全球對於企業社會責任(CSR)的意識逐漸抬頭，CSR這項議題對於公司的價值也有影響。故本研究探討當市場呈現下跌趨勢時，公司的CSR是否能夠有效降低公司的下方風險(downside beta)？本研究以2003年至2018年從KLD資料庫公布約3000家美國上市公司作為研究樣本，並根據Albuquerque, Koskinen &Zhang (2019)建構相關的CSR指數。本研究在考慮了年份、產業控制效果，發現在控制公司的財務變數後，CSR指數與公司的下方風險呈現顯著負相關。與我們的假說相符，公司在CSR的投入上，具有正面CSR活動的公司享有投資人較多的信任，當市場呈現下跌走勢時，能有效降低系統風險，尤其是下方風險。
考量公司在CSR的投入能吸引更多潛在投資人提升公司股票的廣度，過往文獻指出隨著股票廣度的增加，會改變公司的市場風險。故本研究以Thomson Reuters 13F的資料，並根據Jylhä, Suominen, and Tomunen (2017)的方法計算持股廣度(Breadth)，並進一步區分長中短期的機構投資人，探討是否隨著持股廣度的增加，能否降低公司的下方風險，並進而降低CSR與廣告支出對下方風險的解釋能力。結果與我們的假說相符，隨著持股廣度的增加或是不同持有期間的機構投資人皆可降低公司的下方風險，並降低CSR與廣告支出對下方風險的解釋能力。

Owing to the awareness of corporate social responsibility (CSR) is gradually rising, and CSR also has an impact on the value of companies. Therefore, this study intends to explore whether the company’s CSR can effectively reduce the company’s downside risk when the market shows a downtrend? This study uses about 3,000 US listed companies published from the KLD database from 2003 to 2018 as a research sample, and constructs relevant CSR indices follow by Albuquerque, Koshinen, and Zhang (2019). This study also control the year and industry effects, and finds that after controlling the company’s financial variables, the CSR indices is significantly negatively correlated with the company’s downside risk. Therefore, when the market shows a downtrend, the company’s investment in CSR can decrease the company’s system risks, especially downside risks.
Considering that the company’s investment in CSR can attract more potential investors to holding the stock and reduce the company’s downside risk. In the past, some literatures indicated that as the stock breath increases, the company’s market risk will change. Therefore, this research uses the data from Thomson Reuters 13F and calculates the breadth of institutional ownership based on Jylhä, Suominen, and Tomunen (2017), and further distinguishing different holding period of the investors. Whether the increase in the stock breath can decrease the company’s downside risk. The results are consistent with our hypothesis, with the increase of the breadth or different holding periods of investors can decrease the company’s downside risk.

﹝1﹞ Albuquerque, R., Koskinen, Y., & Zhang, C. (2019). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science, 65(10), 4451-4469.
﹝2﹞ Amihud, Y., Mendelson, H., & Uno, J. (1999). Number of shareholders and stock prices: Evidence from Japan. Journal of Finance, 54(3), 1169-1184.
﹝3﹞ Attig, N., El Ghoul, S., Guedhami, O., & Suh, J. (2013). Corporate social responsibility and credit ratings. Journal of Business Ethics, 117(4), 679-694.
﹝4﹞ Bain, J. S. (1956). Barriers to new competition: The character and consequences in manufacturing industries. Harvard University Press.
﹝5﹞ Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies, 21(2), 785-818.
﹝6﹞ Bawa, V. S., & Lindenberg, E. B. (1977). Capital market equilibrium in a mean-lower partial moment framework. Journal of Financial Economics, 5(2), 189-200.
﹝7﹞ Benston, G. J., & Hagerman, R. L. (1974). Determinants of bid-asked spreads in the over-the-counter market. Journal of Financial Economics, 1(4), 353-364.
﹝8﹞ Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35(1), 1-23.
﹝9﹞ Chen, J., Hong, H., & Stein, J. C. (2002). Breadth of ownership and stock returns. Journal of Financial Economics, 66(2-3), 171-205.
﹝10﹞ Comanor, W. S., & Wilson, T. A. (1979). The effect of advertising on competition: A survey. Journal of Economic Literature, 17(2), 453-476.
﹝11﹞ Deng, X., Kang, J. K., & Low, B. S. (2013). Corporate social responsibility and stakeholder value maximization: Evidence from mergers. Journal of Financial Economics, 110(1), 87-109.
﹝12﹞ El Ghoul, S., Guedhami, O., Kwok, C. C., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35(9), 2388-2406.
﹝13﹞ El Ghoul, S., Guedhami, O., Kim, H., & Park, K. (2018). Corporate environmental responsibility and the cost of capital: International evidence. Journal of Business Ethics, 149(2), 335-361.
﹝14﹞ Fama, E. F., & French, K. R. (2007). Disagreement, tastes, and asset prices. Journal of Financial Economics, 83(3), 667-689.
﹝15﹞ Fombrun, C., & Shanley, M. (1990). What's in a name? Reputation building and corporate strategy. Academy of Management Journal, 33(2), 233-258.
﹝16﹞ Friedman, H. L., & Heinle, M. S. (2016). Taste, information, and asset prices: Implications for the valuation of CSR. Review of Accounting Studies, 21(3), 740-767.
﹝17﹞ Grinblatt, M., & Keloharju, M. (2001). What makes investors trade? Journal of Finance, 56(2), 589-616.
﹝18﹞ Godfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. Academy of Management Review, 30(4), 777-798.
﹝19﹞ Godfrey, P. C., Merrill, C. B., & Hansen, J. M. (2009). The relationship between corporate social responsibility and shareholder value: An empirical test of the risk management hypothesis. Strategic Management Journal, 30(4), 425-445.
﹝20﹞ Gourio, F., & Rudanko, L. (2014). Customer capital. Review of Economic Studies, 81(3), 1102-1136.
﹝21﹞ Goss, A., & Roberts, G. S. (2011). The impact of corporate social responsibility on the cost of bank loans. Journal of Banking & Finance, 35(7), 1794-1810.
﹝22﹞ Grullon, G., Kanatas, G., & Weston, J. P. (2004). Advertising, breadth of ownership, and liquidity. Review of Financial Studies, 17(2), 439-461.
﹝23﹞ Heinkel, R., Kraus, A., & Zechner, J. (2001). The effect of green investment on corporate behavior. Journal of Financial and Quantitative Analysis, 36(4), 431-449.
﹝24﹞ Hirshleifer, D., Levi, Y., Lourie, B., & Teoh, S. H. (2019). Decision fatigue and heuristic analyst forecasts. Journal of Financial Economics, 133(1), 83-98.
﹝25﹞ Hogan, W. W., & Warren, J. M. (1974). Toward the development of an equilibrium capital-market model based on semivariance. Journal of Financial and Quantitative Analysis, 9(1), 1-11.
﹝26﹞ Huberman, G. (2001). Familiarity breeds investment. Review of Financial Studies, 14(3), 659-680.
﹝27﹞ Jylhä, P., Suominen, M., & Tomunen, T. (2018). Beta bubbles. Review of Asset Pricing Studies, 8(1), 1-35.
﹝28﹞ Kahneman, D., & Tversky, A. (1979). On the interpretation of intuitive probability: A Reply to Jonathan Cohen.
﹝29﹞ Kim, J. B., Li, B., & Liu, Z. (2019). Information‐processing costs and breadth of ownership. Contemporary Accounting Research, 36(4), 2408-2436.
﹝30﹞ Lee, D. D., & Faff, R. W. (2009). Corporate sustainability performance and idiosyncratic risk: A global perspective. Financial Review, 44(2), 213-237.
﹝31﹞ Markowitz, H. M. (1959). Portfolio Selection: Efficient Diversification of Investments. Cowles Foundation Monograph, 16.
﹝32﹞ McGuire, J. B., Sundgren, A., & Schneeweis, T. (1988). Corporate social responsibility and firm financial performance. Academy of Management Journal, 31(4), 854-872.
﹝33﹞ McWilliams, A., & Siegel, D. (2000). Corporate social responsibility and financial performance: correlation or misspecification? Strategic Management Journal, 21(5), 603-609.
﹝34﹞ McWilliams, A., Siegel, D. S., & Wright, P. M. (2006). Corporate social responsibility: Strategic implications. Journal of Management Studies, 43(1), 1-18.
﹝35﹞ Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information.
﹝36﹞ Oikonomou, I., Brooks, C., & Pavelin, S. (2012). The impact of corporate social performance on financial risk and utility: A longitudinal analysis. Financial Management, 41(2), 483-515.
﹝37﹞ Orlitzky, M., & Benjamin, J. D. (2001). Corporate social performance and firm risk: A meta-analytic review. Business & Society, 40(4), 369-396.
﹝38﹞ Price, K., Price, B., & Nantell, T. J. (1982). Variance and lower partial moment measures of systematic risk: some analytical and empirical results. Journal of Finance, 37(3), 843-855.
﹝39﹞ Reverte, C. (2012). The impact of better corporate social responsibility disclosure on the cost of equity capital. Corporate Social Responsibility and Environmental Management, 19(5), 253-272.
﹝40﹞ Salama, A., Anderson, K., & Toms, J. S. (2011). Does community and environmental responsibility affect firm risk? Evidence from UK panel data 1994–2006. Business Ethics: A European Review, 20(2), 192-204.
﹝41﹞ Servaes, H., & Tamayo, A. (2013). The impact of corporate social responsibility on firm value: The role of customer awareness. Management Science, 59(5), 1045-1061.