本論文研究公司治理評鑑是否影響公司發生負面事件時的異常報酬率，使用台灣證券交易所105年度的公司治理評鑑結果作為好公司與壞公司的分類依據，評鑑結果排名前5%為好公司，排名81%到100%為壞公司。首先我們使用事件研究法計算出各公司研究期間每個負面事件的異常報酬率，再加入Fama and French的三因子模型作為風險因子的考量。本文發現公司治理評鑑顯著影響負面事件的異常報酬，因此我們推論公司治理評鑑結果排名為前5%的好公司相對於排名81%到100%的壞公司，在公司發生負面事件時所受到的衝擊較小。

This paper investigates whether the corporate governance evaluation affects the abnormal rate of return when a company has bad news. We use the Taiwan Stock Exchange(TWSE)'s corporate governance evaluation reports in 2016 as the basis for the classification of good companies and bad companies. The top 5% of the evaluation results are Good companies, ranking 81% to 100% are bad companies. First, we use the event research method to calculate the abnormal return rate of each negative event during the research period of each company, and then add the three-factor model of Fama and French as the consideration of risk factors. This article shows that the corporate governance evaluation significantly affects the abnormal returns due to bad news, so we propose that the good companies ranked in the top 5% of the corporate governance evaluation reports have smaller impacts than the bad companies ranked 81% to 100% when the companies have bad news.

目錄
摘要 I
ABSTRACT II
第一章 緒論 1
第二章 文獻回顧與假說建立 7
第一節 企業社會責任正向影響企業之文獻 7
第二節 企業社會責任負向影響企業之文獻 9
第三節 企業社會責任無影響企業之文獻 10
第三章 樣本選取及研究方法 11
第一節 樣本選取與變數說明 11
第二節 事件研究法 13
第四章 實證結果與分析 17
第一節 差異性檢定與相關分析 17
第二節 風險因子與回歸模型 19
第三節 迴歸結果分析 23
第四節 穩健性檢定 24
第五章 結論 25
參考文獻 28
附錄1─排名5%公司名單 38
附錄2─排名81%-100%公司名單 39
附錄3─排名前5%公司負面新聞數量統計 40
附錄4─排名81-100%公司負面新聞數量統計 41
附錄5─平均異常報酬的計算─排名前5%公司 42
附錄6─平均異常報酬的計算─排名81-100%公司 48

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