本研究旨在探討正面以及負面社會責任新聞對散戶比例高之台灣股市是否具有增額資訊效果，並以事件研究法來分析因為正面社會責任行為而被報導的公司在事件發生前後是否會受到權益資本市場的重視進而獲得正向累積異常報酬。反之，我們也檢視因為負面社會責任事件而被報導的公司是否在事件發生前後會受到權益資本市場的懲罰而獲得負向累積異常報酬。
實證結果顯示，台灣投資人在2009年到2014年間對於在環境、公司治理和員工方面表現較差的公司會予以懲罰並反應在負的累積異常報酬上，而在負面社會方面的事件發生後，異常報酬會由事件發生前的負報酬轉為正報酬，顯示投資人對負面社會事件有過度反應的現象，因此在新聞發佈之後股價會有反彈的跡象。相較之下，正面的環境和員工新聞對公司的異常報酬率並無明顯的影響；而且與預期不符的是正面的社會和公司治理新聞會為公司帶來負的異常報酬。

The aim of this study is to examine whether there are short-run response in stock price to positive or negative news coverage on firm’s CSR performance in the Taiwan stock market during the 2009 to 2014 period. Using the technique of event study, our empirical results show evidence that companies with negative news on the scopes of environment, corporate governance and workforce would incur short-run decline in their stock prices and thus negative abnormal return. However, the investors tend to overreact to negative social events. The stock prices of those companies inflicted with negative social news would recover after the event. Furthermore, we find mixed evidence on the effects of positive coverage on the stock prices. For positive coverage on environment and workforce, neither buy-and-hold average abnormal returns nor cumulative abnormal returns are statistically significant in any event window. To the contrary of our expectation, the coverage of positive social and corporate governance events is associated with short-run negative abnormal returns.

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