隨著CSR成為席捲全球潮流，社會責任投資(Socially Responsible Investment, SRI))因應而生，機構投資人及一般投資人選擇CSR較好的公司作為其投資標的之比例亦逐年上升，企業的經濟利益與CSR並不衡突。本研究以2014至2020年DJSI及天下CSR得獎企業，依入選年數多寡區分不同投資組合，並以等權、市值加權及年數加權三種不同資產配置，探討入選合計年數最多之CSR投資組合，其股價報酬是否高於入選合計年數較少之投資組合?且其股價報酬是否顯著優於大盤及台灣50?另也探討DJSI投資組合股價報酬是否高於天下CSR投資組合?
實證結果顯示，在等權及年數加權之資產配置下，入選合計年數最多的投資組合，其股價報酬未高於入選合計年數較少之投資組合，亦未高於大盤及台灣50報酬指數。在市值加權資產配置下，僅DJSI投資組合中之入選年數最多的投資組合，其長期股價報酬顯著優於大盤報酬指數。在等權、市值加權及年數加權資產配置，DJSI投資組合股價報酬未顯著高於天下CSR投資組合。

As CSR has become a global trend, Socially Responsible Investment (SRI) has emerged accordingly. The proportion of investors choosing companies with better CSR as their investment targets has also increased year by year, and the economic benefits of the company has no conflict with CSR. This research chooses DJSI and CommomWeath Magazine CSR award-winning companies from 2014 to 2020. These companies are distinguished different investment portfolios based on the number of award-winning years , besides also used three asset allocations that equal weight, market value weighted and years weighted to study following questions. (1) Is the stock price return of the investment portfolio with the most numbers of award-winning years higher than that of the investment portfolio with less award-winning years? (2) Is the stock price return of the investment portfolio with the most numbers of award-winning years higher than TAIEX Total Return Index (TAIEX Index) and FTSE TWSE Taiwan 50 Total Return Index (Taiwan 50 Index)? (3) Is the stock price return of DJSI portfolio higher than CommomWeath portfolio ?
The empirical results show that under equal weighting and years weighted asset allocation, the stock price return of the portfolio with the most numbers of award-winning years is not higher than the investment portfolio with less award-winning years, nor is it higher than TAIEX Index and Taiwan 50 index. Only under the market value-weighted asset allocation, the DJSI portfolio with the most numbers of award-winning years has a long-term stock price return significantly better than TAIEX Index. Among the three asset allocations, the stock price return of DJSI portfolio is not significantly higher than CommonWealth portfolio .

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