強制出具企業社會責任報告書對流動性及風險之影響

The impact of mandatory corporate social responsibility reporting on liquidity and risk

本文探討臺灣證交所強制上市公司出具企業社會責任（Corporate Social Responsibility，簡稱CSR）報告書對股票流動性及風險之影響，及其影響程度是否因受規範之公司類別及公司利害關係人影響力的差異而不同。我們採用Difference in Differences（DID）方法，檢定被強制出具CSR報告書之公司股票的流動性及風險在政策實施前後的差異，是否異於未受強制出具CSR報告書之公司股票的差異。結果顯示，實施強制出具CSR報告書政策使得受強制公司之股票：（1）流動性上升；（2）非系統風險降低；（3）系統風險具不對稱性—當市場上揚時其系統風險較大（漲幅較大）；市場下跌時其系統風險小（跌幅較小）。而市場下跌時的跌幅較小，顯示出具CSR報告書具有類似保險效益（insurance-like benefits）。此外我們發現：強制出具CSR報告書提升流動性之效果，對電子業、化工業及本國法人持股較多之公司較顯著，而降低非系統風險之效果對後兩類公司較顯著。上述結果對政府實施強制公司出具CSR報告書之政策具有回饋功能，同時可做為企業和投資人之決策參考。

This study investigates whether mandatory corporate social responsibility (CSR) reporting ameliorates liquidity and reduces risk for stocks. Moreover, we explore whether these impacts vary with regulated company category and stakeholder influence capacity. For a mandatory CSR reporting regulation in Taiwan, we assess the policy's effects using difference-in-differences (DID) modeling. The results show that mandatory CSR reporting significantly increases liquidity and reduces idiosyncratic risks. However, the effect on systematic risk is asymmetric - a high (low) systematic risk is accompanied by a positive (negative) market return; namely, a large (small) price increase (decrease) caused by a positive (negative) market return. This aligns with the insurance-like benefits argument. These findings suggest investors hold on to CSR firms because of increased information transparency and good financial performance during a recession. The improved liquidity is more significant for firms in the electronics and chemical industries and for firms with a large equity share owned by domestic institutional investors. Idiosyncratic risk is reduced more for the latter two. The findings provide feedback on mandatory CSR reporting to policy makers and provide reference for firms and investors.