隨著企業社會責任（Corporate Social Responsibility）日益成為企業及學者所關注之熱門對象，本研究構建下方風險作為市場情緒低落時的風險指標，並探究以下問題：企業社會責任績效能否降低公司之下方風險？本文以 2003 年至 2013 年在 KLD 資料庫公佈之約 3000 家美國上市公司為研究樣本，用不同的評分標準構建了一個全面的 CSR 評分。本文運用時間、產業固定效應後的追蹤資料迴歸(panel regression)，結果發現，在控制了其他各種公司特徵的影響下，CSR 績效與下方風險呈顯著負相關，此外，即使是在不考慮其他公司特徵的情況下，該結果仍然成立。這與我們的假設相符，企業 CSR 投入能夠在市場情緒低落時降低投資者對於市場的失望程度。

Corporate Social Responsibility (CSR) has been strategic concerns both in practice and academics. This paper adopts the downside beta as a risk indicator when market sentiment is
negative, and investigates the following question: Does corporate social responsibility reduce firm's downside risk? Employing an extensive U.S. sample during the 2003 – 2013 period from KLD database, we develop different scoring standards to construct a comprehensive CSR rating.
To examine the premise, we use panel regression model and control for the year and industry fixed effects. The results show that CSR can decrease firm’s downside risk, and the effect of risk reduction through CSR engagement is economically and statistically significant. It also
means that CSR reduces investors' disappointment in falling market. These findings support our hypothesis.

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