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China's listed companies' voluntary market reaction to social responsibility report

Author: GaoJie From: www.yourpaper.net Posted: 2009-12-07 07:11:44 Read:
Abstract: paired samples selected in the two types of companies in Shanghai and Shenzhen in China 2008 Corporate Social Responsibility Report issued on a voluntary basis and unpublished 2008 annual social responsibility report, event study two types of the company's stock in the event window cumulative daily average abnormal return (CAR) whether the incident would affect the company's share price than voluntary social responsibility report on the analysis and testing of listed companies. The empirical results show that voluntary social responsibility report sample companies CAR value significantly higher than the unreleased sample Social Responsibility Report CAR value, sample event within 3 days, CAR significantly rising social responsibility report issued on a voluntary basis, but the increase.
Keywords: Social Responsibility Report; market reaction; the CAR

First, the research background and research hypotheses
In recent years, the issue of social responsibility report by more and more attention, many countries, the company has started to compile a social responsibility report. Social responsibility report in China started late, but the various policies and regulations have been introduced to promote the rapid development of our first report on the fulfillment of social responsibility social responsibility report released in 2000 from the China Petroleum - "health, safety and environmental reports since the number of companies that publish corporate social responsibility report increased year by year. Carefully read author in the extraction of some listed companies released the 2008 Social Responsibility Report found that social responsibility report presents a variety of characteristics, structure, content, and uneven quality level, and the majority of reports has not been a third party certification.
Fujian Securities Regulatory Bureau and the Shanghai and Shenzhen Stock Exchange in China's relevant departments have not yet introduced when the the authoritative social responsibility reporting guidelines, requires social responsibility report outside the company, and why there are so many companies voluntarily release it? Voluntary social responsibility report the events themselves whether they would affect the company stock price? This article hypothesized: In China, the voluntary social responsibility report positive excess return will bring the company's stock, voluntary social responsibility report, the company accumulated daily average excess return CAR value higher than that released the CAR value of social responsibility report.
Event study
(A) an event definition and event window
This paper studies the event that voluntary social responsibility report this behavior of listed companies in China. Social responsibility report is dated as day 0, selected 20 days before the report was released to a report released 20 days after the event window of 41 days, 140 days to 21 days before the report was released, a total of 120 days before the report was released for the estimated window.
(B) of the study sample and data sources
Listed companies to 92 voluntary social responsibility report as a benchmark, off the ST companies, financial companies, as well as in the event window in addition to publish annual reports, Dividend distribution Total events will affect the company's share price of major events company. Pairing companies selected from listed companies in Shanghai and Shenzhen is not social responsibility report followed in accordance with the following principles: (1) Place of Listing; (2) in the same industry; (3) BE / ME (interest in the nominal value of capitalization ratio) is closest. Finally, remove the incomplete data of the company, which will ultimately selected 16 pairs for the study sample.
This paper the required data from CSMAR database.
(C) the cumulative daily average abnormal return (CAR) calculated
A normal income estimated
Chen Hsin-yuan Jiang Feng (2005) to all A-share company in December 1990 to December 2003 the two cities for the sample overall test mean adjustment model, the market adjusted model and market model based on the inspection of a variety of testing methods force. Whether the event of the company in the event study whether similar or overlapping, should be adopted by the market model, This article chosen market model to estimate the normal income of the company stock.
Stock returns of the market model: Rit = ¦Ái ¦ÂiRmit ¦Ĺit (1)
Where: Rit stock i in day t yield in this article the data selection CSMAR database does not consider cash dividend rate of return on stocks of the day, Rmit for Day t market rate of return, this paper were selected data according to the the sample company where Exchange CSMAR database Shanghai Composite Index daily rate of return and the Shenzhen Composite Index daily rate of return.
Event window 41 within the stock of each sample, estimate the formula (1) obtained after the model of the estimation window 120 days of data to estimate the daily The normal rate of return Rit.
Calculation of abnormal returns AR
Where, ARit the stock i in day t abnormal yield Rat i stocks in day t actual yield is based on market i stock model to estimate the yield in normal day t.
Cumulative average daily abnormal return (CAR) calculated
Which said the of n stock portfolio accumulated time day average excess return.
(D) abnormal returns significant test
Social Responsibility Report paired samples voluntarily released study sample value
unpublished Social Responsibility Report CAR control samples were calculated
CAR values ??in the entire event window voluntary social responsibility report samples are positive, and there is a slow upward trend, control samples without social responsibility report the CAR values ??are negative for the entire event window, and has been a downward trend, the study sample CAR values ??have continued to increase slightly in the event of future 3 days, while the control sample the CAR value in events within 8 days after the declining, and the decline higher than the incident a few days ago. Described above, voluntary social responsibility report will bring positive excess returns of the stock, voluntary social responsibility report research sample excess returns higher than the control samples unreleased Social Responsibility Report excess returns.
In order to make research more rigorous, this paper investigated further with a paired t-test paired sample the CAR values ??between different time whether there is a significant difference.
Voluntary social responsibility report research samples and Social Responsibility Report unreleased CAR control sample value in each time period there are significant differences, further validation of this article assumptions.
The empirical results show that voluntary social responsibility report of listed companies in China will increase the company's stock excess returns, but the increase is not large. This is a social responsibility report released with the listed companies in China overall quality is low, and the very existence of glossy phenomenon. Social Responsibility Report issued on a voluntary basis, and the contents of the report are almost always positive, and therefore would bring a positive impact on the company's share price, but due to the overall low quality of reporting, so little positive impact.
[1] Chen Mei social responsibility of listed companies in China market reaction Motives [M]. Guangzhou: Jinan University Press, 2008
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