Campbell (1991) 將股票報酬分解為現金流量訊息及預期報酬訊息，以瞭解股價波動的衝擊因素為何。本研究欲探究因企業社會責任(Corporate Social Responsibility，CSR)所帶動之新型金融商品─社會責任投資指數，驅使其股價波動之主要因素與一般市場綜合性指數結果是否有異同；此外，本研究亦探討此類指數與一般綜合性股價指數之投資人對新資訊之反應程度是否異同。本研究認為探討CSR指數之股票報酬變異因素時應考量CSR體現在總體經濟上之綜效，故本文在模型中考量CSR綜效對CSR指數報酬之影響，並探討資本市場訊息對未預期總體經濟表現之關聯性。實證結果顯示，不論一般綜合性指數或CSR投資指數，現金流量訊息為影響其報酬之主要因素，但現金流量訊息可解釋一般綜合性指數未來報酬之程度較CSR投資指數高。和前述結果一致，現金流量訊息可適度反應一般綜合性指數之未來報酬，但在考量CSR綜效之前，現金流量訊息只解釋77%未來CSR投資指數報酬而投資人對該訊息卻呈現過度反應；模型中考量CSR綜效後，現金流量訊息可解釋93%未來CSR投資指數報酬且投資人對該訊息呈現反應不足，故本研究證實，測試CSR投資指數時應考量CSR之綜效才能允當表達出投資人對新訊息之反應程度。 Based on Campbell (1991)’s variance decomposition model, unexpected stock return could be decomposed into cash flow news and expected returns news in explaining the relationship between future stock price volatility and shocks. In this study, we use a new financial product related to Corporate Social Responsibility (CSR) ─ the Socially Responsible Investment (SRI) index (FTSE4Good US 100 Index) to investigate which news mainly drives future stock price fluctuates and compare it to a comprehensive stock index (Standard & Poor's 500 Index, S & P 500 Index). In addition, this study exam whether SRI investors and general investors react differently to new information.This study suggests that the synergy of CSR reflected to the overall economy is one of the essential factors to vary future SRI return. Therefore, we include CSR synergy into our empirical model, and explore the relation between unexpected overall economic performance and capital market information.The empirical results show that cash flow news is the main factor to impact future S&P 500 index returns and FTSE4Good US 100 Index returns; however, cash flow news could explain more future S&P 500 index return variation than FTSE4Good US 100 Index’s. Consistent with this result, S&P 500 index investors react to cash flow news appropriately. Before considering CSR synergy, cash flow news could only explain 77% of future FTSE4Good US 100 Index returns, but its investors overreact to that information. After considering CSR synergy, cash flow news could explain 93% FTSE4Good US 100 Index returns and its investors underreact to that information. Therefore, this study confirms that comprising CSR synergy into empirical model fairly presents the reaction of investors to new information.
