本研究主要在檢驗遠見企業社會責任獎的得獎公司，與對照組和上市指數間在報酬、風險程度、公司治理程度、財務結構方面的差異，並且經過單因子和四因子風險調整後的異常報酬是否可以被G-index和Z-score解釋。

實證結果顯示得獎組的報酬率雖然優於對照組和上市指數，但並不是那麼顯著。而風險程度方面，透過標準差分析，得獎組的風險小於對照組；透過夏普指數分析，每承擔一單位風險得獎組可以得到較高的報酬。在公司治理程度上，得獎組的G-index顯著大於對照組；在財務結構方面，得獎組的Z-score顯著大於對照組。顯示得獎組在風險、公司治理和財務結構方面均優於對照組。但不管是得獎組或對照組經單因子和四因子調整後的異常報酬，無法以G-index和Z-score雙因子來進一步解釋

In this study, we examine the difference between the return, risk level, corporate governance level and financial structure of the CSR-awarded companies and of their unawarded counterparts listed in Taiwan Stock Exchange. We also investigate whether the risk-adjusted returns from one-factor and four-factor models can be explained by G-index and Z-score.

Our empirical results reveal that the return of the portfolio of CSR-awarded companies is better than the reutns of its non-CSR-awarded counterpart and of market index, although the difference is not statistically significant. Moreover, the risk of CSR-awarded portfolio, measured by the standard deviation of the return, is less than its non-CSR-awarded counterpart. The above results taken together, the CSR-awarded portfolio of companies tends to provide a sharpe ratio larger than its counterpart. Regarding the level of corporate governance evaluated by the G-index, the CSR-awarded portfolio tends to demonstrate its corporate governance to a level significantly higher than its non-CSR-awarded countperpart. In terms of the probability of financial distress gauged by the Z-score, the CSR-awarded portfolio is significantly less subject to financial distress than the non-CSR-awarded counterpart. Finally, we find that the risk-adjusted returns of both the CSR-awarded portfolio and its non-CSR-awarded counterpart cannot be explained by G-index and Z-score.

一、 中文部分

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

邱顯比、林清珮 共同基金分類與基金特性持續性之研究，中國財務學會1999年會暨財務金融學術論文研討會論文集，pp.405-435

郭方昇 企業社會責任對企業財務績效與投資組合績效之影響性分析，私立中原大學企業管理學系碩士論文，民國90年6月

莫冬立 社會責任型投資，2006.11.8國際企業永續評比工具推廣說明會資料

莫冬立 國際企業永續評比系統介紹，2007.11.12國際企業永續評比工具推廣說明會資料

莫冬立 追求典範：企業社會責任評等系統的發展與應用，證券櫃檯月刊No.122 pp.62-73

張國順 企業國費策略聯盟長期績效之研究，國立成功大學國際企業研究所碩士論文，民國94年12月

曹耀鈞、許楊昇、林慧愉、陳佳鳳、廖惠珍 社會責位投資共同基金之績效檢視--臺、日、星、港四域比較研究，證交資料，民國96年9月pp.2-23

黃正忠 企業永續發展潮流的全球視野與國際深耕，永續產業發展雙月刊2002.4.15 pp27-36

潘景華 新觀念：企業永續發展與社會責任型投資，證交資料，民國93年1
月pp.49-56

潘景華 「社會責任型投資」(SRI)在臺灣發展之芻議，證券暨期貨月刊，民國93年12月pp.23-49

廖容嫺 社會責任投資(SRI)現況之研究---以TSMC為例，世新大學企業管理學系碩士論文，民國96年6月

遠見雜誌 2005年6月第228期
2006年5月第239期
2007年5月第251期
2008年4月第262期
2009年3月第273期

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