管理科学软科学 2013 年 6 月第 27 卷第 6 期 ( 总第 162 期 ) 变量选择 1 CAR i i CSP / 2 /

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1 软科学 2013 年 6 月第 27 卷第 6 期 ( 总第 162 期 ) 管理科学叶陈刚, 王 ( 对外经济贸易大学国际商学院, 北京 ) 国家社会科学基金重点项目 ( 10AZD014) ; 国家自然科学基金项目 ( ) ; 教育部人文社会科学规划项目 ( 06JA630014) 叶陈刚 ( ), 男, 湖北蕲春人, 教授博士生导师, 研究方向为企业伦理社会责任与审计 ; 王孜 ( ), 男, 河北邢台人, 博士研究生, 研究方向为审计与管理控制孜 A Corporate Social Responsibility Performance Evaluation and Market Reaction YE Chen-gang WANG Zi School of International Business University of InternationalBusiness and Economics Beijing Abstract This paper studies on listed companies which released CSR reports. Using factor analysis to reduce 16 indicators of social responsibility performance to six factors and examines how the main factors of CSR and overall performance affect CAR by the event study method and try to build bridge between performance evaluation and market reaction of CSR. The result shows that the capital market reacts significantly sensitive to the events of CSR reporting. The higher performance e- valuation of company's suppliers government and public relations social responsibility is the positive reaction of market more sensitive than the othe rthree factors. urther analysis shows that compared to the paired samples CSR performance evaluation information of quantitative disclosure group cause the capital market more sensitive. Key words corporate social responsibility performance evaluation market reaction financial indicators factor analysis Anderson rankle 4 Shane Spicer Ingram 8 1

2013 06-0001 - 05 Corporate Social Responsibility Performance Evaluation and Market Reaction YE Chen-gang WANG Zi School of International Business University of InternationalBusiness and Economics

2 管理科学软科学 2013 年 6 月第 27 卷第 6 期 ( 总第 162 期 ) 变量选择 1 CAR i i CSP / 2 / / /

1 变量选择 1 CAR i 20 20 140 21 120 2 2 i CSP

3 软科学 2013 年 6 月第 27 卷第 6 期 ( 总第 162 期 ) 管理科学提取公司社会责任绩效评价主成分 KMO Bartlett's 16 KMO Bartlett's 3 3 KMO Bartlett's KMO Sig KMO 模型与变量定义 T CAR = α 0 + Σ α i i + α 7 AGE + α 8 BM + α 9 MC α 10 SO + Σ α t IND t ε CAR = β 0 + β 1 CSP + β 2 AGE + β 3 BM + β 4 MC β 5 SO + Σ β t IND t + μ CAR CAR = CAR i = CAR it /t i CSP AGE % % % % % % BM MC / % SO IND t % 样本选择与数据来源 2011 A SPSS

634 2 CAR = β 0 + β 1 CSP + β 2 AGE + β 3 BM + β 4 MC 7 0. 926 + β 5 SO + Σ β t IND t + μ 8 0. 761 2 9-0. 776 2 10 0. 521 11 0. 885 CAR CAR = CAR i = CAR it /t 12 0. 710 i 13 0.

4 管理科学软科学 2013 年 6 月第 27 卷第 6 期 ( 总第 162 期 ) 5 21 AAR CAR AAR 1 = CAR AAR 2 = = = = = CSP = % 4. 2 累计平均超额回报率的检验 28 CAR CAR AAR AAR t CAR t 0 T 6 CAR t -1.00% AAR t CAR t 图 1 事件窗 AAR t 和 CAR t 走势图 1 ~ % 0.50% 0.00% CAR t AAR t T T Sig AAR 1 ~ AAR 1 ~ AAR 21 ~ CAR 1 ~ CAR 1 ~ CAR 21 ~ AAR AAR t 95% CAR 样本总体的多元线性回归分析 1 2 T T ** CAR * CAR CSP AGE * AGE * CAR BM *** BM *** MC ** MC SO SO Adj R 2 = = *** D. W = Adj R 2 = = *** D. W = ** * 1% 5% 10% 4 AAR t CAR t

187 14 + 0. 465 15-0. 662 16 CSP = 0. 331 1 + 0. 256 2 + 0. 121 3 + 0. 114 4 + 0. 091 5 + 0. 087 6 0. 1-0.50% 4. 2 累计平均超额回报率的检验 28 CAR CAR AAR AAR t CAR t 0 T 6 CAR t -1.

5 软科学 2013 年 6 月第 27 卷第 6 期 ( 总第 162 期 ) 管理科学 CAR 39 CAR t % 量化披露组配对样本组 0.70% % CSP CAR -0.70% -1.40% 图 2 量化披露环境责任组与配对样本组 CAR t 走势图 6 25 CAR t CAR 4. 4 公司社会责任绩效评价市场反应的进一步分析 CAR t CAR t 26 CAR t T 8 8 CAR i Wilcoxon T Z ** Z Wilcoxon T T Sig T ** CAR CAR 9 T T * ** ** * * CAR ** ** CAR CSP CAR 10% Adj R2 = Adj R 2 = = = CSP * Adj R2 = Adj R 2 = = = % Sig A 16 ( 下转第 14 页 ) 5

4 公司社会责任绩效评价市场反应的进一步分析 CAR t CAR t 26 CAR t T 8 8 CAR i Wilcoxon T Z - 0. 00007855 0. 00006068 0. 003479572-0. 00018818 0. 00066983 0. 003875739-2. 135 ** 0.

6 管理科学软科学 2013 年 6 月第 27 卷第 6 期 ( 总第 162 期 ) lem Extensions to the Shortage Penalty Case J. International Journal of Production Economics Lee C M Hsu S L. The Effect of Advertising on the Distribution - free Newsboy Problem J. International Journal of Production Economics Cachon G P. Supply Chain Coordination with Contracts A. Graves S de Kok T. Eds. Handbook of Operations Research and Management Science Supply Chain Management M. Amsterdam Elsevier Jaber M Y Osman I H. Coordinating a Two - level Supply Chain with Delay in Payments and Profit Sharing J. Computers & Industrial Engineering Luo J W. Buyer vendor Inventory Coordination with Credit Period Incentives J. International Journal of Production Economics Sarmah S P Acharya D Goyal S K. Coordination and Profit Sharing between a Manufacturer and a Buyer with Target Profit under 1 Brennan L. How Retailers are Putting It All Together J. Sales and Marketing Management Gallego G Moon I. The Distribution ree Newsboy Problem Review and Extensions J. The Journal of the Operational Research of Society Alfares H K Elmorra H H. The Distribution - free Newsboy Prob- Credit Option J. European Journal of Operational Research J ( 责任编辑 : 王楠 ) 檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭 ( 上接第 5 页 ) 6 1 ISO. ISO26000 Guidance on Social Responsibility R. Geneva ISO Carroll A B. A Three - Dimensional Conceptual Model of Corporate Performance J. The Academy of Management Review Ingram R W. A Investigation of the Information Content of Certain Social Responsibility Disclosures J. Journal of Accounting Research Anderson J C rankle A W. Voluntary Social Reporting An Iso - beta Portfolio analysis J. The Accounting Review Shane Philip B Spicer Barry H. Market Response to Environmental Information Produced Outside the irm J. The Accounting Review J J J J J J J ( 责任编辑 : 赵毅峰 ) 14

Graves S de Kok T. Eds. Handbook of Operations Research and Management Science Supply Chain Management M. Amsterdam Elsevier 2003 229-339. 6 Jaber M Y Osman I H.

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第 28 卷摇第 3 期北京工商大学学报 ( 社会科学版 ) Vol. 28 No. 3 2013 年 5 月 JOURNAL OF BEIJING TECHNOLOGY AND BUSINESS UNIVERSITY( SOCIAL SCIENCES) May 2013 基于财务视角的上市百货公司竞争力评价实证研究王摇健

管 理 科 学 软 科 学 2013 年 6 月 第 27 卷 第 6 期 ( 总 第 162 期 ) 变 量 选 择 1 CAR i i CSP / 2 /

管理科学软科学 2013 年 6 月第 27 卷第 6 期 ( 总第 162 期 ) 变量选择 1 CAR i i CSP / 2 /