Does corporate value affect the relationship between Corporate Social Responsibility and stock returns?

This study employs the Corporate Social Responsibility (CSR) Index developed by Chen and Hung 2013. “A Study on Corporate Social Responsibility Index and Investment Performance.” GreTai Securities Market 165: 88–97 (in Chinese) to measure the CSR performance of Taiwanese companies and proposed a CSR efficiency hypothesis that the influence of CSR on stock returns depends on corporate value. According to our findings, CSR activities not only increase the costs of low value firms but also decrease corporate value, exerting a negative effect on stock returns. In contrast, high value firms have a greater capability to implement CSR, and CSR investments can effectively increase their stock prices and market value.