商业研究

商业研究

• 商经理论 • 上一篇    下一篇

履行社会责任会导致未来股票收益率下降吗？ ——企业社会责任异象成因的探讨

吴战篪，游峻杰   

  1. （暨南大学 管理学院，广州 510632）
  • 收稿日期:2018-09-05 出版日期:2018-12-10
  • 作者简介:吴战篪（1975-），男，长沙人，暨南大学管理学院教授，博士生导师，管理学博士，研究方向：企业投融资行为、资产定价与行为公司财务、公司风险承担、金融工具会计；游峻杰（1996-），女，重庆涪陵人，暨南大学管理学院研究生，研究方向：企业经济、社会责任、资产定价与行为公司财务。
  • 基金资助:
    国家自然科学基金面上项目，项目编号：71672077；暨南大学企业发展研究所广东侨商企业转型发展研究项目，项目编号：2018GDQS005。

Will Fulfilling Social Responsibility Lead to a Decline in Stock Returns in the Future? A Discussion on the Causes of the Anomalies of Corporate Social Responsibility

WU Zhan-chi ,YOU Jun-jie   

  1. (School of Management, Jinan University,Guangzhou 510632,China)
  • Received:2018-09-05 Online:2018-12-10

摘要： 目前大量研究发现社会责任与股票收益率负相关，企业当期履行社会责任较好（差），随后的股票收益率较低（高），即存在企业社会责任异象。本文以中国证券市场2009-2016年上市A股公司为样本，考察企业社会责任的履行与股票收益率之间的关系，发现社会责任履行越好，滞后一期股票收益率越低，且不同社会责任维度的履行引起的股票收益率变化不同。社会责任与股票收益率的负向关系在社会责任披露质量高的公司中不显著，在未披露社会责任信息和社会责任披露质量低的公司中显著，说明社会责任异象源于信息不对称造成的错误定价。进一步应用横截面回归方法检验社会责任是否存在风险溢价，发现社会责任并不存在正的风险溢价，证实了社会责任异象源于错误定价。

关键词: 社会责任, 股票收益率, 错误定价, 风险

Abstract: At present, it has been suggested by many studies that negative correlation (referred to as “social responsibility anomaly” in the paper) exists between social responsibility and stock return. A-share companies listed in China securities market from 2009 to 2016 were taken as the sample to explore relations between performance of enterprise social responsibility and stock return. It is suggested that better performance of social responsibility is related with a lower stock return, while performances of different social responsibility dimensions lead to different changes of stock return. The negative correlation between social responsibility and stock return is insignificant in enterprises with high disclosure quality of social responsibility ,but is significant in enterprises without the information disclosure and with low-quality disclosure, suggesting that social responsibility anomaly is sourced from information asymmetry-induced mispricing. Cross-section regression was applied in the paper to examine whether there was risk premium for social responsibility. It is indicated that there is no positive risk premium for social responsibility, and it is further verified that social responsibility anomaly springs from mispricing.

Key words: social responsibility;stock return, mispricing, risk