此篇論文使用2014至2019年間美國標普500之公司作為樣本，研究社會企業責任內容揭露對股價是否造成影響。社會企業責任報告屬於公司自願性揭露之內容，理論上，投資人會關注這些額外揭露的內容，進而使市場產生反應。在這份研究中，我探討資本市場投資人是否對於這些自願性揭露之內容有所反應；更進一步，我使用文字探勘的方法分析社會企業責任報告的語調、可讀性。我發現股價並不會因為公司自願性的揭露而有顯著改變，除此之外，市場也不會被揭露報告的品質所影響。總體而言，我的研究發現即便社會大眾對於公司社會企業責任的關注程度越來越高，但資本市場並不會因為社會企業責任的自願性揭露而產生反應。

This study examines whether a voluntary disclosure of corporate social responsibility (CSR) has an impact on stock returns. I assume that when a firm voluntarily publish its CSR standalone report, equity investors may respond to that CSR report given that the report may provide useful and non-financial information. To examine my assumption, I examine US firm listed in the S&P 500 index and the sample period is from 2014 to 2019. Specifically, I hand collect the selected firms’ CSR report. In addition, I analyze the textual information of the CSR reports and measure the tone and the readability of the reports. My empirical results suggest that stock returns do not change significantly after firms make a voluntary disclosure of their CSR activities, indicating that equity investors do not price firms’ stand-alone CSR reports. Furthermore, I find equity investors do not view the quality of CSR reports—captured by the textual information on the tone and the readability, as a price factor of stock returns.

Abstract 3
1. Introduction 4
2. Literature Review 7
2.1 CSR performance and financial performance 7
2.2 CSR information disclosure in standalone report 8
2.3 CSR disclosure and stock return 9
3 Data and Definition of Variables 11
3.1 Data 11
3.2 The measure of the CSR disclosure (DIS) 11
3.3 The measure of the CSR standalone report quality (HIGH_Q) 12
3.4 Control variables 13
3.5 Summary statistics 14
4 Empirical evidence 15
4.1 Preliminary analysis 15
4.2 Multivariate analysis 17
5 Conclusion 18
References 20
List of Figures
Figure 1. Average time between publishing and reporting timing of the CSR report 22
List of Tables
Table 1. The number of reports issued by the company 23
Table 2. Variables definition 24
Table 3. Summary Statistic 25
Table 4. Mean comparison 26
Table 5. Correlation matrix 27
Table 6. Preliminary analysis result 28
Table 7. Multivariate analysis result 29

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