This study examines the impact of the COVID-19 outbreak on the Taiwan stock market and investigates whether companies with a commitment to corporate social responsibility (CSR) were less affected. This study uses a selection of companies provided by CommonWealth magazine to classify the listed companies in Taiwan as CSR and non-CSR companies. The event study approach is applied to examine the change in the stock prices of CSR companies after the first COVID-19 outbreak in Taiwan. The empirical results indicate that the stock prices of all companies generated significantly negative abnormal returns and negative cumulative abnormal returns after the outbreak. Compared with all companies and with non-CSR companies, CSR companies were less affected by the outbreak; their stock prices were relatively resistant to the fall and they recovered faster. In addition, the cumulative impact of the COVID-19 on the stock prices of CSR companies is smaller than that of non-CSR companies on both short- and long-term bases. However, the stock price performance of non-CSR companies was not weaker than that of CSR companies during times when the impact of the pandemic was lower or during the price recovery phase.

Corporate social responsibility (CSR) implementation could raise corporate reputations and benefit long-term development. Studying the effects of CRS on corporate valuation is essential. However, studies on the valuation of CSR are limited, particularly studies involving a dynamic model for valuing CSR. This study applies a real options approach to derive the company valuation of CSR investments, CSR options value, and the optimal timing for implementing CSR. This study elucidates the value of CSR and the decision to invest in CSR. Specifically, the value of CSR options facilitates determining whether to invest in CSR, and the optimal threshold for implementing CSR indicates explicitly when to invest in CSR. In addition, numerical analyses and results are demonstrated to verify the established model. This is the first and novel attempt to consider the valuation model and optimal strategies of CSR investments using the methods of real options.to approve of environment-related CSR activities taken by businesses. Previous studies on the correlation between CSR and corporations' financial performance have mainly investigated whether corporate investment on CSR can enhance or create corporate value and effectively improve corporate performance. CSR implementation could increase brand awareness and corporate reputation, thus benefiting long-term corporate development. Nevertheless, CSR expenditures cannot be ignored. The relationship between CSR and corporate performance has been widely investigated. Studies including those of McWilliams and Siegel [4] and Krüger [5] consider that the results of CSR investments are inconsistent. This inconsistency shows that the performance of CSR investments is complicated and uncertain. Although implementing CSR has a positive impact and is a current trend, CSR investors could suffer a great loss. A real options approach is suitable to value the uncertainty of CSR investments. Especially, the optimal timing to invest in CSR can be derived from the real options approach, and that can help the firms to make the best decisions relating to CSR. A real options approach is therefore a great method when facing the problem of uncertainty.Scholars have widely adopted real options theory to evaluate investment projects in recent years because flexibility in investment decision-making is valuable under market uncertainties [6]. However, only a few studies use the real options viewpoint to analyze CSR investments [7-10]. These researchers use the real options framework to study CSR investments, but they do not construct a pricing model for investigating CSR investments. According to a review of the literature, this study is the first to derive the closed-form solution of optimal threshold of CSR investments.The main purpose of this study is to construct a dynamic CSR valuation model. This study elucidates the value of CSR and the decision to invest in CSR. Specifically, the value of CSR options facilitates determining whether to invest in CSR, and the optimal threshold for implementing CSR indi...

In this study, we investigate the determinants of credit spread using a Markov regime-switching model. We consider corporate governance variables and credit risk to analyze the determinants of credit spread. The corporate governance mechanism is an indicator of company sustainability, and credit spread is the main factor in profits obtained by banks. However, the relationship between credit spread and corporate governance is seldom discussed. We focus on loans from banks in Taiwan between 2000 and 2019 and apply a Markov regime-switching model, which is superior to other models in capturing different effects in various regimes. We specify two regime types: corporate governance and credit risk regimes. Furthermore, we consider four aspects of corporate governance: firm ownership structure, board structure, deviation, and information environment. In this study, the determinants of credit spread are investigated more thoroughly than in previous studies. Moreover, in this study, we examine the effects of monetary policy and economic status on credit spread using a Markov regime-switching model; such models are not employed to their full extent in related studies of credit spread. Empirical results indicate that credit spread has different effects in various regimes. Thus, understanding the determinants of credit spread in different regimes is crucial for financial analysts, investors, economic policymakers, and banks. Consequently, we expect that this study can improve the management and measurement of credit risk and be of value to financial institutions.