本研究主要在探討公司的企業社會責任(CSR)表現對公司股價異常報酬之影響，即公司執行企業社會責任(CSR)規範是否會產生超額報酬。投資研究機構KLD Research & Analytics所針對美國公開發行公司編製的年度資料－KLD STATS，長期針對美國公開發行公司給予評價，給予每一家追蹤的公司一個環境社會公司治理（Environmental, Social and Governance，簡稱ESG）分數，我們利用ESG分數分別針對環境、社會、公司治理及CSR四個構面，建構和評價了八個ESG分數高（H）和低（L）的股票投資組合。雖然，從1991年到2008年，分數高的比分數低的提供了較高的平均報酬，但這樣的績效差異卻完全被市場超額報酬、公司規模、公司淨值/市價比及動能因子所所組成的單因子模型(CAPM Framework)、三因子模型(Fama and French,1996)及四因子模型(Carhart,1997)所解釋，亦即，社會責任表現好壞投組間的報酬在加入四因子控制變數下，並無顯著差異。雖然如此，本研究發現，環境和社會及整體企業社會責任分數較低的投組，相對於四因子模型會產生顯著為負的異常報酬。反之，在這幾個構面分數較高的投組，雖仍然產生負的alpha值，卻不顯著。

In this study, we aim to discover whether the performance of Corporate Social Responsibility (CSR) can lead to abnormal returns, i.e. whether the execution of CSR can enhance the generation of abnormal return. In order to achieve the research aims, eight portfolios were constructed according to the company’s ESG rating, the environmental, social and governance ratings of corporations. The ESG rating is contained in KLD STATS, which is the annual statistical summary published by KLD Research & Analytics and has been long tracking the US listed companies and offering each company’s ESG rating. We sort companies according to their ratings in each sector (environmental, social, governance, and overall) and construct high CSR-rated portfolios as well as low CSR-rated portfolios. Although the study shows that portfolios of high CSR-rated companies generate higher average returns from 1991 to 2008 relative to their low CSR-rated counterparts, the difference of return, after controlling for the four-factor model, is not statistically significant. We find no return premium of CSR-efficient stocks against CSR-inefficient stocks. However, the results from the four-factor model suggest that portfolios of low environment ratings, low social ratings and low total CSR ratings tend to generate a statistically significant negative alpha. On the contrary, their highly rated counterparts do not generate a statistically significant alpha, though still negative.

PETER CAMEJO著，蔡淵輝、黃伊莉譯，SRI社會責任投資，寰宇出版股份有限公司
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