An Empirical Research Of Corporate Social Responsibility's Influence On The Excess Return In Chinese Listed Companies

In recent years,the number of corporate social responsibility reports has gradually increased,and the quality of reports represents the corporate social responsibility performance.Does the release and quality of the CSR report have an impact on the excess return of stocks of listed companies in China? If there is an impact relationship,is this effect different in the short-term and long-term period? Is the relationship affected by the nature of the industry? What mechanism does CSR perform through this phenomenon? This paper analyzes the above problems through theoretical and empirical research.This paper reviews the development of corporate social responsibility,the relationship between corporate social responsibility and market response,the impact mechanism of corporate social responsibility on excess returns from the existing literature.After using the stakeholder theory,the efficient market hypothesis theory and the information asymmetry theory,this paper predicts that corporate social responsibility may have a significant positive impact on stock excess returns.In the empirical analysis,this paper uses the Fama-French three-factor model to calculate the excess return rate of each stock,and then verifies whether the release of CSR report has an impact on the stock excess return rate through the event research method,also tests the correlation between score of CSR report and excess return rate by multiple regression analysis.Then the following conclusions have been reached:(1)The release of CSR report has no significant impact on the shortterm cumulative excess return rate;(2)The CSR score has a positive impact on the long-term excess return rate.Then this paper uses the same empirical analysis method to analysis manufacturing and non-manufacturing industries,and finds that:(1)the CSR of manufacturing and non-manufacturing industries has a significant positive impact on long-term excess return;(2)but in the short term,the impact of manufacturing industry's CSR report release on excess return is still not significant,while the nonmanufacturing CSR information disclosure has a significant positive impact.In the research of the mechanism of corporate social responsibility's influence on excess return,this paper finds the mediation effect of media attention,that is,corporate social responsibility will affect the excess return of stocks through media attention.Finally,instead of original explanatory variable,this paper uses the CAPM model to calculate the excess return in the case of only market portfolio risk is considered,and the empirical results also support the conclusion that corporate social responsibility has a significant positive impact on the excess return.Additionally,we replace the original CSR score with the score of integrity and content,and the result obtained can also support the conclusion of this paper.Based on the corporate social responsibility report issued by the Listed Companies in Shanghai and Shenzhen,this paper elaborates on the relationship between corporate social responsibility and excess return,and shows that the impact of corporate social responsibility on excess return rate has a time effect.This paper also enriches the corporate social responsibility research from the point of view of manufacturing industry and non-manufacturing industry.Last but not least,this paper provides suggestions for Chinese enterprises,governments,regulatory and third-party rating agencies by analyzing the implications of the conclusions.