The Impacts of Idiosyncratic Volatility and Corporate Social Responsibility on Stock Returns

• Main Authors: Wu, Shao-Ping, 吳紹平
• Other Authors: Huang, Yi-Hou
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/hgmb7j

碩士 === 國立交通大學 === 財務金融研究所 === 106 === As the rise of sustainable social development issues, corporate social responsibility involvement has become one of the criteria for professional investment institutions and other investors to consider investment decisions. According to the Stakeholder Theory proposed by Freeman (1984), it claims the owner of a firm, in addition to shareholders, also include employees, suppliers and the public. Therefore, enterprises should take social welfare into account while pursuing the maximization of shareholder wealth. The majority of corporate social responsibility issue development are based on this spirit. The research subject of study are United States firms that listed or once listed in NYSE、AMEX and NASDAQ from 1996 to 2015, and delete samples that corporate social responsibility rating data cannot be obtained in MSCI ESG KLD STATS database. The measurement of corporate social responsibility involvement will use quantitative data provided by MSCI ESG KLD STATS database, and were calculated according the method of Becchetti et al., (2015). In the meantime, we measure idiosyncratic volatility according to the method of Gaspar and Massa, (2006) and Fu (2009). According to the empirical result, interaction between idiosyncratic volatility and corporate social responsibility have significant negative effect on current stock return but have significant positive effect on future stock return. After dividing corporate social responsibility activities into seven areas, corporate social responsibilities in the seven areas have different effects on current stock returns, and the higher the idiosyncratic volatility, the more adverse the impact on current stock returns will be. The impact of interaction between idiosyncratic volatility and corporate social responsibility on future stock returns will be different as firms involve in different issue of corporate social responsibility. In addition, corporate social responsibility factors have significant effect in the relationship between idiosyncratic volatility and stock returns.