早大学位記番号:新8377早稲田大

Murashima Miho

English

早稲田大学博士(学術)早大学位記番号:新8377doctoral thesi

村嶋, 美穂

104120

Murashima, Miho

Waseda University Repository

0早稲田大学大学院アジア太平洋研究科博士論文審査報告書論 文 題 目原題名Original TitleDoes Corporate Social Responsibility Raise Investors’Assessment of a Firm and Its Value in Japan? -Comparisonswith the United States and Europe-英訳In Japanese日本における CSR と投資家行動及び企業価値に関する実証研究ー欧米との比較ー申 請 者姓 Last Name Middle Name 名 First Name氏 名Name Murashima Miho学籍番号Student ID 4014S017-8２０20 年 1 月11. Abstract of the DissertationAlthough increasing numbers of Japanese firms have started to implement corporate socialresponsibility (CSR), and numerous studies on CSR have been conducted, there is noconsensus on the raison d’etre of CSR and its effects. This dissertation investigates whetherCSR benefits firms in Japan and how this differs from the United States and Europe, byproviding empirical evidence for both short-term and long-term shareholder valueimplications, with three analyses using different methods. The first analysis, employing theevent study method using a unique CSR dataset collected from newspapers, finds that overallinvestors responded positively to positive news and vice versa, which supported the‘‘information certification hypothesis” and the “self-fulfilling prophecy” theory. The studyalso finds a difference between individuals and institutions as investors, as well as differenteffects among events, a time-lag for charitable activities to increase firms’ value, andinvestors’ behavior change around the Great East Japan Earthquake. The second analysis,using an event study with inclusion and deletion announcement to/from Dow JonesSustainability Indices, which allows this analysis to be comparative, demonstrates thatJapanese institutions do not anticipate changes in the sustainability index like U.S. orEuropean investors and react negatively around even positive events. From the comparativeanalysis, it also found a large difference between the three markets especially in the contextof timing and values. The third analysis examined the impact of CSR performance on Tobin’sq in the long term in Japan by ordinary least squares with a cross-sectional dataset. Theanalysis showed the nature of the news and CSR performance have a positive impact on afirm’s value in the long term, whereas charitable activity has no or negative impact on afirm’s value, which contradicts the idea of a signal effect of CSR. By comparing these threeanalyses, the following three additional points were found: (1) Investors’ responses differdepending on the source of information. (2) Investors’ responses differ depending on theircharacteristics (individual, institutional, or foreign investors). (3) Though the impact on stockprice is temporary in the short term, CSR-related behaviors keep pushing up a firm’s quality,or Tobin’s q.2. Outline of the Dissertation and Summary of the ChaptersThe chapter outline of the dissertation is as follows.Chapter 1 IntroductionChapter 2 Theoretical Background and HypothesisChapter 3 Short-Term Analysis of the Relationship between CSR-RelatedAnnouncements and Investors’ Reaction in Japan (Analysis 1)Chapter 4 Comparative Analysis of the Relationship between CSR-Related IndexChange and Investors’ Reaction between Japan, the United States, andEurope (Analysis 2)Chapter 5 Long-Term Analysis of the Relationship between Firms’ CSR Performanceand their Values (Analysis 3)Chapter 6 Conclusions and Future Work2Chapter 1 presents the background, research questions, hypotheses, and significance of thestudy. The concept of corporate social responsibility (CSR) has grown rapidly around theworld, including Japan. Growing attention to CSR from businesses can be observed from“the Survey of Management Awareness of Corporate Social Responsibility 2014” conductedby the Japan Association of Corporate Executives. According to the survey, from 2010 to2014, there was a more than twofold increase in the number of firms engaged in CSRactivities, as well as budgets and the number of the projects, and 71% of business managersresponded that CSR was a core management principleinstead of a cost. Increasingly, firm’sactivities on CSR have used as one additional indicator for the investors. In fact, theJapanese Government Pension Investment Fund (GPIF), the world’s largest pension fund,signed the Principles for Responsible Investment (PRI) which requires more reliableinformation on environment, social, and governance (ESG) factors which are part of CSRactivities.The author also discusses the definition of CSR and historical debate on how CSR hasbeen viewed by the researchers and practitioners. In this thesis, CSR is defined as “a firm’sactivity to have a positive impact and to mitigate negative impacts on the society andstakeholders, such as the community, employees, and consumers, beyond its shareholders.”Chapter 2 presents the theoretical discussions on CSR. It starts out with the theory offirm, which is proposed by Friedman in 1970. In essence, Friedman stated, “the only oneresponsibility of business towards society is the maximization of profit” (Friedman 1970, p1).This idea was widely accepted for a long time in business management and economics.However, people started to expect firms to adopt enlarged responsibilities in theirmultinational business environments. Firms began to engage in areas that were onceconsidered the responsibility of governments, such as public health, education, social security,human rights, social ills, malnutrition, and illiteracy. Firms, especially multinationalenterprises, came to be regarded as key actors to fill global gaps in both legal regulation andmoral orientation and to facilitate social peace and stability. Increasingly, firms wereexposed to pressure from the specific demands of largely external stakeholders, such asgovernments, nongovernmental organizations (NGOs), and consumer lobby groups, andmedia, with regard to a firm’s operations, or with regard to generalized social concerns.Freeman (1984) collected various ideas on the stakeholder-related approach and developedan organized theory of management, known as stakeholder theory. Stakeholder theory positsthat the survival of a corporation is affected not only by its shareholders, but also by variousother stakeholders, such as employees, governments, and customers. Friedman’s (1970)theory of firms and Freeman’s (1984) stakeholder theory have coexisted in parallel for awhile and the debate is still ongoing. To ascertain the effect of CSR on firm’s value, anumber of theories are being proposed: the information certification hypothesis; the investorawareness hypothesis; “self-fulfilling prophecy”; the liquidity hypothesis; the distributioneffect hypothesis. The literature has not come to a consensus in this regard, and additionalempirical research is needed to address this issue. Based on these theories that are proposed,the thesis lays out eight hypotheses to test the impact of CSR activities on firms’ value,especially in Japanese context.Chapter 3 examines the relationship between investors’ response and the announcement ofJapanese firms’ CSR-related news, using the short-term event study method. Uniquelycollected news data by the author allow this analysis to take a deeper approach to studyingthe nature of the effects. This analysis provides some evidence for five hypotheses, which3refer to the relationship between CSR-related announcements and investors’ reaction, andrelevant issues. In conducting the empirical analysis, it also compares the differences ininvestor behaviors in the U.S. and Europe, as well as conducting various robustness checks.The results indicate that for positive news, investors respond positively before the newsannouncement but not significantly after the announcement, and for negative announcements,investors react negatively before and after the negative news announcement. These findingsare generally consistent with the information certification hypothesis and the self-fulfillingprophecy. The thesis also explores the behaviorial differences among types of investors:Japanese individuals; Japanese institutions; and foreign investors. The results indicate thatJapanese individual investors positively respond before and after the CSR-related positivenews but do not react to negative news, whereas both Japanese institutional investors andforeign investors, mainly institutions, are not responsive to positive news but do reactnegatively before and after negative news, which is stronger for Japanese institutions thanforeign investors. The comparison between Japanese and US and Europen investors revealtwo findings. First, negative reactions to negative news are observed in both the U.S. andJapanese markets, which can be interpreted to mean that investors pay attention to firms’irresponsible behavior. Second, investors in the Japanese market seem to be interested inCSR-related positive news before the announcement but not as strong as those in theEuropean market. Similarity between the Japanese market and both the U.S. and Europeanmarkets was found.Chapter 4 analyses investors’ response to the announcement of Japanese firms’CSR-related events, represented by inclusion in or deletion from the Dow JonesSustainability Index (DJSI). This analysis provides comparable results by using a widelyaccepted index, the DJSI, whereas the previous analysis in Chapter 3 utilizes originallycollected data, which are not perfectly comparable to previous studies because of theiruniqueness. Categorizing firms by main shareholder makes this analysis unique because itenables researcher to specify the response of Japanese investors, mainly institutionalinvestors. The empirical analysis is conducted using event study methodology with variousrobustness checkes performed. The results show that investors do not respond around theannouncement day but sell stocks shortly before and after the index change for positiveevents. For index deletion, there is no significant result. The results are counterintuitiveoverall. As investors for DJSI-listed firms include foreign investors, however, this resultdoes not perfectly reflect the Japanese investors’ attitudes. Additional analysis by types ofinvestors show that Japanese investors sell stocks shortly before and after the index change,not the announcement day for positive events, which indicates that (1) Japanese investors donot anticipate the sustainable index change like U.S. or European market investors. They mayrespond to the index change because of automatic portfolio rearrangement. (2) Japaneseinvestors react negatively around the positive event because they value the CSR-relatedevents negatively or just fix profit at the peak of the stock price raised by foreign investors.Finally, this analysis finds opposite responses for index deletion between Japanese andforeign investors. Though there is no perfect consensus in the statistical results, thecomparison demonstrates speculative or temporal attitudes in the U.S. market and positivevaluation in the European market, whereas less attention and negative response to inclusionin the sustainable index was found for the Japanese market, especially for Japaneseinstitutional investors. This may be due to the fact that the sustainable index has a shorterhistory in the Japanese market, thus the investors are not familiar with it.4Chapter 5 examines the long-term analysis of firms’ CSR performance and their values. Itprovides comprehensive and foundational insight into the relationship between firms’ CSRactivities and firm value, whereas previous analyses in Chapters 4 and 5 are based onshort-term analysis. For the analysis, the dataset is similar to the one used in Chapter3,originally constructed dataset on Japanese firms’ CSR announcements. Instead of the stockprice, the dependent variable in this analysis is Tobin’s q, which measures how much valuethe firm produces with its asset base, is the dependent variable. Tobin’s q of the target firmsin each year is calculated using the data from Thomson Reuters DataStream. Tobin’s q isregressed on the number of CSR events and control variables. There are two notable resultsfrom this analysis. First, the annual CSR performance has a positive impact on a firm’s value,proxied by a log of Tobin’s q, after 1 and 2 years. In addition, the positive news affects afirm’s value positively after a year but not 2 years. Second, a firm’s positive CSR activitywith a more altruistic image does not show any impact on the firms’ value. Moreover, newsrelated to developing countries has a negative and significant impact on a firm’s value.Chapter 6 summarizes the findings from the empirical exercise in this dissertation. Overallthe results indicate that for positive news, investors responded positively before the newsannouncement but not significantly after the announcement, and for negative announcements,investors reacted negatively before and after the negative news announcement. Amongdifferent types of investors, individuals seemed to focus on the positive news, whileinstitutions, including Japanese and foreign, were more concerned with negative news. In theanalysis examing the index inclusion/exclusion (to be more comparable with existing studies),the thesis finds that investors sold stocks shortly before and after the index change, not on theannouncement day for positive events. The comparison demonstrates speculative or temporalattitudes in the U.S. market and positive valuation in the European market, whereas there wasless attention and negative response to inclusion in the sustainable index in the Japanesemarket, especially for Japanese institutional investors. The last set of results indicate thatthe annual CSR performance has a positive impact on a firm’s value, but purely altruisticones do not. According to the findings and shortcomings of each chapter, recommendationsfor further empirical research on the relationship between CSR and value of firms are alsodiscussed in this chapter.3. Discussions of Oral Defense ExaminationAfter carefully reading the dissertation, the examination committee convened the oraldefense examination on Septermber 10, 2019. The examination lasted approximately twohours.During the examination, the following points were raised. First, a more detailedexplanations on the original dataset and the indexes that are used should be included.Second, more discussion on the results obtained from the eimprical analyses should beincluded, especially on discussing the possible underlying reasons for the results andexplanations for unexpected findings. In addition to these, a number of points were raisedon the formatting of the thesis.4. Evaluation and the Result of Examination5The examiners find that this dissertation is well-written, and makes a number ofcontributions to the literature on the relationship between CSR and value of firms. Thedissertation makes use of the uniqueness of the dataset, which is constructed by the author bypainstakingly combing through Japanese newspapers. The dataset includes detailedinformation on news on firms, the nature of news, and date of such news, including theannouncements by firms on the CSR. By using this unique dataset coupled with appropriateempirical methodologies, the dissertation was able to analyze the impact of CSR on firms’value in more detailed and convincing manner than the existing literature.After careful assessment of the submitted dissertation, whose summary is presented insections 1 and 2 of this report, the oral presentation of the dissertation, subsequentdiscussions and revisions made to the dissertation, the committee members came to aunanimous decision that Miho Murashima, the author of the submitted dissertation, should begranted a Ph.D.6申請者名： 村嶋 美穂博士論文審査委員会主査 Chie f Examiner：氏名 Name: 鍋嶋 郁 ㊞ (S ig n at ur e )所属 Aff i l ia t ion : 早稲田大学大学院アジア太平洋研究科職位 Tit le: 准教授学位 Degree: Ph.D. 取得大学 Conferred by：Univers i ty o f Ca l i fo rn ia, Davis専門分野 Spec ial ty : 国際経済学副査 Head Deputy Examiner :氏名 Name: 浦田 秀次郎 ㊞ (S i g na t u r e )所属 Aff i l ia t ion : 早稲田大学大学院アジア太平洋研究科職位 Tit le: 教授学位 Degree: Ph.D. 取得大学 Confer red by： Stanford University専門分野 Spec ial ty : 国際経済学副査 Deputy Examiner :氏名 Name: 加藤 篤史 ㊞ (S i g nat u r e )所属 Aff i l ia t ion : 早稲田大学大学院アジア太平洋研究科職位 Tit le: 教授学位 Degree: Ph.D. 取得大学 Conferred by：University of Michigan, Ann Arbor専門分野 Spec ial ty : 開発経済学副査 Deputy Examiner :氏名 Name: 弦間 正彦 ㊞ (S i g n at ur e )所属 Aff i l ia t ion : 早稲田大学大学院社会科学研究科職位 Tit le: 教授学位 Degree: Ph.D. 取得大学 Conferred by： Universi ty of Minnesota専門分野 Spec ial ty : 応用経済学２０２０年 1 月２０日

Does Corporate Social Responsibility Raise Investors' Assessment of a Firm and Its Value in Japan? -Comparisons with the United States and Europe-

https://waseda.repo.nii.ac.jp/?action=repository_action_common_download&item_id=57801&item_no=1&attribute_id=20&file_no=3

日本におけるCSRと投資家行動及び企業価値に関する実証研究 -欧米との比較-

Abstract

Similar works

Full text

Available Versions

Waseda University Repository