Abstract
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.