本篇研究旨在探討台灣股票市場是否存在企業社會責任的投資人情緒，且企業會如何回應。本篇研究以企業社會責任溢酬作為CSR投資人情緒的衡量變數，並參考MSCI ESG指數中的兩大構面，編制六項衡量指標，評價每間公司的企業社會責任表現。使用的樣本期間為2007年至2019年，共4932個樣本。實證結果顯示當CSR的投資人情緒高漲時，正向CSR活動的公布會產生正的累積異常報酬，即CSR的投資人情緒存在並影響投資人對資產的訂價。此外企業並不會因為CSR的投資人情緒增加CSR績效作為回應。最後利用CSR的投資人情緒建構投資策略，發現透過同時買進高CSR投資人情緒股票，賣出低CSR投資人情緒股票，所建構出的「高－低」的投資策略有顯著的正報酬，代表利用CSR的投資人情緒可在台灣股票市場從中獲利。以上結果顯示在台灣，企業社會責任的投資人情緒確實存在，且能有效獲取正報酬。

This study examines time-varying investor sentiment for corporate social responsibility in the Taiwan stock market. To measure the CSR performance, the study refers to the independently international CSR valuation institution to compile CSR indicators for individual firms. The data for the study uses 4932 listed companies in Taiwan as samples from 2007 to 2019. The empirical evidence shows that announcements of CSR activities generate positive abnormal returns during periods when investors place a valuation premium on CSR performance. In addition, the study finds that firms do not change CSR performance in response to investor sentiment. Finally, by using CSR investor sentiment to construct an investment strategy, the study finds that by simultaneously buying high CSR investor sentiment stocks and selling low CSR investor sentiment stocks, were able to construct a "high-low" investment strategy with significant positive returns, which means that investors can profit from using CSR investor sentiment in the Taiwan stock market.

沈中華、張元(2008)。企業社會責任行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。

周賓凰、張宇志、林美珍(2007)。投資人情緒與股票報酬互動關係。證券市場發展季刊，19卷2期，153-190。

周彥廷(2018)。社會資本對企業績效在金融危機下的影響:企業社會責任的保險價值。台灣永續能源研究基金會，CSR第三屆學術論文獎。

張家銘(2013)。探討CSR新聞對散戶比例較高之新興市場的股價是否具增額資訊效果。

Akpinar, A., Y. Jiang, L. R. Gomez-Mejia, P. Berrone, and J. L. Walls. (2008). Strategic Use of CSR as a Signal for Good Management, Working Paper, Corporate Reputation Review, 6(4), 368-374.

Argenti, P. A., and B. Druckenmiller. (2004). Reputation and the Corporate Brand, Corporate Reputation Review, 6(4), 368-374.

Bagnoli, M., and S. Watts. (2003). Selling to social responsible consumers: Competition and the private provision of public goods. Journal of Economics and Management Strategy 12 (3): 419–445.

Baker, M., and J. Wurgler. (2004). A catering theory of dividends. The Journal of Finance 59 (3): 1125–1165.

Baker, M., and J. Wurgler. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives 21 (2): 129–151.

Baker, M., R. Greenwood, and J. Wurgler. (2009). Catering through nominal share prices. The Journal of Finance 64 (6): 2559–2590.

Baker, M., and J. Wurgler. (2012). Behavioral Corporate Finance: An Updated Survey. In Handbook of the Economics of Finance, ed. G. M. Constantinides, M. Harris, and R. M. Stulz. Vol. 2. Amsterdam: Elsevier.

Barberis, N., and A. Shleifer. (2003). Style investing. Journal of Financial Economics 68: 161– 199.

Barnea, A., and A. Rubin. (2005). Corporate Social Responsibility as a Conflict Between Owners, Working Paper.

Barnett, M. L. (2007). Stakeholder Influence Capacity and the Variability of Financial Returns to Corporate Social Responsibility, The Academy of Management Review, 32, 794-816.

Bhattacharya, C. B., and S. Sen. (2004). “Doing Better at Doing Good: When, Why, and How Consumers Respond to Corporate Social Initiatives,” California Management Review, 47(1), 9-24.

Brammer, S., and S. Pavelin. (2004). Building a Good Reputation, European Management Journal, 22(6), 704-713.

Brammer, S., and S. Pavelin. (2006). Corporate Reputation and Social Performance: The Importance of Fit, Journal of Management Studies, 43(3),435-455.

Brown, W. and M. Cliff. (2005). Investor sentiment and asset valuation. Journal of Business, 78(2), 405-440.

Bushee, B. (1998). The influence of institutional investors on myopic R&D investment behavior. The Accounting Review 73 (3): 305–333.

Campbell, J. L. (2007). Why would corporations behave in socially responsible ways? An institutional theory of corporate social responsibility. Academy of Management Review 32 (3): 946–967.

DeLong, J. B., A. Shleifer, L. H. Summers and R. J. Waldmann. (1990), Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.

Dechow, P., and I. Dichev. (2002). The quality of accruals and earnings: The role of accrual estimation errors. The Accounting Review 77 (s-1): 35–59.

Fama, E. F., 1970, Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, 25, 383-417.

Friedman, H. and M. Heinle. (2016). Taste, information, and asset prices: Implications for the valuation of CSR. Review of Accounting Studies 21 (3): 740–767.

Gelb, D.S.and J.A.Strawser. (2001).Corporate Social Responsibility and Financial Disclosure: An Alternative Explanation for Increased Disclosure. Journal of Business Ethics 33(1):1-13.

Hess, D., N. Rogovsky, and T. W. Dunfee. (2002). The Next Wave of Corporate Community Involvement: Corporate Social Initiatives, California Management Review, 44(2), 110-125.

Hillman, A. J., and G.D. Keim, (2001). Shareholder Value, Stakeholder Management, and Social Issues: What’s the Bottom Line?, Strategic Management Journal, 22, 125-139.

Hribar, P., and J. McInnis. (2012). Investor sentiment and analyst's earnings forecast errors. Management Science 58 (2): 293–307.

Johnson, R. A., and D. W. Greening. (1999). The effects of corporate governance and institutional ownership types on corporate social performance. Academy of Management Journal 42 (5): 564–576.

Kahneman, D. and Tversky, A. (1979). Prospect Theory：An Analysis of Decision Under Risk. Econometrica（47）,263-291.

Lantos, G. P. (2001). The Boundaries of Strategic Corporate Social Responsibility, Journal of Consumer Marketing, 18(7), 595-630.

Levis, J. (2006). Adoption of Corporate Social Responsibility Codes by Multinational Companies, Journal of Asian Economics, 17, 50-55.

Lin, T.-N. (2016). A Study on the Effect of Corporate Social Responsibility upon the Returns of Stocks Listed in the Taiwan Stock Market.

Lys, T. Z., J. P. Naughton, and C. Wang. (2015). Signaling through corporate accountability reporting. Journal of Accounting and Economics 60 (1): 56–72.

Mann, S. V., and N. W. Sicherman. (1991). The Agency Costs of Free Cash Flow: Acquisition Activity and Equity Issues, Journal of Business, 64(2), 213-227.

McWilliams, A., and D. Siegel. (2000). Corporate social responsibility and financial performance: correlation or misspecification? Strategic Management Journal 21 (5): 603–609.

McWilliams, A., D. S. Siegel, and P. M. Wright. (2006). Corporate Social Responsibility: Strategic Implications, Journal of Management Studies, 43, 1-18.

Moskowitz, M. (1972). Choosing socially responsibility stocks. Business and Society Review. 1(Spring) :71-75.

Naughton ,Wang and Ira. (2018). Investor Sentiment for Corporate Social Performance. The Accounting Review.

Orlitzky, M., and J. D. Benjamin. (2001). Corporate social performance and firm risk: A metaanalytic review. Business and Society 40 (4): 369–396.

Polk, C., and P. Sapienza. (2009). The stock market and corporate investment: A test of catering theory. Review of Financial Studies 22 (1): 187–217.

Schnietz, K. E., and M. J. Epstein. (2005). Exploring the Financial Value of a Reputation for Corporate Social Responsibility During a Crisis, Corporate Reputation Review, 7(4), 327-345.

Schuler, D. A., and M. Cording. (2006). A Corporate Social Performance-Corporate Financial Performance Behavioral Model for Consumers, Academy of Management Review, 31(3), 540-558.

Stein, J. C. (1988). Takeover threats and managerial myopia. Journal of Political Economy 96 (1): 61–80. Stein, J. C. 1996. Rational capital budgeting in an irrational world. The Journal of Business 69 (4): 429–455.

Tencati, A., F. Perrini, and S. Pogutz. (2004). New Tools to Foster Corporate Socially Responsible Behavior, Journal of Business Ethics, 53,173-190.

Tsai, Y.-H. (2017). Relationship between Corporate life cycle and corporate social responsibility: Evidence from Taiwan.

Tucker, L., T. C. Melewar. (2005). Corporate Reputation and Crisis Management: The Threat and Manageability of Anti-corporatism, Corporate Reputation Review, 7(4), 377-386.

Waddock, S. A, and S. B. Graves. (1997). The Corporate Social Performance-Financial Performance Link, Strategic Management Journal, 18(4), 303-319.

Werbel, J. D., and M. S. Wortman. (2000). Strategic Philanthropy: Responding to Negative Portrayals of Corporate Social Responsibility, Corporate Reputation Review, 3(2), 124-136.

Wieser, R. (2005). Research and development productivity and spillovers: Empirical evidence at the firm level. Journal of Economic Surveys 19 (4), 587–621.

Wu, M. (2006). Corporate social performance, corporate financial performance, and firm size: A meta-analysis. Journal of American Academy of Business 8, 163–171.