CSR과 정보 불확실성 및 가치평가오류 ：비선형 관련성을 중심으로

[Purpose] This study examines how firm’s corporate social responsibility level is associated with information uncertainty and firm misvaluation. [Methodology] We employ 4,459 and 7,131 U.S. firm－year observations that contain available data to measure information uncertainty and misvaluation, respectively, during the sample period of 2002 to 2016. Abnormal CSR level, the main interest variable of this study, is measured as the method by Lys et al.(2015). Information uncertainty is defined as the annual standard deviation of the monthly stock returns and the variance of the analyst’s earnings forecasts. Misvaluation is measured following Rhodes－Kropf et al.(2005). [Findings] When the CSR activity level is below the optimal level, information uncertainty and misvaluation tend to decrease as the CSR activity level increases toward the optimal level. However, when the CSR activity level already exceeds the optimal level, additional excessive CSR activities increase information uncertainty and misvaluation. [Policy Implications] Prior studies suggest that the association between CSR activities and firm value is nonlinear. This study makes an additional contribution to prior accounting literature by presenting the nonlinear relationship between CSR activities and information uncertainty as well as firm misvaluation. In addition, this study provides evidence that investors are unable to detect a decline in firm valuation when CSR activity level deviates from optimal level. This finding implies that stakeholders should be cautious when making decisions based on information of such firms. Policy makers also need to pay attention to firms with abnormal CSR levels in order to improve the information environment of the capital market.