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—STOXX()()11.(corporatesocialresponsibility;CSR)(corporatefinancialperformance;CFP)CSRCFPCSRCFPCSR((corporatesocialperformance;CSP))CFP(Dodd,1932;JarrellandPeltzman,1985;Hofferetal.,1988;PrestonandO’Bannon,1997;WaddockandGraves,1997;GriffinandMahon,1997;McWilliamsandSiegel,2000;SimpsonandKohers,2002)McWilliamsandSiegel(2000)CSPCFPCFPGriffinandMahon(1997)CSPCSP(GriffinandMahon,1997;RowleyandBerman,2000)RowleyandBerman(2000)CSPCSPCFP2SimpsonandKohers(2002)()SimpsonandKohers(2002)(CRArating)19931994CSPCSPCSP(WaddockandGraves,1997;GriffinandMahon,1997;Carroll,2000)CSP()()()(Wood,1991a,1991b;Aupperleetal.,1985;WolfeandAupperle,1991;Aupperle,1991;Miles,1987;Gephart,1991;WaddockandGraves,1997)GriffinandMahon(1997)CSPCFPGriffinandMahon(1997)McGuire,Sundgren&Schneeweis(1988)CFPCSPCFP(SimpsonandKohers(2002))CSPCFPCFPCSP1.McWilliamsandSiegel(2000)2.CSPCFPMcWilliamsandSiegel(2000)CSPCFPCSPCFPCSPCFPCSPCFP33.CSP4.5.CSPSTOXXCSPSTOXX()CSP6.200220054256(bank-year)7.(ReturnonAssetsROA)(IssueMarketReturn;IMR)CSP8.CSPCFP2.CSPCFPCornellandShapiro(1987)CornellandShapiro(1987)PrestonandO’Bannon(1997)()(socialimpact)-(lead-lag)()()1(DowJonesIndexes)STOXX(STOXXLimited)(SustainableAssetManagementGroup;SAM)(DowJonesSustainabilityIndexes;DJSI)()(DowJonesSustainabilityWorldIndexes;DJSIWorld)1999STOXX(DowJonesSTOXXSustainabilityIndexes;DJSISTOXX)STOXX600200110154(socialimpacthypothesis)(goodmanagementtheory)(AlexanderandBuchholz,1978;AndersonandFrankle,1980;Davis,1973;Frooman,1997;Ullmann,1985;WaddockandGraves,1997)SchulerandGording(2006)Freeman(1984)WaddockandGraves(1997)()(stakeholdercontractcoststheory)(implicitcontract)(Jones,1995)(Sen,1997;Swanson,1995)SchulerandGording(2006)(Jones,1995)()15(trade-offHypothesis)FriedmanVance(1975)Aupperle,Carroll,andHatfield(1985)()(privatecoststheory)(Aupperly,Carroll,andHatfield,1985;Friedman,1970;PrestonandO’Bannon,1997)SchulerandGording(2006)—()()(Friedman,1970)JensenandMeckling(1976)(managerialguiletheory)(agencytheory)(BerleandMeans,1932)(PrestonandO’Bannon,1997)SchulerandGording(2006)()26PrestonandO’Bannon(1997)(availablefundshypothesis)CFPCSPCFPCSP(slackresourcestheory)()WaddockandGraves(1997)SchulerandGording(2006)(affordabilitytheory)Carroll(1979)CFPCSP()3WeidenbaumandVogt(1987)Williamson(1967;1985)PosnerandSchmidt(1992)Alkhafaji(1989)PrestonandO’Bannon(1997)(managerial7opportunismhypothesis)CFPCSP43.3.1(1)(CFP)CSPCFPCFPCSPCSPCSPCFP-(lead-lag)Smith(1998)Glen,LeeandSingh(2003)(persistencyofprofitability)CFPCFPCFP(Totalassets)(PGDP)(Population)(TotalLiabilities/TotalAssets)(NoninterestExpenses/TotalRevenue)(EarningAssets)(2)(CSP)CSP81.Campbell(2005)(WaddockandGraves,1997)Campbell(2005)Campbell(2005)(Enron)1990(Stiglitz,2003)Campbell(2005)Campbell(2005)(MacCaulay,1963)()Campbell(2005)9(EconomicGrowth)CR4()(LegalEnforcement)(AntidirectorRights)2.DierkesandCoppock(1978),TrotmanandBradley(1981)FormbrunandShanley(1990)(2006)Moore(2001)McGuireetal.(1988)(leadingvariable)Prestonetal.(1991)KraftandHage(1990)()PosnerandSchmidt(1992)Alkhafaji(1989)(2006)PavaandKruausz(1996)PrestonandO’Bannon(1997)StanwickandStanwick(1998)(2006)(TotalAssetsTurnover)103.2(1)CSPCFP(two-stageleastsquaresprocedure;2SLS)CFPijtα0+α1CSPijt+α2TotalAssetsijt+α3PGDPit+α4Populationit+α5TotalLiabilitiesijt/TotalAssetsijt+α6NoninterestExpensesijt/TotalRevenueijt+α7EarningsAssetsijt+α8CR4it+ijt(3-1)CSPijtβ0+β1CFPijt+β2PGDPit+β3EconomicGrowthit+β4TotalAssetsijt+β5TotalAssetsTurnoverijt+β6CR4it+β7CR42it+β8LegalEnforcementi+β9AntidirectorRightsi+ijt(3-2)iijjttCFPijtijtCSPijtijtTotalAssetsijtijtPGDPititPopulationtiitTotalLiabilitiesijt/TotalAssetsijtijtEarningsAssetsijtijtNoninterestExpensesijt/TotalRevenueijtijtEconomicGrowthititTotalAssetsTurnoverijtijtCR4ititLegalEnforcementiiAntidirectorRightsiiijt10CSPCFP10CSPCFP10CFPCSP10CFPCSP11(2)CSPCFPCFPijtλ0+λ1CSPijt–1+λ2TotalAssetsijt+λ3PGDPit+λ4Populationit+λ5TotalLiabilitiesijt/TotalAssetsijt+λ6NoninterestExpensesijt/TotalRevenueijt+λ7EarningsAssetsijt+λ8CR4it+ijt(3-3)iijjttCFPijtijtCSPijt–1ijt–1TotalAssetsijtijtPGDPititPopulationiitTotalLiabilitiesijt/TotalAssetsijtijtEarningsAssetsijtijtNoninterestExpensesijt/TotalRevenueijtijtCR4ititijt20CSPCFP20CSPCFP(3)CFPCSPCSPijtγ0+γ1CFPijt+γ2PGDPit+γ3EconomicGrowthit+γ4TotalAssetsijt+γ5TotalAssetsTurnoverijt+γ6CR4it+γ7CR42it+γ8LegalEnforcementi+γ9AntidirectorRightsi+ijt(3-4)iijjttCSPijtijtCFPijt–1ijt–1EconomicGrowthjtitTotalAssetsijtijtPGDPititTotalAssetsTurnoverijtijtCR4ititLegalEnforcementiiAntidirectorRightsiiijt1220CFPCSP20CFPCSP4.STOXX600(DowJonesSTOXX600index)STOXX(DowJonesSTOXXSustainabilityIndex)STOXX1520022005256(bank–year)(WorldBanks)(WorldDevelopmentIndicators;WDI)LLSV(1998)(legalenforcement)(antidirectorrights)0~10LLSV(1998)(anti–directorrightindex)0~6(CR4)Compustat4–120022005(4.5%)(0.25%)(PGDP)($38,982)($11,047)(82,508,663)(4,038,763)(CR4)1.000()0.465()9.9927.806(5)(0)13CompustatSTOXX600STOXXCSRCSR4–2200220054–2CSRCSR()CSRCSR4–2CSRCSRbeta(t=4.844)(t=12.173)(t=4.704)(t=7.901)(t=1.905)(t=–2.466)4–120022005CountryEconomicGrowth(%)PFDP(US