance indicators show consistent results. Under the market model, CSR companies are less affected and their stock prices are relatively resilient to declines. Conversely, under the three-factor model, non-CSR companies are less affected. The different results obtained by these two methods also reflect the presence of both positive and negative relationships between corporate social responsibility and stock price returns in past related literature.

論文審定書i
誌謝ii
中文摘要iii
Abstractiv
目錄v
圖次vi
表次vii
第一章 緒論1
第一節 研究背景與動機1
第二節 研究目的3
第三節 研究架構4
第二章 文獻探討5
第一節 企業社會責任指標5
第二節 企業社會責任與股價報酬之關聯性10
第三節 企業社會責任評鑑與指標之一致性13
第三章 研究方法15
第一節 實證模型15
第二節 樣本與資料來源22
第四章 研究結果24
第一節 2020年美股熔斷事件對台股的短期影響25
第二節 2020年美股熔斷事件對台股的長期影響46
第三節 穩健性測試：CSR企業樣本之增加63
第四節 研究結果總結65
第五章 結論69
第一節 研究結論69
第二節 研究限制與建議71
參考文獻72

中文文獻
池祥萱、繆文娟 & 莊瀅臻(2014) 企業社會責任對於公司財務績效之影響是雙面刃嗎? 來自全球 500 大公司的證據。管理學報，31(1)，1-19。
吳嘉瑜(2021) 企業社會責任與企業績效以及企業價值之關聯性研究國立台灣師範大學全球經營與策略研究所碩士論文。
李尚妤(2020) 企業社會責任指數之投資組合最佳化─ 以臺灣永續指數為例，國立台灣師範大學管理研究所碩士論文。
李魁翊(2006) 國際企業社會責任投資之比較研究，國立政治大學國際貿易研究所碩士論文。
沈中華、李建然 (2000)。事件研究法: 財務與會計實證研究必備，華泰文化。
沈中華 & 張元(2008) 企業的社會責任為可以改善財務績效嗎?-以英國 FTSE 社會責任指數為例。經濟論文, 36(3), 339-385。
周寶玉(2012) 企業社會責任與企業經營績效相關性分析。華人經濟研究, 10(2), 17-29。
林秀穎(2020) 企業社會責任, 財務績效之雙向關係探討── 以臺灣上市公司為例，國立臺中科技大學保險金融管理系碩士論文。
俞慧芸、簡詩宏、林昌亮 (2011)。企業重大危機管理的倫理分析: 利害關係人理論之管理意涵，組織與管理，4(2)，107-144。
洪任佑(2022) 企業社會責任對公司價值之影響: 以新冠肺炎疫情為例，淡江大學財務金融系碩士論文。
張芫槙(2020)。不同企業社會責任表現指標與股價報酬之關聯性，國立台灣大學會計學研究所碩士論文。
陳文亭(2015) 台灣企業社會責任評等與財務績效關聯之研究，嶺東科技大學國際企業系碩士論文。
陳彥芳(2018). 企業社會責任與公司風險之關聯性，國立台灣大學財務金融學研究所碩士論文。
陳庭萱、何瑞鎮 & 林玉婷(2016) 企業社會責任對長短期股價的影響-以台灣銀行業為例。 證券市場發展季刊, 28(4), 129-169。
黃玉雯(2011) 企業社會責任表現價值攸關性探討─ 以台灣上市櫃企業為例，國立成功大學財務金融研究所碩士論文。
黃鐵嶺(2017) 壽險業獲企業獎項與其經營績效之研究，淡江大學保險學系碩士論文。
儲紹羽(2011) 企業社會責任與財務績效, 股價關係之探討-以台灣電子業上市公司為例，朝陽科技大學保險金融管理學系碩士論文。
謝懷恕 & 龔哲緯(2019) 企業社會責任獲獎對股價異常報酬率影響，全球管理與經濟, 15(2), 25-46。
鍾恩讚(2016) CSR 評比研究: 以 2015 年道瓊永續指數入選之台灣企業為例，淡江大學國際企業學系碩士論文。

英文文獻
Banker, R. D., Das, S., & Datar, S. M. (1993). Complementarity of prior accounting information: The case of stock dividend announcements. Accounting Review, 28-47.
Barnea, A., & Rubin, A. (2010). Corporate social responsibility as a conflict between shareholders. Journal of Business Ethics, 97, 71-86.
Bouten, L., Cho, C. H., Michelon, G., & Roberts, R. W. (2017). CSR Performance Proxies in Large-Sample Studies:'Umbrella Advocates', Construct Clarity and the'Validity Police'. Construct Clarity and the'Validity Police'(August 2017).
Brown, S. J., & Warner, J. B. (1980). Measuring security price performance. Journal of Financial Economics, 8(3), 205-258.
Chang, X., Chen, Y., & Zolotoy, L. (2017). Stock liquidity and stock price crash risk. Journal of Financial and Quantitative Analysis, 52(4), 1605-1637.
Chatterji, A., Durand, R., Levine, D., & Touboul, S. (2014). Do ratings of firms converge? Implications for strategy research.
Chen, L., Feldmann, A., & Tang, O. (2015). The relationship between disclosures of corporate social performance and financial performance: Evidences from GRI reports in manufacturing industry. International Journal of Production Economics, 170, 445-456.
Cochran, P. L. (2007). The evolution of corporate social responsibility. Business Horizons, 50(6), 449-454.
Conway, E. (2019). To agree or disagree? An analysis of CSR ratings firms. Social and Environmental Accountability Journal, 39(3), 152-177.
DeFond, M. L., Hung, M., Li, S., & Li, Y. (2015). Does mandatory IFRS adoption affect crash risk? The Accounting Review, 90(1), 265-299.
El Ghoul, S., Guedhami, O., Kwok, C. C., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35(9), 2388-2406.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
Fombrun, C. J., Gardberg, N. A., & Sever, J. M. (2000). The Reputation QuotientSM: A multi-stakeholder measure of corporate reputation. Journal of brand management, 7(4), 241-255.
Freeman, R. E., Harrison, J. S., Wicks, A. C., Parmar, B. L., & De Colle, S. (2010). Stakeholder theory: The state of the art.
Friedman, M. (1970). A Friedman doctrine: The social responsibility of business is to increase its profits. The New York Times Magazine, 13(1970), 32-33.
Gelb, D. S., & Strawser, J. A. (2001). Corporate social responsibility and financial disclosures: An alternative explanation for increased disclosure. Journal of Business Ethics, 33, 1-13.
Goss, A., & Roberts, G. S. (2011). The impact of corporate social responsibility on the cost of bank loans. Journal of Banking & Finance, 35(7), 1794-1810.
Hemingway, C. A., & Maclagan, P. W. (2004). Managers' personal values as drivers of corporate social responsibility. Journal of Business Ethics, 50, 33-44.
Hunjra, A. I., Mehmood, R., & Tayachi, T. (2020). How do corporate social responsibility and corporate governance affect stock price crash risk? Journal of Risk and Financial Management, 13(2), 30. Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.
Ioannou, I., & Serafeim, G. (2015). The impact of corporate social responsibility on investment recommendations: Analysts' perceptions and shifting institutional logics. Strategic management journal, 36(7), 1053-1081.
Kang, J. (2015). Effectiveness of the KLD Social Ratings as a Measure of Workforce Diversity and Corporate Governance. Business & Society, 54(5), 599-631.
Kao, E. H., Yeh, C. C., Wang, L. H., & Fung, H. G. (2018). The relationship between CSR and performance: Evidence in China. Pacific-Basin Finance Journal, 51, 155-170.
Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.
Kramer, M. R., & Porter, M. (2011). Creating shared value (Vol. 17). FSG Boston, MA, USA.
Lee, K.-J., & Lu, S.-L. (2021). The impact of COVID-19 on the stock price of socially responsible enterprises: An empirical study in Taiwan stock market. International Journal of Environmental Research and Public Health, 18(4), 1398.
Lyon, T. P., & Maxwell, J. W. (2011). Greenwash: Corporate environmental disclosure under threat of audit. Journal of Economics & Management Strategy, 20(1), 3-41.
McNichols, M., & Dravid, A. (1990). Stock dividends, stock splits, and signaling. The journal of finance, 45(3), 857-879.
McWilliams, A., & Siegel, D. (2000). Corporate social responsibility and financial performance: correlation or misspecification? Strategic management journal, 21(5), 603-609.
Moskowitz, M. (1972). Choosing socially responsible stocks. Business and society review, 1(1), 71-75.
Orlitzky, M., Schmidt, F. L., & Rynes, S. L. (2003). Corporate social and financial performance: A meta-analysis. Organization studies, 24(3), 403-441.
Peloza, J. (2009). The challenge of measuring financial impacts from investments in corporate social performance. Journal of Management, 35(6), 1518-1541.
Peterson, P. P. (1989). Event studies: A review of issues and methodology. Quarterly journal of business and economics, 36-66.
Porter, M. E., & Van der Linde, C. (2000). 2. Green and Competitive: Ending the. The Dynamics of the eco-efficient economy: environmental regulation and competitive advantage, 33.
Preston, L. E., & O'bannon, D. P. (1997). The corporate social-financial performance relationship: A typology and analysis. Business & Society, 36(4), 419-429.
Prior, D., Surroca, J., & Tribó, J. A. (2008). Are socially responsible managers really ethical? Exploring the relationship between earnings management and corporate social responsibility. Corporate governance: An international review, 16(3), 160-177
Quan, X., Wu, S., & Yin, H. (2015). Corporate social responsibility and stock price crash risk: Self-interest tool or value strategy. Economic Research Journal, 11, 49-64.
Saeidi, S. P., Sofian, S., Saeidi, P., Saeidi, S. P., & Saaeidi, S. A. (2015). How does corporate social responsibility contribute to firm financial performance? The mediating role of competitive advantage, reputation, and customer satisfaction. Journal of business research, 68(2), 341-350.
Tsoutsoura, M. (2004). Corporate social responsibility and financial performance.
Turban, D. B., & Greening, D. W. (1997). Corporate social performance and organizational attractiveness to prospective employees. Academy of management journal, 40(3), 658-672.
Udayasankar, K. (2008). Corporate Social Responsibility and Firm Size. Journal of Business Ethics, 83(2), 167-175. https://doi.org/10.1007/s10551-007-9609-8
Ullmann, A. A. (1985). Data in search of a theory: A critical examination of the relationships among social performance, social disclosure, and economic performance of US firms. Academy of Management Review, 10(3), 540-557.
Werther Jr, W. B., & Chandler, D. (2005). Strategic corporate social responsibility as global brand insurance. Business Horizons, 48(4), 317-324.
Zhong, M., Xu, R., Liao, X., & Zhang, S. (2019). Do CSR ratings converge in China? A comparison between RKS and Hexun scores. Sustainability, 11(14), 3921.
Zhu, Q., Liu, J., & Lai, K.-h. (2016). Corporate social responsibility practices and performance improvement among Chinese national state-owned enterprises. International Journal of Production Economics, 171, 417-426.

網路資料
事件研究法操作指南。https://www.tej.com.tw/TEJPLUS/EventStudy-TechnoicalDocument.pdf
天下雜誌企業公民獎。https://topic.cw.com.tw/csr/
遠見雜誌企業社會責任獎。https://csr.gvm.com.tw/2023/award.html?v=1
道瓊永續指數。https://www.spglobal.com/esg/performance/indices/djsi-index-family
台灣企業永續獎。https://tcsaward.org.tw/tw/main
Bloomberg.(2022/01/13). BlackRock Unveils Climate Funds Targeting the Toughest ESG Clients. https://www.bloomberg.com/news/articles/2022-01-12/blackrock-unveils-new-funds-targeting-toughest-esg-clients?leadSource=uverify%20wall#xj4y7vzkg