本文旨在研究實踐企業社會責任之公司是否擁有較佳的股票報酬率，以具代表性的永續評比指數－道瓊永續指數（DJSI）為研究對象，將元大臺灣50成分股分為「入選組」與「未入選組」，分析2013年至2017年間，入選瓊永續指數公司之短期及長期股票報酬率是否優於未入選企業。以事件研究法探討短期股價報酬率，研究結果顯示，入選道瓊永續指數之企業未有較佳之股價報酬率，首度入選之企業結果亦同；長期股價報酬率部分，以事件研究法及投資組合績效評估指標包含夏普指數、崔納指數及詹森指數等分析其表現，結果顯示，入選之企業長期股價報酬率仍未優於未入選之企業。本文使用量化的研究方法，實證結果無法證明入選道瓊永續指數之企業擁有較佳的股價報酬率，代表公司在善盡企業社會責任、落實公司治理時，經營穩健、形象正面已反應於股價上，入選單一CSR相關獎項為錦上添花的效果，未能帶來明顯之正面股價報酬。

This paper is to analyze the relationship between corporate social responsibility and stock returns. We choose Dow Jones Sustainability Index (DJSI) as main research object and divide the Yuanta/P-shares Taiwan Top 50 ETF firms into DJSI constituent stocks and non-DJSI constituent stocks from 2013 to 2017. Event study and performance indicators which include Sharpe ratio, Treynor ratio and Jensen’s alpha are used to evaluate the performance of the portfolio. The research shows that the DJSI constituent stocks did not outperform significantly in both short-term and long-term stock return performance. The finding of this study indicated that the companies which fulfill corporate social responsibility and corporate governance have solid performance and positive enterprise image; therefore, the single CSR award is the icing on the cake toward the company.

1.緒論
1.1研究背景與動機…………………………………………….……1
1.2研究流程………………………………………………………….2
2.文獻探討
2.1道瓊永續指數的起源與發展…………………………………….3
2.2道瓊永續指數的衡量指標……………………………………….4
2.3台灣企業入選道瓊永續指數之概況…………………………….5
2.4入選道瓊永續指數與財務績效之關係探討…………………….8
3.研究方法
3.1樣本選取與資料來源………………………...…………………10
3.2研究方法…………………………………….…..………………12
3.3研究假設…………………………………….……..……………15
4.實證分析
4.1事件研究法………………………………….……..……………16
4.2夏普指數…………………………………….……..……………20
4.3崔納指數…………………………………….……..……………20
4.4詹森指數…………………………………….……..……………21
5.結論與建議
5.1研究結論………………………………….………..……………21
5.2研究限制與建議………………………….…..…………………23
附錄….…..……….…..……….…..……….…..……….…...……….….24
參考文獻…….…..………..…..……….……….…..……….……….….30

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