本文之研究目的為，利用事件研究法檢驗不同市場對於企業社會責任（CSR）表現良好或較差之公司反應，採用股價累積平均異常報酬（CAAR）作為衡量標準，比較美國與台灣之投資人對於企業入選道瓊永續指數與天下企業公民獎之異同。結果顯示，企業被納入道瓊永續指數之CAAR為正，被踢除之公司有顯著短暫負報酬，長期宣告效果消失，CAAR反轉。而企業被納入或被踢除天下企業公民獎亦皆有顯著負報酬，但長期負CAAR未反轉，負面效果持續。推測可能原因為「評分機構公信力」與「問卷指標選用」造成宣告效果差異。

The purpose of this study is to examine the response of different markets to corporate social responsibility (CSR) performance using event study method. Using the cumulate average abnormal return (CAAR) as a measure to compare the US and Taiwan investors' different response to Dow Jones Sustainability Index (DJSI) and CommonWealth Magazine CSR Awards. The results show that enterprises have positive return when included in Dow Jones Sustainability Index, while those who are excluded have negative returns. And the announcement effect disappears in the long-term, CAAR reversed. On the other hand, enterprises included in or excluded from CommonWealth Magazine CSR Awards all have negative returns, but the enterprises which are excluded show a larger negative return. And the long-term negative CAAR is not reversed, the negative effect continued. The difference in the announcement effect may be caused by “the credibility of rating institution” and “the questionnaire indicator selection”.

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