Why Chinese Financial Market Investors Do Not Care about Corporate Social Responsibility: Evidence from Mergers and Acquisitions
Abstract
:1. Introduction
2. Literature Review and Hypotheses Development
2.1. Company Reputation Channel
2.2. Systematic Risk Channel
2.3. Idiosyncratic Risk Channel
2.4. Hypothesis Development
3. Data and Methods
3.1. Corporate Social Responsibility Data
3.2. Social Media Evaluation Data
3.3. Sample Description
- (1)
- The acquirer was a listed firm and for which the M&A transaction had been completed;
- (2)
- A sample of M&A target companies with a share of more than 50% of the target firm;
- (3)
- A sample of stock prices that are available in the CSMAR database for acquirers so that we could calculate average abnormal returns and cumulative average abnormal returns;
- (4)
- We isolated state-owned enterprises and private enterprises in the sample to examine the differences between the two;
- (5)
- We removed abnormal M&A premium data, which mainly included the samples with M&A premiums of less than negative 100%.
3.4. Econometric Methods
3.4.1. Calculating Abnormal Returns
3.4.2. Identification Strategy
4. Results and Discussion
4.1. Summary Statistics Results
4.2. Main Results
4.3. Robustness Test
4.3.1. Different CAR Methods
4.3.2. Fama–French Five-Factors Model
4.3.3. Difference Between State-Owned and Private Enterprises
4.4. Discussion: Does CSR Help Corporate Mergers and Acquisitions?
4.4.1. Does CSR Affect the Premium of M&A?
4.4.2. Does CSR Affect Post-Merger Integration?
5. Conclusions and Implications
Author Contributions
Funding
Conflicts of Interest
Appendix A
First Level | Second Level | Third Level |
---|---|---|
Shareholder responsibility (30%) | Earnings (10%) | Return on equity (2%), return on assets (2%), chief return on assets (2%), earnings per share (2%) |
Return on cost and expense (1%), undistributed profit per share (1%) | ||
Debt paying (3%) | Debt ratio (1%) | |
Quick ratio (0.5%), current ratio (0.5%) cash ratio (0.5%), equity ratio (0.5%) | ||
Returns (8%) | Dividend yield ratio (3%), dividend share (3%) | |
Dividend financing ratio (2%) | ||
Information disclosure (5%) | Number of penalties imposed by the exchange on companies and related responsible persons (5%) | |
Innovation (4%) | Number of technical innovation projects (2%) | |
Expenditure on product development (1%), concept of technical innovation (1%) | ||
Employee responsibility (15%) | Performance (5%) | Per capita income of employees (4%) |
Staff training (1%) | ||
Safety (5%) | Safety training (3%) | |
Safety check (2%) | ||
Caring for employees (5%) | Consoling employees (2%), consolation money (2%) | |
Consolation consciousness (1%) | ||
Supplier customer and customer responsibility (15%) | Product quality (7%) | Quality management system certificate (4%) |
Quality management awareness (3%) | ||
After-sales service (3%) | Customer satisfaction survey (3%) | |
Integrity and reciprocity (5%) | Fair competition among suppliers (3%) | |
Anti-commercial bribery training (2%) | ||
Environmental responsibility (20%) | Environmental governance (20%) | Amount of environmental protection input (5%) Number of pollutant discharge types (5%) Number of energy saving types (5%) |
Environmental management system certification (3%) | ||
Environmental awareness (2%) | ||
Social responsibility (20%) | Contributed value (20%) | Income tax as a percentage of total profit (10%) |
Amount of public welfare donation (10%) |
Variable | Source | Definition |
---|---|---|
CAR [−1,1] | Calculated by Equation (3) | CAR a day before and after announcement day |
CAR [−2,2] | Calculated by Equation (3) | CAR two days before and after announcement day |
CAR [−3,3] | Calculated by Equation (3) | CAR three days before and after announcement day |
CAR [−5,5] | Calculated by Equation (3) | CAR five days before and after announcement day |
CAR [−2,1] | Calculated by Equation (3) | CAR two days before and one day after announcement day |
CAR [−3,1] | Calculated by Equation (3) | CAR three days before and one day after announcement day |
CSR | Hexun Finance Website | The average of net scores of Hexun Measures on five dimensions include shareholder responsibility, employee responsibility, supplier customer and customer responsibility, environmental responsibility, social responsibility |
Media Evaluation | Calculated by formula (1) | (Positive report frequency − negative report frequency)/(1 + positive report frequency + negative report frequency) |
-3factors Model | CSMAR | Beta coefficient of the market risk premium of the Fama–French three-factors model using daily stock returns of previous 12 months |
-3factors Model | CSMAR | Beta coefficient of the size risk premium of the Fama–French three-factors model using daily stock returns of previous 12 months |
-3factors Model | CSMAR | Beta coefficient of the BM risk premium of the Fama–French three-factors model using daily stock returns of previous 12 months |
Idio-risk-3factors Model | CSMAR | Residual variance of the Fama–French three-factors model using daily stock returns of the previous 12 months |
Firm Size | CSMAR | Natural logarithm of Total Assets |
Liability ratio | CSMAR | Liabilities/Total Assets |
Cash Ratio | CSMAR | Cash and Cash Equivalents/Current Assets |
Tobin Q | CSMAR | Market Value/Total Assets |
Firm Age | Wind | Year of the transaction-established year |
MA Value | CSMAR | Deal Price of Acquisition |
Friendly | SDC | Dummy variable equals one if the merger is a malicious acquisition, and zero if otherwise |
Vertical | SDC | Dummy variable equals one if the merger is a vertical acquisition, and zero if otherwise |
-5factors Model | CSMAR | Beta coefficient of the market risk premium of the Fama–French five-factors model using daily stock returns of previous 12 months |
-5factors Model | CSMAR | Beta coefficient of the size risk premium of the Fama–French five-factors model using daily stock returns of previous 12 months |
-5factors Model | CSMAR | Beta coefficient of the BM risk premium of the Fama–French five-factors model using daily stock returns of previous 12 months |
-5factors Model | CSMAR | Beta coefficient of the RMW risk premium of the Fama–French five-factors model using daily stock returns of previous 12 months |
-5factors Model | CSMAR | Beta coefficient of the CMA risk premium of the Fama–French five-factors model using daily stock returns of previous 12 months |
Idio-risk-5factors Model | CSMAR | Residual variance of the Fama–French five-factors model using daily stock returns of the previous 12 months |
MAPremium1 | CSMAR | (Expense Value − Underlying Value)/Underlying Value × 100% |
MAPremium2 | CSMAR | (Cash Amount + Debt Amount + Equity Amount—Underlying Value)/Underlying Value × 100% |
DROA1 | CSMAR | ROA one year after the M&A transaction to one year before |
DROA2 | CSMAR | Average ROA two years after the M&A transaction to two years before |
DROA3 | CSMAR | Average ROA three years after the M&A transaction to three years before |
DROA4 | CSMAR | Average ROA four years after the M&A transaction to four years before |
DROA5 | CSMAR | Average ROA five years after the M&A transaction to five years before |
Variable | CAR [−2,2] | CAR [−3,1] | CAR [−2,1] | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | Model 7 | Model 8 | Model 9 | Model 10 | Model 11 | Model 12 | |
CSR | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 * | −0.000 * | −0.000 | −0.000 | −0.000 * | −0.000 * | −0.000 | −0.000 |
(−1.34) | (−1.44) | (−0.83) | (−0.43) | (−1.91) | (−1.90) | (−1.16) | (−0.86) | (−1.91) | (−1.90) | (−1.16) | (−0.86) | |
Firm age | 0.000 | 0.000 | 0.000 | 0.001 | 0.000 | 0.000 | −0.000 | 0.000 | 0.000 | 0.000 | −0.000 | 0.000 |
(0.46) | (0.46) | (0.22) | (1.08) | (0.31) | (0.33) | (−0.22) | (0.52) | (0.31) | (0.33) | (−0.22) | (0.52) | |
LNTA | −0.007 * | −0.007 * | −0.009 ** | −0.011 ** | −0.005 *** | −0.005 *** | −0.006 *** | −0.007 *** | −0.005 *** | −0.005 *** | −0.006 *** | −0.007 *** |
(−1.74) | (−1.70) | (−2.08) | (−2.42) | (−2.82) | (−2.72) | (−3.29) | (−3.97) | (−2.82) | (−2.72) | (−3.29) | (−3.97) | |
Cash ratio | −0.003 | −0.003 | −0.001 | 0.000 | −0.002 | −0.002 | −0.001 | −0.000 | −0.002 | −0.002 | −0.001 | −0.000 |
(−1.09) | (−0.61) | (−0.22) | (0.05) | (−1.58) | (−1.02) | (−0.43) | (−0.13) | (−1.58) | (−1.02) | (−0.43) | (−0.13) | |
Liability ratio | −0.003 | −0.003 | −0.003 | 0.010 | 0.007 | 0.007 | 0.009 | 0.014 | 0.007 | 0.007 | 0.009 | 0.014 |
(−0.13) | (−0.10) | (−0.10) | (0.36) | (0.70) | (0.65) | (0.91) | (1.48) | (0.70) | (0.65) | (0.91) | (1.48) | |
TobinQ | 0.005 *** | 0.005 * | 0.001 | 0.000 | 0.001 ** | 0.001 | −0.000 | −0.001 | 0.001 ** | 0.001 | −0.000 | −0.001 |
(2.81) | (1.74) | (0.43) | (0.00) | (2.03) | (1.49) | (−0.20) | (−0.59) | (2.03) | (1.49) | (−0.20) | (−0.59) | |
MAValue | 0.000 *** | 0.000 ** | 0.000 ** | 0.000 ** | 0.000 *** | 0.000 ** | 0.000 ** | 0.000 ** | 0.000 *** | 0.000 ** | 0.000 ** | 0.000 ** |
(4.12) | (2.17) | (2.17) | (2.31) | (3.85) | (2.22) | (2.21) | (2.39) | (3.85) | (2.22) | (2.21) | (2.39) | |
Friendly | 0.051 ** | 0.051 *** | 0.033 *** | 0.032 *** | 0.023 ** | 0.023 *** | 0.014 ** | 0.014 ** | 0.023 ** | 0.023 *** | 0.014 ** | 0.014 ** |
(2.28) | (4.57) | (2.76) | (2.71) | (2.57) | (4.24) | (2.25) | (2.16) | (2.57) | (4.24) | (2.25) | (2.16) | |
Vertical | 0.022 *** | 0.022 *** | 0.018 *** | 0.017 ** | 0.004 | 0.004 | 0.002 | 0.002 | 0.004 | 0.004 | 0.002 | 0.002 |
(2.78) | (3.26) | (2.65) | (2.45) | (1.33) | (1.50) | (0.71) | (0.60) | (1.33) | (1.50) | (0.71) | (0.60) | |
Constant | −0.022 | −0.022 | −0.024 | −0.054 * | −0.002 | −0.002 | −0.004 | −0.011 | −0.002 | −0.002 | −0.004 | −0.011 |
(−0.78) | (−1.02) | (−1.11) | (−1.96) | (−0.17) | (−0.22) | (−0.47) | (−1.00) | (−0.17) | (−0.22) | (−0.47) | (−1.00) | |
Year FE | No | No | Yes | Yes | No | No | Yes | Yes | No | No | Yes | Yes |
Industry FE | No | No | No | Yes | No | No | No | Yes | No | No | No | Yes |
Cluster | No | Yes | Yes | Yes | No | Yes | Yes | Yes | No | Yes | Yes | Yes |
N | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 |
Adj R2 | 0.042 | 0.042 | 0.107 | 0.121 | 0.040 | 0.040 | 0.118 | 0.127 | 0.040 | 0.040 | 0.118 | 0.127 |
Variable | CAR [−2,2] | CAR [−3,1] | CAR [−2,1] | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | Model 7 | Model 8 | Model 9 | Model 10 | Model 11 | Model 12 | |
CSR | −0.000 | −0.000 | 0.000 | 0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 |
(−1.05) | (−1.09) | (0.19) | (0.45) | (−1.55) | (−1.50) | (−0.68) | (−0.51) | (−1.55) | (−1.50) | (−0.68) | (−0.51) | |
-3factors Model | 0.014 ** | 0.014 * | 0.052 *** | 0.049 *** | 0.004 | 0.004 | 0.014 *** | 0.013 *** | 0.004 | 0.004 | 0.014 *** | 0.013 *** |
(2.31) | (1.90) | (4.28) | (4.05) | (1.43) | (1.25) | (3.04) | (2.62) | (1.43) | (1.25) | (3.04) | (2.62) | |
-3factors Model | −0.002 | −0.002 | −0.005 | −0.004 | −0.001 | −0.001 | −0.002 | −0.002 | −0.001 | −0.001 | −0.002 | −0.002 |
(−1.24) | (−1.10) | (−1.05) | (−0.87) | (−1.32) | (−1.35) | (−1.14) | (−0.97) | (−1.32) | (−1.35) | (−1.14) | (−0.97) | |
-3factors Model | 0.002 | 0.002 | 0.008 | 0.008 | −0.000 | −0.000 | 0.003 | 0.003 | −0.000 | −0.000 | 0.003 | 0.003 |
(0.86) | (0.73) | (1.05) | (1.05) | (−0.46) | (−0.44) | (0.91) | (0.89) | (−0.46) | (−0.44) | (0.91) | (0.89) | |
Idio-risk-3factors Model3factors | 0.005 * | 0.005 | 0.015 *** | 0.016 *** | 0.002 | 0.002 | 0.005 ** | 0.006 *** | 0.002 | 0.002 | 0.005 ** | 0.006 *** |
(1.78) | (1.36) | (2.87) | (2.84) | (1.63) | (1.47) | (2.55) | (2.63) | (1.63) | (1.47) | (2.55) | (2.63) | |
Media Evaluation | 0.000 | 0.000 | −0.000 | −0.000 | 0.000 | 0.000 | −0.000 | −0.000 | 0.000 | 0.000 | −0.000 | −0.000 |
(1.64) | (1.54) | (−0.09) | (−0.29) | (1.32) | (1.24) | (−0.14) | (−0.17) | (1.32) | (1.24) | (−0.14) | (−0.17) | |
Firm age | 0.001 | 0.001 | 0.000 | 0.001 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
(0.98) | (1.05) | (0.50) | (0.97) | (0.87) | (1.03) | (0.54) | (0.89) | (0.87) | (1.03) | (0.54) | (0.89) | |
LNTA | −0.010 ** | −0.010 ** | −0.011 ** | −0.012 ** | −0.006 *** | −0.006 *** | −0.006 *** | −0.007 *** | −0.006 *** | −0.006 *** | −0.006 *** | −0.007 *** |
(−2.16) | (−2.13) | (−2.27) | (−2.50) | (−3.44) | (−3.29) | (−2.91) | (−3.50) | (−3.44) | (−3.29) | (−2.91) | (−3.50) | |
Cash ratio | −0.003 | −0.003 | 0.001 | 0.002 | −0.002 | −0.002 | −0.001 | −0.000 | −0.002 | −0.002 | −0.001 | −0.000 |
(−1.09) | (−0.59) | (0.13) | (0.38) | (−1.51) | (−0.97) | (−0.32) | (−0.12) | (−1.51) | (−0.97) | (−0.32) | (−0.12) | |
Liability ratio | −0.008 | −0.008 | −0.009 | 0.007 | 0.005 | 0.005 | 0.003 | 0.008 | 0.005 | 0.005 | 0.003 | 0.008 |
(−0.31) | (−0.25) | (−0.34) | (0.26) | (0.47) | (0.44) | (0.27) | (0.73) | (0.47) | (0.44) | (0.27) | (0.73) | |
TobinQ | 0.004 * | 0.004 | −0.002 | −0.004 | 0.001 | 0.001 | −0.001 | −0.002 | 0.001 | 0.001 | −0.001 | −0.002 |
(1.72) | (0.98) | (−0.84) | (−1.30) | (1.14) | (0.73) | (−0.88) | (−1.28) | (1.14) | (0.73) | (−0.88) | (−1.28) | |
MAValue | 0.000 *** | 0.000 ** | 0.000 ** | 0.000 *** | 0.000 *** | 0.000 ** | 0.000 *** | 0.000 *** | 0.000 *** | 0.000 ** | 0.000 *** | 0.000 *** |
(3.77) | (2.38) | (2.54) | (2.91) | (3.46) | (2.48) | (2.67) | (3.09) | (3.46) | (2.48) | (2.67) | (3.09) | |
Friendly | 0.059 *** | 0.059 *** | 0.034 *** | 0.033 *** | 0.023 ** | 0.023 *** | 0.014 ** | 0.014 ** | 0.023 ** | 0.023 *** | 0.014 ** | 0.014 ** |
(2.64) | (4.72) | (2.66) | (2.71) | (2.55) | (3.91) | (2.22) | (2.19) | (2.55) | (3.91) | (2.22) | (2.19) | |
Vertical | 0.024 *** | 0.024 *** | 0.017 ** | 0.014 * | 0.006 * | 0.006 ** | 0.004 | 0.003 | 0.006 * | 0.006 ** | 0.004 | 0.003 |
(2.79) | (3.26) | (2.24) | (1.93) | (1.87) | (2.10) | (1.23) | (1.06) | (1.87) | (2.10) | (1.23) | (1.06) | |
Constant | −0.076 ** | −0.076 ** | −0.243 *** | −0.193 *** | −0.016 | −0.016 | −0.070 *** | −0.052 *** | −0.016 | −0.016 | −0.070 *** | −0.052 *** |
(−2.32) | (−2.57) | (−4.29) | (−3.73) | (−1.19) | (−1.41) | (−3.15) | (−2.60) | (−1.19) | (−1.41) | (−3.15) | (−2.60) | |
Year FE | No | No | Yes | Yes | No | No | Yes | Yes | No | No | Yes | Yes |
Industry FE | No | No | No | Yes | No | No | No | Yes | No | No | No | Yes |
Cluster | No | Yes | Yes | Yes | No | Yes | Yes | Yes | No | Yes | Yes | Yes |
N | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 |
Adj R2 | 0.051 | 0.051 | 0.210 | 0.220 | 0.052 | 0.052 | 0.165 | 0.169 | 0.052 | 0.052 | 0.165 | 0.169 |
Variable | Channel One | Channel Two | Channel Three | ||||
---|---|---|---|---|---|---|---|
-5factors Model | -5factors Model | -5factors Model | -5factors Model | -5factors Model | Idio-risk-5factors Model | Media Evaluation | |
CSR | 0.001 | 0.001 | −0.000 | −0.003 ** | 0.007 | −0.001 | 0.128 *** |
(0.75) | (0.19) | (−0.05) | (−2.48) | (1.51) | (−0.26) | (3.68) | |
Firm age | −0.002 | −0.000 | −0.012 | −0.004 | −0.016 | 0.019 | 0.079 |
(−1.03) | (−0.02) | (−0.88) | (−0.86) | (−0.83) | (1.12) | (0.70) | |
LNTA | −0.013 | 0.178 ** | −0.360 *** | 0.012 | −0.146 | −0.387 *** | 2.870 *** |
(−0.84) | (2.03) | (−4.64) | (0.42) | (−1.37) | (−4.05) | (3.63) | |
Cash ratio | −0.002 | −0.003 | 0.000 | 0.005 | −0.057 | 0.033 | −0.816 |
(−0.25) | (−0.08) | (0.01) | (0.36) | (−0.55) | (0.52) | (−1.49) | |
Liability ratio | 0.031 | 0.466 | 1.353 *** | 0.130 | 1.366 ** | 1.526 *** | −10.339 ** |
(0.37) | (0.82) | (2.87) | (0.76) | (2.31) | (3.02) | (−2.07) | |
TobinQ | −0.021 *** | 0.062 | 0.019 | 0.019 | 0.070 | −0.098 *** | −0.471 |
(−2.75) | (0.96) | (0.36) | (1.17) | (0.82) | (−2.79) | (−1.18) | |
MAValue | 0.000 ** | −0.000 | −0.000 | −0.000 *** | 0.000 | 0.000 | −0.000 |
(2.37) | (−1.29) | (−0.65) | (−2.78) | (1.24) | (0.14) | (−0.19) | |
Friendly | −0.023 | −0.287 | 0.047 | 0.106 | 0.146 | −0.266 | −0.401 |
(−0.38) | (−1.20) | (0.22) | (0.84) | (0.35) | (−0.78) | (−0.13) | |
Vertical | 0.014 | 0.131 | −0.011 | −0.046 | −0.321 | −0.056 | −1.517 |
(0.59) | (0.87) | (−0.07) | (−0.96) | (−1.01) | (−0.28) | (−1.29) | |
Constant | 1.706 *** | 4.636 *** | −9.101 *** | 1.130 *** | −34.698 *** | −6.118 *** | 19.487 *** |
(19.43) | (9.15) | (−13.42) | (4.17) | (−26.72) | (−8.12) | (3.19) | |
Year FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Industry FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Cluster | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
N | 1188 | 1188 | 1188 | 1032 | 1188 | 1188 | 1188 |
Adj R2 | 0.537 | 0.493 | 0.879 | 0.841 | 0.951 | 0.597 | 0.168 |
Variable | CAR [−5,5] | CAR [−3,3] | CAR [−1,1] | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | Model 7 | Model 8 | Model 9 | Model 10 | Model 11 | Model 12 | |
CSR | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 |
(−0.83) | (−0.88) | (−1.07) | (−0.70) | (−0.66) | (−0.69) | (−1.06) | (−0.66) | (−0.42) | (−0.44) | (−0.68) | (−0.19) | |
-3factors Model | 0.093 *** | 0.093 *** | 0.125 *** | 0.126 *** | 0.074 *** | 0.074 *** | 0.095 *** | 0.096 *** | 0.038 *** | 0.038 *** | 0.050 *** | 0.051 *** |
(7.04) | (4.66) | (5.39) | (5.39) | (7.00) | (4.98) | (5.49) | (5.42) | (5.73) | (4.61) | (5.09) | (5.03) | |
-3factors Model | −0.005 ** | −0.005 | −0.007 | −0.005 | −0.004 * | −0.004 | −0.004 | −0.003 | −0.002 | −0.002 | −0.003 | −0.002 |
(−2.04) | (−1.33) | (−1.32) | (−0.98) | (−1.81) | (−1.29) | (−1.09) | (−0.75) | (−1.38) | (−1.10) | (−1.05) | (−0.86) | |
-3factors Model | 0.010 *** | 0.010 ** | 0.018 ** | 0.015 * | 0.007 *** | 0.007 ** | 0.012 * | 0.010 | 0.002 | 0.002 | 0.005 | 0.004 |
(3.14) | (2.30) | (2.26) | (1.89) | (2.78) | (2.11) | (1.93) | (1.56) | (0.94) | (0.70) | (1.20) | (1.06) | |
-5factors Model | −0.002 | −0.002 | −0.015 *** | −0.013 *** | −0.001 | −0.001 | −0.010 *** | −0.009 ** | 0.001 | 0.001 | −0.005 ** | −0.005 ** |
(−1.36) | (−1.14) | (−3.30) | (−3.08) | (−0.83) | (−0.71) | (−2.84) | (−2.55) | (0.81) | (0.71) | (−2.34) | (−2.16) | |
-5factors Model | −0.003 | −0.003 | −0.005 | −0.004 | −0.003 | −0.003 | −0.003 | −0.003 | −0.002 | −0.002 | −0.002 | −0.002 |
(−1.56) | (−1.14) | (−1.47) | (−1.23) | (−1.51) | (−1.11) | (−1.32) | (−1.13) | (−1.46) | (−1.05) | (−1.13) | (−1.14) | |
Idio-risk-5factors Model3factors | 0.002 | 0.002 | 0.012 | 0.010 | 0.001 | 0.001 | 0.006 | 0.005 | 0.004 * | 0.004 | 0.009 ** | 0.008 ** |
(0.37) | (0.35) | (1.23) | (1.07) | (0.24) | (0.24) | (0.90) | (0.76) | (1.69) | (1.58) | (2.10) | (2.01) | |
Media Evaluation | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 |
(−0.41) | (−0.41) | (−0.49) | (−0.73) | (−0.73) | (−0.74) | (−0.69) | (−0.89) | (−0.23) | (−0.22) | (−0.16) | (−0.48) | |
Firm age | −0.000 | −0.000 | 0.000 | 0.001 | −0.000 | −0.000 | −0.000 | 0.000 | −0.000 | −0.000 | −0.000 | 0.000 |
(−0.08) | (−0.08) | (0.00) | (0.58) | (−0.32) | (−0.30) | (−0.12) | (0.48) | (−0.79) | (−0.68) | (−0.52) | (0.25) | |
LNTA | −0.011 | −0.011 | −0.008 | −0.009 | −0.012 ** | −0.012 ** | −0.009 | −0.011 * | −0.008 ** | −0.008 ** | −0.006 | −0.007 * |
(−1.56) | (−1.48) | (−1.01) | (−1.20) | (−2.22) | (−2.06) | (−1.49) | (−1.73) | (−2.34) | (−2.07) | (−1.54) | (−1.82) | |
Cash ratio | −0.001 | −0.001 | −0.001 | 0.001 | −0.001 | −0.001 | −0.002 | 0.000 | −0.003 | −0.003 | −0.003 | −0.002 |
(−0.24) | (−0.13) | (−0.14) | (0.13) | (−0.36) | (−0.20) | (−0.22) | (0.07) | (−1.23) | (−0.77) | (−0.77) | (−0.47) | |
Liability ratio | −0.014 | −0.014 | −0.011 | 0.023 | −0.007 | −0.007 | −0.007 | 0.017 | −0.006 | −0.006 | −0.007 | 0.010 |
(−0.38) | (−0.33) | (−0.25) | (0.50) | (−0.22) | (−0.20) | (−0.22) | (0.47) | (−0.34) | (−0.31) | (−0.35) | (0.48) | |
TobinQ | 0.004 | 0.004 | 0.005 | 0.003 | 0.003 | 0.003 | 0.004 | 0.002 | 0.001 | 0.001 | 0.002 | 0.001 |
(1.39) | (0.97) | (1.58) | (0.93) | (1.22) | (0.74) | (1.22) | (0.66) | (0.71) | (0.49) | (0.93) | (0.39) | |
MAValue | 0.000 ** | 0.000 | 0.000 | 0.000 | 0.000 *** | 0.000 * | 0.000 ** | 0.000 ** | 0.000 *** | 0.000 ** | 0.000 *** | 0.000 *** |
(2.44) | (1.34) | (1.43) | (1.58) | (3.22) | (1.88) | (2.00) | (2.18) | (3.76) | (2.46) | (2.64) | (2.85) | |
Friendly | 0.048 | 0.048 ** | 0.048 ** | 0.053 ** | 0.041 | 0.041 ** | 0.043 ** | 0.046 *** | 0.027 | 0.027 ** | 0.026 * | 0.028 ** |
(1.20) | (2.13) | (2.27) | (2.50) | (1.30) | (2.49) | (2.56) | (2.65) | (1.36) | (2.10) | (1.96) | (2.03) | |
Vertical | 0.039 *** | 0.039 *** | 0.033 *** | 0.029 ** | 0.029 *** | 0.029 *** | 0.025 *** | 0.021 ** | 0.012 * | 0.012 ** | 0.010 * | 0.008 |
(2.95) | (3.44) | (2.94) | (2.47) | (2.73) | (3.07) | (2.63) | (2.20) | (1.90) | (2.16) | (1.77) | (1.35) | |
Constant | −0.143 *** | −0.143 *** | −0.634 *** | −0.653 *** | −0.100 ** | −0.100 *** | −0.446 *** | −0.464 *** | −0.040 | −0.040 * | −0.252 *** | −0.261 *** |
(−2.69) | (−3.08) | (−4.74) | (−5.32) | (−2.35) | (−2.68) | (−4.22) | (−4.73) | (−1.53) | (−1.77) | (−3.87) | (−4.29) | |
Year FE | No | No | Yes | Yes | No | No | Yes | Yes | No | No | Yes | Yes |
Industry FE | No | No | No | Yes | No | No | No | Yes | No | No | No | Yes |
Cluster | No | Yes | Yes | Yes | No | Yes | Yes | Yes | No | Yes | Yes | Yes |
N | 1032 | 1032 | 1032 | 1032 | 1032 | 1032 | 1032 | 1032 | 1032 | 1032 | 1032 | 1032 |
Adj R2 | 0.124 | 0.124 | 0.159 | 0.172 | 0.132 | 0.132 | 0.164 | 0.173 | 0.117 | 0.117 | 0.146 | 0.157 |
Variable | CAR [−5,5] | CAR [−3,3] | CAR [−1,1] | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | Model 7 | Model 8 | Model 9 | Model 10 | Model 11 | Model 12 | |
CSR | −0.001 * | −0.001 * | −0.000 | −0.000 | −0.001 * | −0.001 * | −0.000 | −0.000 | −0.000 * | −0.000 * | −0.000 | −0.000 |
(−1.69) | (−1.83) | (−1.24) | (−1.14) | (−1.69) | (−1.81) | (−1.18) | (−0.97) | (−1.68) | (−1.69) | (−1.10) | (−0.82) | |
CSR*SOE | 0.000 | 0.000 | −0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
(0.21) | (0.26) | (−0.00) | (0.24) | (0.54) | (0.62) | (0.25) | (0.39) | (1.20) | (1.30) | (0.91) | (1.08) | |
Firm age | 0.000 | 0.000 | −0.000 | 0.000 | 0.000 | 0.000 | −0.000 | 0.000 | 0.000 | 0.000 | −0.000 | 0.000 |
(0.01) | (0.01) | (−0.12) | (0.52) | (0.08) | (0.08) | (−0.08) | (0.59) | (0.04) | (0.03) | (−0.14) | (0.79) | |
LNTA | −0.009 | −0.009 | −0.012 * | −0.015 ** | −0.010 ** | −0.010 ** | −0.012 ** | −0.015 *** | −0.007 ** | −0.007 ** | −0.008 ** | −0.010 *** |
(−1.48) | (−1.46) | (−1.88) | (−2.19) | (−2.10) | (−2.06) | (−2.37) | (−2.77) | (−2.29) | (−2.12) | (−2.33) | (−2.87) | |
Cash ratio | −0.002 | −0.002 | 0.001 | 0.002 | −0.003 | −0.003 | −0.000 | 0.001 | −0.004 * | −0.004 | −0.002 | −0.001 |
(−0.44) | (−0.24) | (0.13) | (0.33) | (−0.82) | (−0.45) | (−0.05) | (0.18) | (−1.79) | (−1.06) | (−0.71) | (−0.42) | |
Liability ratio | 0.004 | 0.004 | 0.005 | 0.028 | 0.004 | 0.004 | 0.004 | 0.023 | −0.002 | −0.002 | −0.002 | 0.012 |
(0.12) | (0.10) | (0.13) | (0.66) | (0.15) | (0.13) | (0.14) | (0.68) | (−0.09) | (−0.08) | (−0.08) | (0.62) | |
TobinQ | 0.007 *** | 0.007 ** | 0.003 | 0.000 | 0.006 *** | 0.006 * | 0.002 | 0.000 | 0.003 ** | 0.003 * | 0.001 | −0.000 |
(3.04) | (2.01) | (0.65) | (0.11) | (3.07) | (1.86) | (0.56) | (0.08) | (2.57) | (1.68) | (0.35) | (−0.13) | |
MAValue | 0.000 *** | 0.000 | 0.000 | 0.000 | 0.000 *** | 0.000 ** | 0.000 ** | 0.000 ** | 0.000 *** | 0.000 ** | 0.000 ** | 0.000 *** |
(3.08) | (1.52) | (1.45) | (1.55) | (3.94) | (2.01) | (1.98) | (2.11) | (4.56) | (2.55) | (2.56) | (2.80) | |
Friendly | 0.057 * | 0.057 *** | 0.033 * | 0.031 | 0.052 * | 0.052 *** | 0.031 ** | 0.030 ** | 0.040 ** | 0.040 *** | 0.026 ** | 0.025 ** |
(1.65) | (3.01) | (1.78) | (1.61) | (1.91) | (3.90) | (2.19) | (1.97) | (2.35) | (4.13) | (2.42) | (2.35) | |
Vertical | 0.042 *** | 0.042 *** | 0.036 *** | 0.035 *** | 0.032 *** | 0.032 *** | 0.027 *** | 0.026 *** | 0.014 ** | 0.014 *** | 0.011 ** | 0.010 * |
(3.45) | (4.12) | (3.50) | (3.24) | (3.30) | (3.80) | (3.17) | (2.93) | (2.31) | (2.64) | (2.04) | (1.85) | |
Constant | −0.020 | −0.020 | −0.026 | −0.079 ** | −0.016 | −0.016 | −0.021 | −0.065 ** | −0.005 | −0.005 | −0.008 | −0.031 |
(−0.47) | (−0.60) | (−0.76) | (−1.98) | (−0.47) | (−0.60) | (−0.77) | (−2.01) | (−0.25) | (−0.31) | (−0.46) | (−1.44) | |
Year FE | No | No | Yes | Yes | No | No | Yes | Yes | No | No | Yes | Yes |
Industry FE | No | No | No | Yes | No | No | No | Yes | No | No | No | Yes |
Cluster | No | Yes | Yes | Yes | No | Yes | Yes | Yes | No | Yes | Yes | Yes |
N | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 |
Adj. R2 | 0.039 | 0.039 | 0.096 | 0.111 | 0.047 | 0.047 | 0.111 | 0.124 | 0.043 | 0.043 | 0.110 | 0.126 |
Variable | Channel One | Channel Two | Channel Three | ||
---|---|---|---|---|---|
-3factors Model | -3factors Model | -3factors Model | Idio-risk-3factors Model | Media Evaluation | |
CSR | −0.001 | 0.002 | −0.000 | 0.000 | 0.119 *** |
(−0.98) | (0.63) | (−0.19) | (1.60) | (2.66) | |
CSR SOE | 0.002 *** | 0.002 | −0.001 | −0.000 * | 0.015 |
(2.74) | (0.57) | (−0.44) | (−1.66) | (0.39) | |
Firm age | −0.001 | 0.001 | −0.003 | −0.000 | 0.076 |
(−0.55) | (0.13) | (−0.43) | (−0.93) | (0.67) | |
LNTA | 0.014 | 0.003 | −0.222 *** | 0.001 | 2.818 *** |
(0.78) | (0.04) | (−4.76) | (0.76) | (3.53) | |
Cash ratio | −0.005 | 0.047 | 0.027 | 0.000 | −0.823 |
(−0.62) | (1.38) | (1.33) | (1.08) | (−1.50) | |
Liability ratio | −0.093 | 0.698 * | 0.699 ** | 0.014 *** | −10.452 ** |
(−1.05) | (1.77) | (2.58) | (3.05) | (−2.09) | |
TobinQ | −0.020 ** | 0.030 | −0.006 | 0.001 | −0.471 |
(−2.06) | (0.76) | (−0.24) | (1.45) | (−1.18) | |
MAValue | 0.000 * | −0.000 | −0.000 * | −0.000 | −0.000 |
(1.76) | (−1.10) | (−1.85) | (−1.57) | (−0.09) | |
Friendly | −0.054 | −0.174 | −0.029 | −0.001 | −0.428 |
(−0.86) | (−0.89) | (−0.22) | (−0.79) | (−0.14) | |
Vertical | 0.025 | 0.122 | 0.065 | −0.001 | −1.493 |
(0.99) | (1.09) | (1.00) | (−0.48) | (−1.27) | |
Constant | 2.619 *** | 2.769 *** | 3.281 *** | 0.267 *** | 19.507 *** |
(26.93) | (6.43) | (13.18) | (51.55) | (3.19) | |
Year FE | Yes | Yes | Yes | Yes | Yes |
Industry FE | Yes | Yes | Yes | Yes | Yes |
Cluster | Yes | Yes | Yes | Yes | Yes |
N | 1188 | 1188 | 1188 | 1188 | 1188 |
Adj. R2 | 0.752 | 0.680 | 0.697 | 0.975 | 0.167 |
Variable | CAR [−5,5] | CAR [−3,3] | CAR [−1,1] | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | Model 7 | Model 8 | Model 9 | Model 10 | Model 11 | Model 12 | |
CSR | −0.001 | −0.001 * | −0.000 | −0.000 | −0.001 | −0.001 * | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 |
(−1.55) | (−1.68) | (−0.45) | (−0.19) | (−1.57) | (−1.69) | (−0.52) | (−0.17) | (−1.59) | (−1.60) | (−0.61) | (−0.29) | |
CSR SOE | 0.000 | 0.000 | 0.000 | −0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
(0.26) | (0.30) | (0.26) | (−0.03) | (0.69) | (0.78) | (0.68) | (0.32) | (1.22) | (1.31) | (1.23) | (1.02) | |
-3factors Model | 0.024 ** | 0.024 ** | 0.087 *** | 0.085 *** | 0.018 ** | 0.018 ** | 0.066 *** | 0.063 *** | 0.010 ** | 0.010 * | 0.037 *** | 0.035 *** |
(2.51) | (1.98) | (4.43) | (4.40) | (2.42) | (2.00) | (4.40) | (4.17) | (2.23) | (1.83) | (4.13) | (3.81) | |
-3factors Model | −0.003 | −0.003 | −0.012 | −0.010 | −0.003 | −0.003 | −0.010 | −0.008 | −0.002 | −0.002 | −0.005 | −0.004 |
(−1.14) | (−0.91) | (−1.52) | (−1.29) | (−1.32) | (−1.17) | (−1.61) | (−1.33) | (−1.48) | (−1.31) | (−1.36) | (−1.14) | |
-3factors Model | 0.007 * | 0.007 | 0.019 | 0.018 | 0.005 | 0.005 | 0.015 | 0.014 | 0.000 | 0.000 | 0.007 | 0.006 |
(1.67) | (1.34) | (1.49) | (1.46) | (1.46) | (1.24) | (1.62) | (1.55) | (0.11) | (0.09) | (1.12) | (1.07) | |
Idio-risk-3factors Model3factors | 0.009 ** | 0.009 | 0.020 ** | 0.020 ** | 0.006 * | 0.006 | 0.016 ** | 0.017 ** | 0.005 ** | 0.005 | 0.013 *** | 0.014 *** |
(2.04) | (1.39) | (2.25) | (2.24) | (1.80) | (1.38) | (2.39) | (2.39) | (2.09) | (1.59) | (3.39) | (3.38) | |
Media Evaluation | 0.000 | 0.000 | −0.000 | −0.000 | 0.000 | 0.000 | −0.000 | −0.000 | 0.000 | 0.000 | −0.000 | −0.000 |
(1.59) | (1.49) | (−0.41) | (−0.47) | (1.42) | (1.32) | (−0.52) | (−0.62) | (1.58) | (1.45) | (−0.04) | (−0.34) | |
Firm age | 0.001 | 0.001 | 0.000 | 0.000 | 0.001 | 0.001 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
(0.72) | (0.75) | (0.12) | (0.54) | (0.69) | (0.70) | (0.17) | (0.61) | (0.59) | (0.64) | (0.15) | (0.74) | |
LNTA | −0.010 | −0.010 | −0.012 * | −0.014 ** | −0.013 ** | −0.013 ** | −0.013 ** | −0.015 *** | −0.009 *** | −0.009 *** | −0.009 ** | −0.010 *** |
(−1.48) | (−1.44) | (−1.75) | (−1.99) | (−2.31) | (−2.29) | (−2.35) | (−2.65) | (−2.76) | (−2.59) | (−2.45) | (−2.76) | |
Cash ratio | −0.004 | −0.004 | 0.003 | 0.004 | −0.003 | −0.003 | 0.001 | 0.003 | −0.004 * | −0.004 | −0.001 | −0.000 |
(−0.80) | (−0.39) | (0.35) | (0.55) | (−0.98) | (−0.50) | (0.23) | (0.46) | (−1.74) | (−1.00) | (−0.35) | (−0.09) | |
Liability ratio | −0.026 | −0.026 | −0.022 | 0.005 | −0.010 | −0.010 | −0.011 | 0.012 | −0.003 | −0.003 | −0.005 | 0.011 |
(−0.68) | (−0.55) | (−0.54) | (0.11) | (−0.34) | (−0.28) | (−0.34) | (0.37) | (−0.15) | (−0.13) | (−0.27) | (0.54) | |
TobinQ | 0.008 ** | 0.008 | −0.001 | −0.003 | 0.005 * | 0.005 | −0.002 | −0.004 | 0.002 | 0.002 | −0.002 | −0.003 |
(2.34) | (1.33) | (−0.27) | (−0.85) | (1.89) | (1.10) | (−0.69) | (−1.30) | (1.52) | (0.88) | (−0.86) | (−1.36) | |
MAValue | 0.000 *** | 0.000 | 0.000 | 0.000 * | 0.000 *** | 0.000 ** | 0.000 ** | 0.000 *** | 0.000 *** | 0.000 *** | 0.000 *** | 0.000 *** |
(2.88) | (1.59) | (1.55) | (1.73) | (3.65) | (2.19) | (2.29) | (2.59) | (4.18) | (2.90) | (3.23) | (3.68) | |
Friendly | 0.074 ** | 0.074 *** | 0.034 * | 0.033 * | 0.064 ** | 0.064 *** | 0.032 ** | 0.032 ** | 0.043 *** | 0.043 *** | 0.026 ** | 0.025 ** |
(2.19) | (3.38) | (1.75) | (1.71) | (2.36) | (4.22) | (2.15) | (2.09) | (2.63) | (4.32) | (2.29) | (2.33) | |
Vertical | 0.042 *** | 0.042 *** | 0.029 *** | 0.026 ** | 0.033 *** | 0.033 *** | 0.023 ** | 0.020 ** | 0.019 *** | 0.019 *** | 0.014 ** | 0.012 ** |
(3.20) | (3.69) | (2.65) | (2.33) | (3.14) | (3.58) | (2.52) | (2.20) | (2.97) | (3.48) | (2.54) | (2.18) | |
Constant | −0.110 ** | −0.110 ** | −0.364 *** | −0.267 *** | −0.081 ** | −0.081 ** | −0.285 *** | −0.213 *** | −0.046 * | −0.046 ** | −0.177 *** | −0.141 *** |
(−2.22) | (−2.42) | (−3.99) | (−3.52) | (−2.04) | (−2.23) | (−4.07) | (−3.56) | (−1.88) | (−2.06) | (−4.10) | (−3.73) | |
Year FE | No | No | Yes | Yes | No | No | Yes | Yes | No | No | Yes | Yes |
Industry FE | No | No | No | Yes | No | No | No | Yes | No | No | No | Yes |
Cluster | No | Yes | Yes | Yes | No | Yes | Yes | Yes | No | Yes | Yes | Yes |
N | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 |
Adj. R2 | 0.054 | 0.054 | 0.228 | 0.245 | 0.056 | 0.056 | 0.229 | 0.241 | 0.059 | 0.059 | 0.198 | 0.208 |
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Categories of Motivations | Interested Party | Motivation | Type of CSR |
---|---|---|---|
External pressure | Governments and supervision departments | Compulsory requirements | Environment and regulatory norms |
Social public and media | Social consensus | Charitable donations | |
Competitors | Against competitions | Fair competition | |
Internal pressure | Consumers | Enhance customer loyalty and stabilize market share | Improve customers’ satisfaction |
Employees | Improve employee welfare and productivity | Employees and labor union | |
Shareholders | Increase firm value | Financial targets | |
Creditors | Lower external financing costs | Relationship maintenance | |
Governments and other organizations | Government support or other political and economic benefits | Supply employment, environment protection, and community relations |
Variable | Mean | p50 | Max | Min | Std Dev. | Obs |
---|---|---|---|---|---|---|
CAR [−1,1] | 0.03 | 0.01 | 0.30 | −0.31 | 0.09 | 1188 |
CAR [−3,3] | 0.04 | 0.01 | 0.58 | −0.45 | 0.15 | 1188 |
CAR [−5,5] | 0.05 | 0.01 | 0.82 | −0.55 | 0.18 | 1188 |
CAR [−2,2] | 0.04 | 0.01 | 0.44 | −0.38 | 0.12 | 1188 |
CAR [−3,1] | 0.02 | 0.01 | 0.15 | −0.14 | 0.05 | 1188 |
CAR [−2,1] | 0.02 | 0.01 | 0.15 | −0.14 | 0.05 | 1188 |
CSR | 28.53 | 23.38 | 82.58 | 0.00 | 17.86 | 1188 |
Media evaluation | 33.04 | 35.74 | 81.28 | −38.81 | 19.51 | 1188 |
-3factors Model | 1.47 | 1.25 | 3.83 | −1.26 | 0.81 | 1188 |
-3factors Model | 1.88 | 0.34 | 26.77 | −5.98 | 3.21 | 1188 |
-3factors Model | 1.15 | 0.93 | 19.19 | −3.52 | 2.14 | 1188 |
Idio-risk-3factors Model | 2.23 | 1.73 | 9.01 | −1.30 | 2.09 | 984 |
-5factors Model | 1.46 | 1.37 | 4.05 | −0.59 | 0.53 | 1188 |
-5factors Model | 2.18 | 1.86 | 31.67 | −18.49 | 3.52 | 1188 |
-5factors Model | 1.43 | 0.84 | 38.95 | −16.88 | 5.91 | 1188 |
-5factors Model | −0.28 | 0.14 | 32.91 | −47.19 | 13.19 | 1188 |
-5factors Model | −2.96 | −2.15 | 16.11 | −15.25 | 4.01 | 1188 |
Idio-risk-5factors Model | 1.89 | 1.62 | 7.58 | −1.28 | 1.68 | 1032 |
Firm Age | 17.54 | 17.29 | 66.39 | 4.27 | 5.29 | 1188 |
LNTA | 1.68 | 1.57 | 6.55 | −2.20 | 1.18 | 1188 |
Cash ratio | 0.67 | 0.32 | 26.14 | 0.00 | 1.37 | 1188 |
Liability ratio | 0.48 | 0.49 | 1.06 | 0.03 | 0.20 | 1188 |
TobinQ | 2.08 | 1.60 | 42.39 | 0.09 | 2.46 | 1188 |
MAValue | 6.58 | 0.95 | 2358.15 | −30.72 | 69.79 | 1188 |
Friendly | 0.97 | 1.00 | 1.00 | 0.00 | 0.16 | 1188 |
Vertical | 0.74 | 1.00 | 1.00 | 0.00 | 0.44 | 1188 |
MAPremium1 | 33.70 | 188.31 | −100.00 | −0.00 | 1303.29 | 1188 |
MAPremium2 | 30.83 | 204.26 | −100.00 | −0.00 | 1338.24 | 1188 |
DROA1 | −0.01 | −0.01 | 0.45 | −1.58 | 0.07 | 1053 |
DROA2 | −0.01 | −0.01 | 0.34 | −0.26 | 0.05 | 849 |
DROA3 | −0.02 | −0.01 | 0.27 | −0.42 | 0.06 | 562 |
DROA4 | −0.02 | −0.02 | 0.23 | −0.27 | 0.06 | 325 |
DROA5 | −0.03 | −0.02 | 0.20 | −0.48 | 0.08 | 173 |
SOE | 0.42 | 0.00 | 1.00 | 0.00 | 0.49 | 1188 |
Variable | CAR [−5,5] | CAR [−3,3] | CAR [−1,1] | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | Model 7 | Model 8 | Model 9 | Model 10 | Model 11 | Model 12 | |
CSR | −0.001 * | −0.001 ** | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 |
(−1.93) | (−2.11) | (−1.49) | (−1.26) | (−1.70) | (−1.85) | (−1.27) | (−0.95) | (−1.21) | (−1.27) | (−0.80) | (−0.34) | |
Firm age | 0.000 | 0.000 | −0.000 | 0.000 | 0.000 | 0.000 | −0.000 | 0.000 | 0.000 | 0.000 | −0.000 | 0.000 |
(0.02) | (0.02) | (−0.11) | (0.53) | (0.10) | (0.11) | (−0.06) | (0.61) | (0.09) | (0.09) | (−0.08) | (0.85) | |
LNTA | −0.009 | −0.009 | −0.012 * | −0.015 ** | −0.010 ** | −0.010 ** | −0.012 ** | −0.014 *** | −0.006 ** | −0.006 ** | −0.007 ** | −0.009 *** |
(−1.46) | (−1.47) | (−1.94) | (−2.21) | (−2.04) | (−2.01) | (−2.37) | (−2.75) | (−2.11) | (−1.96) | (−2.20) | (−2.74) | |
Cash ratio | −0.002 | −0.002 | 0.001 | 0.002 | −0.003 | −0.003 | −0.000 | 0.001 | −0.004 * | −0.004 | −0.002 | −0.001 |
(−0.43) | (−0.23) | (0.13) | (0.34) | (−0.79) | (−0.44) | (−0.05) | (0.19) | (−1.73) | (−1.03) | (−0.69) | (−0.39) | |
Liability ratio | 0.005 | 0.005 | 0.005 | 0.029 | 0.006 | 0.006 | 0.005 | 0.024 | 0.001 | 0.001 | −0.001 | 0.014 |
(0.14) | (0.12) | (0.13) | (0.67) | (0.20) | (0.17) | (0.15) | (0.70) | (0.03) | (0.03) | (−0.03) | (0.70) | |
TobinQ | 0.007 *** | 0.007 ** | 0.003 | 0.000 | 0.006 *** | 0.006 * | 0.002 | 0.000 | 0.003 ** | 0.003 * | 0.001 | −0.000 |
(3.04) | (2.01) | (0.65) | (0.11) | (3.05) | (1.86) | (0.56) | (0.08) | (2.53) | (1.68) | (0.35) | (−0.13) | |
MAValue | 0.000 *** | 0.000 | 0.000 | 0.000 | 0.000 *** | 0.000 ** | 0.000 ** | 0.000 ** | 0.000 *** | 0.000 ** | 0.000 ** | 0.000 *** |
(3.08) | (1.51) | (1.46) | (1.54) | (3.91) | (1.99) | (1.97) | (2.11) | (4.46) | (2.47) | (2.50) | (2.73) | |
Friendly | 0.057 * | 0.057 *** | 0.033 * | 0.031 | 0.052 * | 0.052 *** | 0.031 ** | 0.030 ** | 0.040 ** | 0.040 *** | 0.026 ** | 0.025 ** |
(1.66) | (3.02) | (1.78) | (1.62) | (1.91) | (3.96) | (2.21) | (2.00) | (2.36) | (4.21) | (2.48) | (2.41) | |
Vertical | 0.042 *** | 0.042 *** | 0.036 *** | 0.035 *** | 0.032 *** | 0.032 *** | 0.027 *** | 0.026 *** | 0.014 ** | 0.014 ** | 0.010 ** | 0.010 * |
(3.44) | (4.12) | (3.52) | (3.24) | (3.28) | (3.77) | (3.17) | (2.92) | (2.24) | (2.57) | (2.01) | (1.80) | |
Constant | −0.022 | −0.022 | −0.026 | −0.079 ** | −0.019 | −0.019 | −0.022 | −0.065 ** | −0.009 | −0.009 | −0.010 | −0.031 |
(−0.50) | (−0.63) | (−0.76) | (−1.98) | (−0.55) | (−0.69) | (−0.80) | (−2.02) | (−0.41) | (−0.51) | (−0.58) | (−1.46) | |
Year FE | No | No | Yes | Yes | No | No | Yes | Yes | No | No | Yes | Yes |
Industry FE | No | No | No | Yes | No | No | No | Yes | No | No | No | Yes |
Cluster | No | Yes | Yes | Yes | No | Yes | Yes | Yes | No | Yes | Yes | Yes |
N | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 | 1188 |
Adj. R2 | 0.039 | 0.039 | 0.096 | 0.111 | 0.047 | 0.047 | 0.112 | 0.125 | 0.042 | 0.042 | 0.110 | 0.126 |
Variable | Channel One | Channel Two | Channel Three | ||
---|---|---|---|---|---|
-3factors Model | -3factors Model | -3factors Model | Idio-risk-3factors Model | Media Evaluation | |
CSR | 0.000 | 0.003 | −0.001 | 0.000 | 0.128 *** |
(0.57) | (1.12) | (−0.52) | (0.89) | (3.68) | |
Firm age | −0.001 | 0.002 | −0.003 | −0.000 | 0.079 |
(−0.35) | (0.16) | (−0.45) | (−0.99) | (0.70) | |
LNTA | 0.022 | 0.008 | −0.225 *** | 0.000 | 2.870 *** |
(1.23) | (0.12) | (−4.89) | (0.57) | (3.63) | |
Cash ratio | −0.004 | 0.048 | 0.027 | 0.000 | −0.816 |
(−0.50) | (1.39) | (1.31) | (1.02) | (−1.49) | |
Liability ratio | −0.076 | 0.710 * | 0.693 ** | 0.013 *** | −10.339 ** |
(−0.85) | (1.79) | (2.56) | (2.94) | (−2.07) | |
TobinQ | −0.020 ** | 0.030 | −0.006 | 0.001 | −0.471 |
(−2.06) | (0.76) | (−0.24) | (1.46) | (−1.18) | |
MAValue | 0.000 | −0.000 | −0.000 * | −0.000 | −0.000 |
(1.01) | (−1.21) | (−1.83) | (−1.36) | (−0.19) | |
Friendly | −0.050 | −0.171 | −0.031 | −0.001 | −0.401 |
(−0.79) | (−0.88) | (−0.23) | (−0.85) | (−0.13) | |
Vertical | 0.021 | 0.120 | 0.066 | −0.001 | −1.517 |
(0.83) | (1.07) | (1.02) | (−0.43) | (−1.29) | |
Constant | 2.616 *** | 2.767 *** | 3.283 *** | 0.267 *** | 19.487 *** |
(26.87) | (6.42) | (13.18) | (51.44) | (3.19) | |
Year FE | Yes | Yes | Yes | Yes | Yes |
Industry FE | Yes | Yes | Yes | Yes | Yes |
Cluster | Yes | Yes | Yes | Yes | Yes |
N | 1188 | 1188 | 1188 | 1188 | 1188 |
Adj. R2 | 0.751 | 0.681 | 0.698 | 0.975 | 0.168 |
Variable | CAR [−5,5] | CAR [−3,3] | CAR [−1,1] | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | Model 7 | Model 8 | Model 9 | Model 10 | Model 11 | Model 12 | |
CSR | −0.001 * | −0.001 * | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | −0.000 | 0.000 |
(−1.70) | (−1.77) | (−0.37) | (−0.25) | (−1.43) | (−1.51) | (−0.21) | (−0.00) | (−1.10) | (−1.12) | (−0.01) | (0.28) | |
-3factors Model | 0.024 ** | 0.024 ** | 0.087 *** | 0.085 *** | 0.019 ** | 0.019 ** | 0.066 *** | 0.063 *** | 0.011 ** | 0.011 ** | 0.037 *** | 0.035 *** |
(2.57) | (2.05) | (4.46) | (4.44) | (2.55) | (2.11) | (4.41) | (4.19) | (2.42) | (1.99) | (4.15) | (3.84) | |
-3factors Model | −0.003 | −0.003 | −0.012 | −0.010 | −0.003 | −0.003 | −0.010 | −0.008 | −0.002 | −0.002 | −0.005 | −0.004 |
(−1.14) | (−0.91) | (−1.51) | (−1.29) | (−1.32) | (−1.17) | (−1.57) | (−1.31) | (−1.49) | (−1.32) | (−1.29) | (−1.09) | |
-3factors Model | 0.007 * | 0.007 | 0.019 | 0.018 | 0.005 | 0.005 | 0.015 | 0.014 | 0.000 | 0.000 | 0.006 | 0.006 |
(1.68) | (1.35) | (1.48) | (1.45) | (1.49) | (1.27) | (1.59) | (1.54) | (0.16) | (0.14) | (1.07) | (1.03) | |
Idio-risk-3factors Model3factors | 0.009 ** | 0.009 | 0.019 ** | 0.020 ** | 0.006 * | 0.006 | 0.016 ** | 0.016 ** | 0.004 ** | 0.004 | 0.013 *** | 0.013 *** |
(2.03) | (1.38) | (2.25) | (2.25) | (1.76) | (1.35) | (2.37) | (2.39) | (2.02) | (1.53) | (3.32) | (3.33) | |
Media Evaluation | 0.000 | 0.000 | −0.000 | −0.000 | 0.000 | 0.000 | −0.000 | −0.000 | 0.000 | 0.000 | −0.000 | −0.000 |
(1.59) | (1.49) | (−0.40) | (−0.47) | (1.41) | (1.32) | (−0.51) | (−0.62) | (1.57) | (1.45) | (−0.02) | (−0.33) | |
Firm age | 0.001 | 0.001 | 0.000 | 0.000 | 0.001 | 0.001 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
(0.72) | (0.75) | (0.13) | (0.54) | (0.70) | (0.70) | (0.19) | (0.61) | (0.61) | (0.65) | (0.19) | (0.76) | |
LNTA | −0.010 | −0.010 | −0.012 * | −0.014 ** | −0.012 ** | −0.012 ** | −0.013 ** | −0.015 *** | −0.009 ** | −0.009 ** | −0.009 ** | −0.010 *** |
(−1.46) | (−1.45) | (−1.76) | (−2.06) | (−2.22) | (−2.23) | (−2.29) | (−2.67) | (−2.58) | (−2.44) | (−2.31) | (−2.68) | |
Cash ratio | −0.003 | −0.003 | 0.003 | 0.004 | −0.003 | −0.003 | 0.001 | 0.003 | −0.004 * | −0.004 | −0.001 | −0.000 |
(−0.79) | (−0.39) | (0.35) | (0.55) | (−0.95) | (−0.49) | (0.25) | (0.46) | (−1.69) | (−0.98) | (−0.32) | (−0.06) | |
Liability ratio | −0.025 | −0.025 | −0.021 | 0.005 | −0.009 | −0.009 | −0.010 | 0.013 | −0.001 | −0.001 | −0.004 | 0.012 |
(−0.66) | (−0.53) | (−0.52) | (0.11) | (−0.29) | (−0.24) | (−0.31) | (0.38) | (−0.07) | (−0.06) | (−0.21) | (0.61) | |
TobinQ | 0.008 ** | 0.008 | −0.001 | −0.003 | 0.005 * | 0.005 | −0.002 | −0.004 | 0.002 | 0.002 | −0.002 | −0.003 |
(2.34) | (1.33) | (−0.27) | (−0.85) | (1.89) | (1.11) | (−0.69) | (−1.31) | (1.52) | (0.90) | (−0.87) | (−1.38) | |
MAValue | 0.000 *** | 0.000 | 0.000 | 0.000 * | 0.000 *** | 0.000 ** | 0.000 ** | 0.000 *** | 0.000 *** | 0.000 *** | 0.000 *** | 0.000 *** |
(2.87) | (1.58) | (1.54) | (1.75) | (3.60) | (2.16) | (2.26) | (2.60) | (4.07) | (2.81) | (3.12) | (3.60) | |
Friendly | 0.074 ** | 0.074 *** | 0.034 * | 0.033 * | 0.064 ** | 0.064 *** | 0.033 ** | 0.032 ** | 0.044 *** | 0.044 *** | 0.026 ** | 0.025 ** |
(2.19) | (3.40) | (1.77) | (1.71) | (2.38) | (4.30) | (2.20) | (2.11) | (2.65) | (4.42) | (2.36) | (2.39) | |
Vertical | 0.042 *** | 0.042 *** | 0.029 *** | 0.026 ** | 0.032 *** | 0.032 *** | 0.023 ** | 0.020 ** | 0.018 *** | 0.018 *** | 0.013 ** | 0.011 ** |
(3.20) | (3.69) | (2.63) | (2.33) | (3.10) | (3.53) | (2.48) | (2.17) | (2.89) | (3.38) | (2.46) | (2.10) | |
Cons | −0.111 ** | −0.111 ** | −0.364 *** | −0.267 *** | −0.085 ** | −0.085 ** | −0.285 *** | −0.214 *** | −0.050 ** | −0.050 ** | −0.178 *** | −0.142 *** |
(−2.27) | (−2.49) | (−3.99) | (−3.53) | (−2.15) | (−2.37) | (−4.08) | (−3.57) | (−2.06) | (−2.28) | (−4.12) | (−3.77) | |
Year FE | No | No | Yes | Yes | No | No | Yes | Yes | No | No | Yes | Yes |
Industry FE | No | No | No | Yes | No | No | No | Yes | No | No | No | Yes |
Cluster | No | Yes | Yes | Yes | No | Yes | Yes | Yes | No | Yes | Yes | Yes |
N | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 | 984 |
Adj. R2 | 0.055 | 0.055 | 0.229 | 0.245 | 0.057 | 0.057 | 0.229 | 0.242 | 0.059 | 0.059 | 0.198 | 0.209 |
Variable | Premium1 | Premium2 | Premium1 | Premium2 |
---|---|---|---|---|
Model 1 | Model 2 | Model 3 | Model 4 | |
CSR | −0.016 | −0.039 | 0.074 | −0.075 |
(−0.06) | (−0.15) | (0.30) | (−0.27) | |
-3factors Model | −29.643 * | −46.692 ** | ||
(−1.70) | (−2.35) | |||
-3factors Model | −8.595 | −6.341 | ||
(−1.38) | (−0.86) | |||
-3factors Model | 14.058 | 8.224 | ||
(1.04) | (0.56) | |||
Idio-risk-3factors Model3factors | −20.846 ** | −28.411 *** | ||
(−2.27) | (−2.86) | |||
Media Evaluation | −0.080 | 0.156 | ||
(−0.21) | (0.36) | |||
Firm age | −1.836 | −1.594 | −0.768 | −0.818 |
(−1.05) | (−0.95) | (−0.44) | (−0.48) | |
LNTA | −3.111 | −3.226 | 0.142 | −0.344 |
(−0.62) | (−0.51) | (0.02) | (−0.04) | |
Cash ratio | −1.143 | 0.181 | −2.405 | −0.902 |
(−0.44) | (0.06) | (−0.99) | (−0.34) | |
Liability ratio | 27.081 | 83.401 * | 29.500 | 90.239 * |
(0.78) | (1.84) | (0.92) | (1.86) | |
TobinQ | 0.804 | 2.432 | 2.270 | 4.193 |
(0.30) | (0.82) | (0.45) | (0.75) | |
MAValue | −0.000 | 0.005 *** | −0.000 | 0.005 *** |
(−0.26) | (11.14) | (−0.21) | (16.97) | |
Friendly | 27.924 *** | 35.515 *** | 27.844 *** | 37.166 *** |
(3.25) | (3.28) | (3.14) | (3.25) | |
Vertical | 2.971 | 4.323 | 1.173 | 6.431 |
(0.27) | (0.37) | (0.11) | (0.54) | |
Constant | −39.151 | −82.864 ** | 155.352 * | 174.447 * |
(−1.16) | (−2.38) | (1.70) | (1.82) | |
Year FE | Yes | Yes | Yes | Yes |
Industry FE | Yes | Yes | Yes | Yes |
Cluster | Yes | Yes | Yes | Yes |
N | 1188 | 1188 | 984 | 984 |
Adj. R2 | 0.028 | 0.058 | 0.045 | 0.088 |
Variable | DROA1 | DROA2 | DROA3 | DROA4 | DROA5 | DROA1 | DROA2 | DROA3 | DROA4 | DROA5 |
---|---|---|---|---|---|---|---|---|---|---|
Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | Model 7 | Model 8 | Model 9 | Model 10 | |
CSR | −0.000 ** | −0.000 | 0.000 | 0.000 | −0.000 | −0.000 | −0.000 | 0.000 | 0.000 | 0.000 |
(−1.99) | (−0.68) | (0.48) | (0.39) | (−0.90) | (−1.16) | (−0.19) | (0.89) | (0.78) | (0.05) | |
-3factors Model | −0.001 | −0.004 | −0.005 | −0.032 * | −0.071 *** | |||||
(−0.22) | (−0.62) | (−0.44) | (−1.66) | (−2.67) | ||||||
-3factors Model | 0.005 | 0.006 | 0.001 | 0.000 | −0.015 | |||||
(1.07) | (1.56) | (0.23) | (0.07) | (−1.49) | ||||||
-3factors Model | −0.010 | −0.009 * | −0.000 | −0.004 | −0.001 | |||||
(−1.59) | (−1.75) | (−0.04) | (−0.64) | (−0.09) | ||||||
Idio-risk-3factors Model | 0.004 | 0.007 * | 0.006 | 0.002 | 0.002 | |||||
(1.40) | (1.77) | (1.23) | (0.21) | (0.15) | ||||||
Media Evaluation | −0.000 | −0.000 | −0.000 * | −0.000 * | 0.000 | |||||
(−0.91) | (−0.57) | (−1.68) | (−1.96) | (0.28) | ||||||
Firm age | 0.000 | 0.001 * | 0.001 ** | 0.002 ** | 0.002 * | 0.000 | 0.001 | 0.001 ** | 0.002 ** | 0.002 |
(1.00) | (1.75) | (2.27) | (2.36) | (1.70) | (0.05) | (1.40) | (2.16) | (2.24) | (1.44) | |
LNTA | −0.004 * | −0.004 | −0.009 ** | −0.012 *** | −0.001 | −0.006 | −0.004 | −0.008 ** | −0.012 *** | −0.002 |
(−1.68) | (−1.57) | (−2.57) | (−2.99) | (−0.06) | (−1.55) | (−1.58) | (−2.12) | (−2.86) | (−0.16) | |
Cash ratio | 0.003 | 0.000 | 0.001 | −0.001 | −0.007 | 0.003 | −0.000 | 0.000 | −0.001 | −0.004 |
(0.88) | (0.26) | (0.29) | (−0.36) | (−0.86) | (0.83) | (−0.23) | (0.16) | (−0.28) | (−0.58) | |
Liability ratio | 0.042 ** | 0.036 ** | 0.062 *** | 0.078 ** | 0.064 | 0.049 *** | 0.042 ** | 0.059 *** | 0.079 ** | 0.058 |
(2.56) | (2.52) | (2.93) | (2.14) | (0.79) | (2.69) | (2.54) | (2.75) | (2.17) | (0.69) | |
TobinQ | 0.001 | 0.003 ** | 0.002 | −0.001 | 0.003 | 0.001 | 0.005 *** | 0.002 | −0.001 | 0.002 |
(0.77) | (2.05) | (1.25) | (−0.21) | (0.34) | (0.52) | (2.90) | (1.19) | (−0.33) | (0.18) | |
MAValue | 0.000 | 0.000 | 0.000 | 0.000 *** | 0.000 ** | 0.000 | 0.000 | 0.000 | 0.000 *** | 0.000 * |
(1.22) | (1.15) | (1.22) | (3.47) | (1.99) | (1.13) | (1.04) | (1.30) | (3.76) | (1.70) | |
Friendly | 0.010 | 0.028 *** | 0.032 ** | 0.020 | 0.020 | 0.008 | 0.026 *** | 0.031 ** | 0.018 | 0.014 |
(1.16) | (2.69) | (2.37) | (1.30) | (0.99) | (0.98) | (2.72) | (2.37) | (1.30) | (0.72) | |
Vertical | 0.006 | 0.007 | 0.008 | 0.002 | 0.005 | 0.005 | 0.006 | 0.009 | 0.003 | 0.008 |
(1.41) | (1.56) | (1.42) | (0.32) | (0.47) | (1.01) | (1.35) | (1.59) | (0.55) | (0.87) | |
Constant | −0.048 ** | −0.086 *** | −0.092 *** | −0.093 *** | −0.126 ** | −0.023 | −0.153 *** | −0.093 *** | 0.001 | 0.143 |
(−2.58) | (−4.40) | (−3.49) | (−2.61) | (−2.20) | (−1.11) | (−3.44) | (−3.28) | (0.01) | (1.39) | |
Year FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Industry FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Cluster | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
N | 1053 | 849 | 562 | 325 | 173 | 849 | 649 | 547 | 314 | 163 |
Adj. R2 | 0.017 | 0.081 | 0.086 | 0.130 | 0.052 | 0.015 | 0.121 | 0.098 | 0.161 | 0.178 |
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Share and Cite
Li, M.; Lan, F.; Zhang, F. Why Chinese Financial Market Investors Do Not Care about Corporate Social Responsibility: Evidence from Mergers and Acquisitions. Sustainability 2019, 11, 3144. https://doi.org/10.3390/su11113144
Li M, Lan F, Zhang F. Why Chinese Financial Market Investors Do Not Care about Corporate Social Responsibility: Evidence from Mergers and Acquisitions. Sustainability. 2019; 11(11):3144. https://doi.org/10.3390/su11113144
Chicago/Turabian StyleLi, Minghui, Faqin Lan, and Fang Zhang. 2019. "Why Chinese Financial Market Investors Do Not Care about Corporate Social Responsibility: Evidence from Mergers and Acquisitions" Sustainability 11, no. 11: 3144. https://doi.org/10.3390/su11113144