| Summary: | 碩士 === 國立臺北大學 === 金融與合作經營學系 === 100 === This research investigates the connection between Corporate Social Responsibility (CSR) and the issue of information asymmetry. Our empirical work would like to provide evidences about the following questions: First, firms which put more attentions on corporate social responsibility (abbreviated as CSR firms) would have less degree of information asymmetry contrast to those being considered making fewer efforts in CSR. Second, although the firms who have higher degree of information asymmetry may endure higher cost of capital, CSR firms would enjoy a discount because they demonstrate positive images in the markets. Furthermore, we also examine whether CSR may reduce the excess returns when higher degree of information asymmetry exist; and the last, this study explores that CSR character may reduce the overreaction results of book-to-market effect and intangible information, which are mentioned by Daniel and Titman(2006).
Our CSR sample comes from the DJSI (Dow Jones Sustainability North America Index), and ranges since 2002 to 2010. We also collect the counterparty matching firms by selecting with same SIC code and similar size in the sample. Refer to Jayaraman (2008, JAR) , the information asymmetry is proxied by daily closing bid-ask spread divided by the mid-point of bid and ask quotation. Control variables, such as size, ROA, and BM ratio are also considered in the regressions.
The major findings can be depicted as follows:
1. There is a significantly negative relationship between CSR and information asymmetry proxy, which means that market responds CSR with smaller gap between bid-ask spreads.
2. CSR firms would enjoy a discount of capital cost when they belong to higher degree of information asymmetry; in addition, CSR also reduce the excess returns when higher degree of information asymmetry exists.
3. Finally, CSR firms have less degree of overreaction than matching firms when the book-to-market effect is considered.
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