Data Science Report 12 - 「ステークホルダー資本主義」はコロナ渦中の企業を支えたか / DSR12

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Data Science Report 「ステークホルダー資本主義」はコロナ渦中の企業を支えたか Kei Nakagawa Tomonori Manabe Quantitative Analyst, Nomura Asset Management Co., Ltd. R&D Department Researcher, Sansan, Inc. 12

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Data Science Report 01ɹ|ɹ © Sansan, Inc. 「ステークホルダー資本主義」はコロナ渦中の企業を支えたか 1　概要 1.1　はじめに ۙ೥ɺ اۀ͸גओ͚ͩͰͳ͘ैۀһ΍αϓϥΠϠʔͳͲ͋ΒΏΔεςʔΫϗϧμʔͷརӹʹ഑ྀ͢΂͖Ͱ͋Δͱ͍͏ɺ εςʔ Ϋϗϧμʔࢿຊओ͕ٛؔ৺ΛߴΊ͍ͯΔ[1, 2]ɻ2019೥ɺถܦࡁஂମϏδωεɾϥ΢ϯυςʔϒϧʢBRTʣ͸ɺاۀͷ໨తʹؔ ͢Δ੠໌ͷதͰʮސ٬ɺैۀһɺαϓϥΠϠʔɺ஍Ҭࣾձɺגओͱ͍ͬͨશͯͷεςʔΫϗϧμʔͷརӹͷͨΊʹձࣾΛಋ͘ ͜ͱʹίϛοτ͢Δʯͱެදͨ͠[1]ɻ·ͨɺ2020೥1݄ͷੈքܦࡁϑΥʔϥϜ೥࣍૯ձʢμϘεձٞʣͰ͸εςʔΫϗϧμʔ ࢿຊओ͕ٛॏ఺ςʔϚͱͯ͠औΓ্͛ΒΕɺΫϥ΢εɾγϡϫϒձ௕͸ʮاۀ͸εςʔΫϗϧμʔࢿຊओٛΛ׬શʹड͚ೖΕ ͳ͚Ε͹ͳΒͳ͍ɻརӹΛ࠷େԽ͢Δ͚ͩͰͳ͘ɺ੓෎΍ࢢຽࣾձͱڠྗͯ͠ೳྗ΍ࢿݯΛ׆༻͠ɺ͜ͷ10೥ؒͷॏཁͳ՝ ୊ʹରॲ͠ͳ͚Ε͹ͳΒͳ͍ɻاۀ͸ɺΑΓ·ͱ·Γͷ͋Δ࣋ଓՄೳͳੈքʹੵۃతʹߩݙ͠ͳ͚Ε͹ͳΒͳ͍ʯͱड़΂͍ͯ Δ[2]ɻ͜ΕΒ͸ɺגओୈҰओ͔ٛΒɺεςʔΫϗϧμʔओٛ΁ͷస׵΁ͷએݴͱͯ͠ड͚ࢭΊΒΕ͍ͯΔɻ ৽ܕίϩφ΢ΠϧεʢCOVID-19ʣ͕ܦࡁ׆ಈ΁ଧܸΛ༩͍͑ͯΔݱࡏͷ৘੎ʹ͓͍ͯɺεςʔΫϗϧμʔࢿຊओٛͷඞཁ ੑ͕Ұ૚ߴ·͍ͬͯΔɻ͜ͷΑ͏ͳܠؾޙୀͷہ໘ʹ͓͍ͯ͸ɺاۀͷεςʔΫϗϧμʔ΁ͷରԠʹ͍ͭͯɺྙཧతͳཁ੥͕ ߴ·Γɺ·ͨɺରԠͷࡏΓํ͕اۀܦӦͷ଱ੑ΍ճ෮ྗɺ͞Βʹ͸ࣾձશମͷճ෮ྗͱؔΘ͍ͬͯΔͱߟ͑ΒΕΔͨΊͰ͋Δɻ ੈքܦࡁϑΥʔϥϜ͸COVID Action PlatformΛ௨ͯ͠ɺ৽ܕίϩφ΢Πϧε࣌୅ʹ͓͚ΔεςʔΫϗϧμʔݪଇΛൃද͠ɺ εςʔΫϗϧμʔͱ࣋ଓੑʹ഑ྀͨ͠اۀ׆ಈΛݺͼֻ͚͍ͯΔ[3]ɻ 1.2　企業の社会関係資本と株価クラッシュ εςʔΫϗϧμʔʹ഑ྀͨ͠اۀ׆ಈɺ͢ͳΘͪɺεςʔΫϗϧμʔͱͷؔ܎ੑͷ๛͔͞͸ɺ࣮ࡍʹاۀͷ௕ظతͳ੒௕ੑ ΍ɺ࣋ଓੑͱؔ࿈͕͋ΔͷͩΖ͏͔ɻ͜Ε·Ͱɺاۀ͕࣋ͭ৴༻΍ࣾձͱͷྑ޷ͳؔ܎ੑ͕ɺاۀʹ௕ظతͳརӹΛ΋ͨΒ͢ ͱ͍͏ݚڀ݁Ռ͕͍͔ͭ͘ެද͞Ε͍ͯΔɻͦͷҰྫͱͯ͠ɺاۀͷʮࣾձؔ܎ࢿຊʯ͕גՁͷٸམϦεΫΛݮ͡Δͱ͍͏ใ ࠂ͕͋Δ[4, 5, 6, 7]ɻݩʑࣾձؔ܎ࢿຊͱ͸ɺϩόʔτ ɾDɾύοτφϜ͕ʮࣾձతωοτϫʔΫ͔ΒੜΈग़͞ΕΔޓुੑͱ৴པੑ ͷنൣʯ [8] ͱఆٛͨ͠΋ͷͰɺ৴པؔ܎Λࢿຊͱݟͳ֓͢೦Ͱ͋Δɻݸਓ͚ͩͰͳ͘૊৫ؒͷωοτϫʔΫʹ΋ద༻Ͱ͖Δͱ ͞ΕΔʢิ଍ 5.1અʣ ɻ גՁͷٸམϦεΫΛ؅ཧ͢Δ͜ͱ͸اۀܦӦ্͚ͩͰͳ͘ɺ౤ࢿՈʹ޲͚ͨɺࢿ࢈ӡ༻ʹ͓͚ΔϦεΫ؅ཧ্΋ඇৗʹॏཁ Ͱ͋Δ[5, 7, 9]ɻاۀͷࣾձؔ܎ࢿຊͱגՁٸམϦεΫʹؔ͢ΔҰ࿈ͷݚڀ͸ɺاۀपลͷࣾձͱͷ৴༻ܗ੒ɺ͢ͳΘͪࣾձؔ ܎ࢿຊ͕ΫϥογϡɾϦεΫΛ௿Լͤ͞[5, 7]ɺۚ༥ةػ࣌ͷิঈͱͯ͠ػೳ͢Δ͜ͱΛओு͍ͯ͠Δ[6]ɻैͬͯɺاۀͷࣾձ ؔ܎ࢿຊ͸ैདྷ͔Βೝࣝ͞Ε͖ͯͨاۀܦӦ্ͷར఺ͷ΄͔ɺגՁͷٸམϦεΫΛ཈੍Ͱ͖Δ͜ͱ΋ɺͦͷॏཁͳ໾ׂͷҰͭ ͱͯ͠ଊ͑Δ͜ͱ͕Ͱ͖Δɻࣾձؔ܎ࢿຊ͕גՁٸམϦεΫʹӨڹ͢ΔϝΧχζϜͱͯ͠ɺ ্ड़ͷݚڀͰ͸ɺ εςʔΫϗϧμʔ ͱͷྑ޷ͳؔ܎ੑ͕ߏஙͰ͖͍ͯΔاۀͰ͸಺෦౷੍͕༗ޮͰ͋Γɺ৘ใ։ࣔʹੵۃతͰ৘ใͷӅṭ΋গͳ͍͜ͱ΍ɺޓܙత ؔ܎ੑͷߏஙʹΑΓܦӦѱԽΛ؇࿨Ͱ͖Δ͜ͱɺͳͲͷཧ༝͕ߟ࡯͞Ε͍ͯΔʢิ଍ 5.2અʣ ɻ ͜Ε·Ͱͷؔ࿈ݚڀ͸ɺ͍ͣΕ΋اۀͷࣾձؔ܎ࢿຊΛ௚઀తʹଌఆͨ͠΋ͷͰ͸ͳ͘ɺCSR׆ಈͷείΞϦϯάͳͲΛ ͦͷ୅ཧม਺ͱͯ͠༻͍ͨ΋ͷͰ͋Δɻ͔͠͠ɺاۀͷCSR׆ಈ͸εςʔΫϗϧμʔͱͷ৴པతؔ܎ͱΠίʔϧͰ͸ͳ͍ɻ ·ͨɺεςʔΫϗϧμʔ͔Βɺاۀ͕۩ମతʹͲͷΑ͏ͳ಺༰ͰධՁ͞Ε͍ͯΔ͔ͳͲͱ͍ͬͨɺͦͷܗ੒͞Εͨҹ৅ͷ಺༰ ΍Ҽࢠͱͷؔ܎ʹ·Ͱݴٴͨ͠ݚڀ͸ɺ͜Ε·ͰߦΘΕͯ͸͍ͳ͍ɻ

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Data Science Report 02ɹ|ɹ © Sansan, Inc. 1.3　本稿の位置付け ্هͷΑ͏ͳઌߦݚڀΛ౿·͑ͯɺ2020೥ͷ1 ʙ 2݄͝Ζ͔Βͷ৽ܕίϩφ΢Πϧεײછͷੈքత֦େΛىҼͱ͢ΔגՁ ͷٸམظʢҎ߱ɺίϩφ΢ΠϧεɾγϣοΫʣʹ͓͍ͯ΋ɺاۀͷࣾձؔ܎ࢿຊ͸ɺגՁٸམΛ؇࿨͍ͯͨ͠Մೳੑ͕ߟ͑ಘ Δɻ͔͠͠ͳ͕Βɺݱࡏ·ͰͦͷΑ͏ͳ࣮ূݚڀͷ݁Ռ͸ใࠂ͞Ε͍ͯͳ͍ɻ ΋ͬͱ΋ɺίϩφ΢ΠϧεɾγϣοΫ͸͜Ε·Ͱͷٸམͱ͸ͦͷഎܠ͕ҟͳ͍ͬͯΔͱߟ͑ΒΕ͍ͯΔʢิ଍ 5.3અʣ ɻג ࣜࢢ৔͸Կ౓΋ɺ͞·͟·ͳཧ༝ͰٸམΛ܁Γฦ͖ͯͨ͠ɻϦʔϚϯγϣοΫͳͲͷ͜Ε·Ͱͷٸམ͸ɺओʹۚ༥γεςϜ΁ ͷෆ͔҆Βൃੜͨ͠΋ͷͰ͋ΔɻҰํͰɺࠓճͷίϩφ΢ΠϧεɾγϣοΫʹ͍ͭͯ͸ɺײછʹΑΔ޻৔ͷੜ࢈ೳྗͷ௿Լɺ αϓϥΠνΣʔϯ΍ަ௨໢ͷःஅͳͲ࣮ମܦࡁʹ͓͚Δڙڅ໘΁ͷݒ೦͕גՁͷԼམʹͭͳ͕͍ͬͯΔ[9, 11]ɻݱࡏ΋ಉ༷ͷٸ མϦεΫ͕ଘࡏ͢Δ͜ͱ͔ΒɺεςʔΫϗϧμʔࢿຊͷΑ͏ͳاۀͷఆੑతͳੑ࣭ʹ༝དྷͨ͠ϑΝΫλʔͷӨڹΛɺఆྔతʹ ໌Β͔ʹ͢Δ͜ͱ͸ॏཁͳ෼ੳ՝୊Ͱ͋Δɻ ຊߘͰ͸ɺاۀͱ໊ࢗަ׵ͨ͠ਓΛͦͷௐࠪର৅ͱͨ͠ɺࠃ಺اۀͷࣾձతධՁࢦඪʢEight Company ScoreɿECSʣΛࣾ ձؔ܎ࢿຊͷࢦඪͱͯ͠༻͍ɺίϩφ΢ΠϧεɾγϣοΫʹ͓͚ΔגՁͱͷؔ࿈ੑΛ෼ੳͨ͠ɻઌߦݚڀͰ࢖༻͞Ε͍ͯΔࣾ ձؔ܎ࢿຊͷࢦඪͱͷ࠷େͷࠩҟͱͯ͠ɺECS͸εςʔΫϗϧμʔ͔Βͷ௚઀ͷ৴༻΍ධ൑Λଌఆͨ͠΋ͷͰ͋Δͱ͍͏఺ ͕ڍ͛ΒΕΔɻ ෼ੳͷ݁ՌɺεςʔΫϗϧμʔ͔ΒͷධՁ͕ߴ͍اۀ͸ɺίϩφ΢ΠϧεɾγϣοΫʹ͓͚ΔגՁٸམ͕؇࿨͞Ε͍ͯͨ͜ ͱ͕໌Β͔ʹ͞Εͨɻ͞ΒʹɺECSͷ3ͭͷධՁ߲໨ʢϒϥϯυͷັྗɺ੡඼ ɾ αʔϏεͷ༗༻ੑɺਓͷ޷ҹ৅ʣͷ͏ͪɺ ʮ੡ ඼ɾαʔϏεͷ༗༻ੑʯධՁ͕ɺίϩφ΢ΠϧεɾγϣοΫʹ͓͚ΔϦλʔϯʹରͯ͠ಛʹڧ͘ਖ਼ͷؔ࿈ੑΛࣔ͢͜ͱΛݟ͍ ͩͨ͠ɻ͜ͷ݁Ռ͸ɺاۀͷεςʔΫϗϧμʔ͔ΒͷධՁͱίϩφ΢ΠϧεɾγϣοΫͷؔ܎ΛॳΊ࣮ͯূతʹ໌Β͔ʹͨ͠ ΋ͷͰ͋Γɺاۀ͕εςʔΫϗϧμʔͱͷؒʹߏங͖ͯͨ͠৴༻͕ίϩφ΢ΠϧεɾγϣοΫΛ؇࿨͍ͤͯͨ͜͞ͱΛࣔࠦ͢ Δɻ͞Βʹ·ͨɺ͜ͷܠؾޙୀ࣌ʹ͓͍ͯ͸ɺ ʮϒϥϯυʯ΍ʮਓʯͷཁૉΑΓ΋ɺ ʮ੡඼ɾαʔϏεͷ༗༻ੑʯͱ͍͏ɺΑΓ ࣮࣭తͳ৴༻͕ɺϦεΫ؇࿨ʹରͯ͠ΑΓॏཁͰ͋Δͱ͍͏͜ͱΛࣔࠦ͢Δ΋ͷͰ͋Δɻ 2　分析対象 2.1　Eight Company Score（ECS） اۀͷࣾձؔ܎ࢿຊͷࢦඪͱͯ͠༻͍ΔECSͷઆ໌Λߦ͏ɻECS͸ɺاۀͷϒϥϯυΠϝʔδ΍ɺ੡඼ͷ༗༻ੑɺਓͷҹ ৅ͳͲΛɺͦͷاۀͱ໊ࢗަ׵ͨ͠ਓΛର৅ͱͯ͠ௐࠪͨ͠΋ͷͰ͋Δɻاۀͷ໊ࢗॴ༗ऀ͸اۀͱϏδωε্ͷؔΘΓΛ࣋ ͭɺ෯޿͍εςʔΫϗϧμʔͷूஂͰ͋Δɻैͬͯ൴ΒʹΑΔاۀҹ৅ͷ૯ମ͸ɺϏδωεωοτϫʔΫ্ͷاۀͷධ൑Λఆ ྔԽͨ͠΋ͷͱݟͳͤΔɻ͜Ε·ͰͷݚڀͰɺECS͕اۀͷגओՁ஋ʹରͯ͠આ໌ྗΛ࣋ͪɺແܗࢿ࢈Ձ஋৘ใΛද͍ͯ͠ Δ͜ͱ[12]ɺ·ͨɺROA΍རӹ཰ͱਖ਼ͷؔ࿈Λ࣋ͭ͜ͱ͕࣮ূ͞Ε͍ͯΔ[13]ɻ ຊߘͰ͸͞ΒʹɺECSͷ3ͭͷௐ߲ࠪ໨Ͱ͋Δʮϒϥϯυͷັྗʯ ʮ੡඼ɾαʔϏεͷ༗༻ੑʯ ʮࣾһͷ޷ҹ৅ʯͷ͏ͪɺͲ ͷࢦඪ͕ΫϥογϡɾϦεΫΛಛʹ؇࿨͍ͯͨ͠ͷ͔Λݕূ͢Δ͜ͱͰɺͲͷΑ͏ͳ಺༰ͷاۀҹ৅ͷܗ੒͕ϦεΫͷ௿ݮʹ ༗ޮͳͷ͔ʹ͍ͭͯ΋ߟ࡯͢Δɻ ௐࠪํ๏͸ɺ໊ࢗΞϓϦʮEightʯͷϢʔβʔΛௐࠪର৅ͱͨ͠೚ҙͷΞϯέʔτͰ͋Δɻௐࠪର৅اۀͷ໊ࢗΛॴ༗͢Δ EightϢʔβʔʹର͠ɺϥϯμϜʹௐࠪථΛϝʔϧૹ෇͠ɺ݁ՌΛճऩͯ͠࡞੒͞Ε͍ͯΔɻ ௐࠪ͸2018೥4݄ʹ։࢝͞Εɺ൒೥ʹҰ౓ͷස౓ͰߦΘΕ͍ͯΔɻ2019೥10݄ௐࠪʹ͓͚Δɺௐࠪର৅اۀ਺ɺ͏্ͪ৔ اۀ਺ɺاۀ͋ͨΓͷௐࠪਓ਺ɺճ౴ऀ਺͸ද1ͷΑ͏ʹͳ͍ͬͯΔɻ 図1：ECSの調査対象 Eightユーザー

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Data Science Report 03ɹ|ɹ © Sansan, Inc. 表1：ECSの調査数（2019年10月調査） ECS͸ʮϒϥϯυʯ ʮαʔϏεʯ ʮώτʯ͓Αͼʮೝ஌ʯͷ4߲໨ʹؔ͢Δاۀʹର͢Δҙࣝௐࠪͱɺࣗ༝هड़ཝ͔Β੒Δɻ ۩ମతʹ͸ɺճ౴ऀ͸ɺ ・ブランド：「x社のブランドイメージは魅力的だと思いますか？」・サービス：「x社の製品・サービスは自社・社会に有用だと思いますか？」・ヒト：「x社の人は好印象だと思いますか？」・認知：「x社についてどのくらい知っていますか？」 ͱ͍͏4ͭͷ࣭໰߲໨ʹର͠ɺͦΕͧΕʹ 0 ͔Β10ͷ11ஈ֊ͷධ఺Λ෇͚ͯճ౴͢Δɻ·ͨɺاۀͷҹ৅ʹ͍ͭͯͷίϝ ϯτΛࣗ༝هड़Ͱճ౴Ͱ͖Δɻ1ਓͷճ౴ऀ͕ճ౴Մೳͳاۀ਺͸ɺ࠷େ3اۀʹݶఆ͞Ε͍ͯΔɻ ຊߘͰ͸ɺ اۀͷࣾձؔ܎ࢿຊͷࢦඪͱͯ͠ɺ ৽ܕίϩφ΢ΠϧεͷӨڹ͕ݦࡏԽ͢Δલͷɺ ECSͷ࠷৽ௐࠪσʔλ ʢ2019೥ 10݄࣌఺σʔλʣΛ༻͍ͨɻ اۀ͝ͱͷECSείΞΛɺϒϥϯυɾαʔϏεɾώτͷ֤3߲໨ʹ͍ͭͯɺ֤اۀʹର͢Δճ౴ऀͷϨʔςΟϯάͷʮاۀ ஌ࣝϨʔςΟϯάॏΈ෇͚ฏۉ஋ʯ ͱͯ͠ఆٛͨ͠ ʢࣜ1ʣ ɻ ʮೝ஌ʯ ͷϨʔςΟϯάʹ0Λ͚ͭͨճ౴ऀͷσʔλ͸আ֎͞ΕΔɻ ·ͨͦͷاۀʹ͍ͭͯɺΑΓ஌͕ࣝ͋ΔਓͷϨʔςΟϯάΛॏΜͨ͡είΞͱͯ͠ఆٛ͞ΕΔɻ ͜͜ͰɺECSik ͸اۀiͷ߲໨kʢϒϥϯυɺαʔϏεɺώτʣͷείΞΛද͢ɻni ͸اۀiͷճ౴ऀ਺ɺKnowledgeij ͸ا ۀiͷճ౴ऀjͷೝ஌ϨʔςΟϯάΛද͢ɻRatingijk ͸اۀiͷճ౴ऀjͷ߲໨kʹର͢ΔϨʔςΟϯάΛද͢ɻ 2.2　企業データ ֤اۀͷגՁ݄࣍Ϧλʔϯ ʢ഑౰ࠐΈ݄࣍ऩӹ཰ʣ ɺاۀͷࡒ຿৘ใͷσʔλ͸શͯ໺ଜ૯߹ݚڀॴͷ෼ੳσʔλαʔϏε ʢIDS-QEʣʹΑΓऔಘͨ͠ɻCarhartͷϑΝΫλʔσʔλ͸Kenneth R. Frenchͷ΢Σϒϖʔδ͔Βऔಘͨ͠[14]ɻ2019೥10݄ ࣌఺ͷECSௐࠪର৅اۀͷ͏্ͪ৔اۀ਺͸812Ͱ͋Γɺͦͷ͏ͪɺגՁ΍ࡒ຿ͷίϯτϩʔϧม਺ͷશͯͷσʔλͰܽଛ ͕ͳ͍اۀ਺͸806Ͱ͋ͬͨɻ෼ੳʹ͸͜ͷ806اۀͷσʔλ ηοτΛ༻͍ͨɻ ΞϒϊʔϚϧϦλʔϯ͸ɺ ݄࣍Ϧλʔϯͱ༧ଌϦλʔϯͷࠩ෼ ͱͯ͠ఆٛͨ͠ɻ༧ଌϦλʔϯ͸2020೥1݄·Ͱͷ60Χ݄ͷ σʔλΛ༻͍ͨϚʔέοτϞσϧʹΑͬͯࢉग़ͨ͠ɻ৽ܕίϩ φ΢ΠϧεͷӨڹʹΑΔٸམظͷגՁϦλʔϯ͓ΑͼΞϒϊʔ ϚϧϦλʔϯ͸ɺ ϚʔέοτϦλʔϯ͕େ͖ͳϚΠφεΛࣔͨ͠ 2020೥ 2݄ͱ2020೥ 3݄ͷฏۉ஋ͱͯ͠ఆٛͨ͠ ʢද2ʣ ɻ͜ͷ ίϩφ΢Πϧεظؒʹ͓͚ΔגՁϦλʔϯͷฏۉ஋͸-9.24%ɺ தԝ஋͸-9.47%Ͱ͋ͬͨɻ·ͨΞϒϊʔϚϧϦλʔϯͷฏۉ ஋͸-1.83%ɺதԝ஋͸-1.45%Ͱ͋ͬͨʢද3ʣ ɻ 年月マーケットリターン（%） 2020೥ 1݄ -1.92 2020 ೥ 2݄ -9.97 2020 ೥ 3݄ -5.18 2020 ೥ 4݄ 4.96 2020 ೥ 5݄ 6.44 ௐࠪର৅اۀ਺ 1402 ͏্ͪ৔اۀ਺ 812 اۀ͋ͨΓͷฏۉௐࠪਓ਺ 1751 (1002 - 2892) اۀ͋ͨΓͷฏۉճ౴ऀ਺ 196 (91 - 383) ˞ Χοί಺ͷ਺஋͸ʢ࠷খ஋ - ࠷େ஋ʣΛද͢ɻ 表2：月次マーケットリターン（2020年1月～5月） ECSik ∑j 1 Knowledgeij ·Ratingijk ni ∑j 1 Knowledgeij ni ࣜʢ1ʣ

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Data Science Report 04ɹ|ɹ © Sansan, Inc. ίϯτϩʔϧม਺͸Karl V. LinsΒ[6] ͱಉ༷ͷม਺Λ࢖༻ͨ͠ɻ͢ͳΘͪɺةػ࣌ͷגՁʹӨڹΛ༩͑ΔͱࢥΘΕΔࡒ຿ͷ ݈શੑͷࢦඪͱͯ͠ɺݱۚอ༗཰ʢݱ͓ۚΑͼ༗Ձূ݊ͷࢿ࢈߹ܭൺ཰ʣ ɺ୹ظෛ࠴཰ʢྲྀಈෛ࠴ͷࢿ࢈߹ܭൺ཰ʣ ɺ௕ظෛ ࠴཰ʢ௕ظෛ࠴ͷࢿ࢈߹ܭൺ཰ʣ ɺརӹ཰ʢӦۀརӹͷࢿ࢈߹ܭൺ཰ʣΛ༻͍ͨɻ·ͨɺͦͷଞϦλʔϯʹӨڹΛ༩͑Δͱࢥ ΘΕΔاۀͷಛੑͱͯ͠ɺاۀن໛ʢ࣌Ձ૯ֹͷର਺ʣ ɺ฽Ձ࣌Ձൺ཰ʢ฽Ձͷ࣌Ձ૯ֹൺ཰ʣ ɺϞϝϯλϜʢ௚ۙ1Χ݄Λআ ͘աڈ12Χ݄ͷྦྷੵגՁϦλʔϯʣΛಋೖ͠ɺ·ͨɺ฽Ձ࣌Ձൺ཰͕ϚΠφεͷاۀʹରͯ͠μϛʔม਺Λ༩͑ͨɻ͞Βʹɺ اۀͷΠσΟΦγϯΫϥςΟοΫɾϦεΫʢ݄࣍σʔλΛ༻͍ɺ2020೥1݄·Ͱͷ5೥ؒʹਪఆ͞ΕͨϚʔέοτϞσϧͷ࢒ ࠩ[15]ʣΛίϯτϩʔϧม਺ͱͯ͠௥Ճͨ͠ɻΠσΟΦγϯΫϥςΟοΫɾϦεΫ͸ɺ2020೥1݄ʹऔಘՄೳͳ࠷৽ͷ஋ɾܾ ࢉ৘ใΛ༻͍ͯಋग़ͨ͠ɻ͜ΕΒม਺ͷཁ໿౷ܭྔΛද3ʹɺ·ͨɺม਺ؒͷ૬ؔΛද4ʹه͍ͯ͠Δɻ ͞Βʹɺ্ड़ͷม਺ʹՃ͑ɺCarhartͷ4ϑΝΫλʔϞσϧʹ͓͚ΔϑΝΫλʔɾϩʔσΟϯάεΛઆ໌ม਺ͱͯ͠ಋೖ͠ɺ ϑΝΫλʔʹର͢ΔΤΫεϙʔδϟʔ͕Ϧλʔϯʹ༩͑ΔӨڹΛ౷੍ͨ͠[6, 16]ɻ·ͨɺ33ۀछ[17] ͷμϛʔม਺Λίϯτϩʔ ϧม਺ͱͯ͠௥Ճ͠ɺۀछݻ༗ͷӨڹΛ౷੍ͨ͠ɻͳ͓ɺ໨తม਺ͷ݄࣍Ϧλʔϯฏۉ஋͓Αͼίϯτϩʔϧม਺͸ɺશ্ͯ Լ1%ͷ΢ΟϯβʔԽΛߦ͍ҟৗ஋Λิਖ਼ͨ͠ɻ 表3：要約統計量変数平均標準偏差 Q0.25 中央値 Q0.75 使用データ年月 ECS ϒϥϯυείΞ 6.92 0.70 6.44 6.94 7.42 2019 ೥ 10݄ ECS αʔϏεείΞ 6.99 0.63 6.66 7.06 7.45 2019 ೥ 10݄ ECS ώτείΞ 6.85 0.45 6.58 6.89 7.15 2019 ೥ 10݄ ϊʔϚϧϦλʔϯ -9.24 7.97 -14.22 -9.47 -3.87 2020 ೥ 2݄ɺ3݄ ΞϒϊʔϚϧϦλʔϯ -1.83 8.13 -6.63 -1.45 3.27 2020 ೥ 2݄ɺ3݄ ݱۚอ༗཰ 0.22 0.17 0.09 0.17 0.30 2020 ೥ 1݄࣌఺ͷ࠷৽஋ ୹ظෛ࠴཰ 0.16 0.14 0.04 0.12 0.24 2020 ೥ 1݄࣌఺ͷ࠷৽஋ ௕ظෛ࠴཰ 0.30 0.16 0.20 0.28 0.39 2020 ೥ 1݄࣌఺ͷ࠷৽஋ རӹ཰ 0.07 0.06 0.03 0.06 0.09 2020 ೥ 1݄࣌఺ͷ࠷৽஋ اۀن໛ 25.96 1.71 24.73 26.05 27.13 2020 ೥ 1݄࣌఺ͷ࠷৽஋ ฽Ձ࣌Ձൺ཰ 0.88 0.66 0.38 0.74 1.17 2020 ೥ 1݄࣌఺ͷ࠷৽஋ ϞϝϯλϜ 0.18 0.34 -0.03 0.11 0.32 2020 ೥ 1݄࣌఺ͷ࠷৽஋ ΠσΟΦγϯΫϥςΟοΫɾ ϦεΫ 79.30 77.53 35.76 52.97 85.05 2020 ೥ 1݄·Ͱͷ 5 ೥ؒ

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Data Science Report 06ɹ|ɹ © Sansan, Inc. 3　分析結果 3.1　企業の社会関係資本と新型コロナウイルスの影響による株価急落抵抗性の関連 ίϩφ΢ΠϧεͷӨڹʹΑΔגՁٸམʹର͢Δ֤ม਺ͷӨڹΛɺࣜʢ2ʣͰࣔ͞ΕΔॏճؼϞσϧʹΑΓਪఆͨ͠ɻ ͜͜ͰɺReturni ͸ίϩφ΢ΠϧεɾγϣοΫظͷاۀiͷϦλʔϯʢ·ͨ͸ΞϒϊʔϚϧϦλʔϯʣΛද͢ɻβ0 ͸੾ย ߲ɺβ1 ɺ β2 ɺ β3 ͸֤ม਺ϕΫτϧʹର͢Δ܎਺Λද͢ɻECSi ͸اۀiͷECSείΞʢϒϥϯυɺαʔϏεɺώτʣΛද͢ɻ CONTROLi ͸ 3.2અͰड़΂Δاۀiͷίϯτϩʔϧม਺Λද͢ɻFactorLoadingsi ͸اۀiʹ͍ͭͯͷCarhartͷϑΝΫ λʔɾϩʔσΟϯάεɺIndustryDummy͸ۀछͷμϛʔม਺ɺϵi ͸ޡ߲ࠩΛද͍ͯ͠Δɻ ࣜʢ2ʣʹΑͬͯਪఆ͞Εͨඪ४ภճؼ܎਺Λද5ʹࣔ͢ɻ෼ࢄෆۉҰੑΛߟྀͯ͠ɺඪ४ޡࠩ͸heteroscedasticity-robust SEΛද͍ͯ͠Δɻίϯτϩʔϧม਺Λಋೖͨ͠Ϟσϧɺಋೖ͍ͯ͠ͳ͍Ϟσϧɺ໨తม਺͕ϊʔϚϧϦλʔϯͱΞϒϊʔϚ ϧϦλʔϯͷશͯͷϞσϧʹ͓͍ͯɺ ECSαʔϏεείΞ͸Ϧλʔϯʹରͯ͠ڧ͘ਖ਼ͷؔ࿈Λࣔ͠ɺ ECSௐࠪʹ͓͍ͯʮ੡඼ ɾ αʔϏεͷ༗༻ੑʯͷධՁ͕ߴ͍اۀ͸גՁͷٸམ͕཈੍͞Ε͍ͯͨ͜ͱ͕ࣔ͞Εͨɻ܎਺ͷ஋͸ଞͷίϯτϩʔϧม਺ͷ܎ ਺ͱൺ΂ͯ΋େ͖͘ɺECSαʔϏεείΞͷ1σͷ૿Ճʹର͠ɺϊʔϚϧϦλʔϯ͸1.63%ɺΞϒϊʔϚϧϦλʔϯʹରͯ͠ ͸1.27%૿Ճͷظ଴஋ͱਪఆ͞ΕΔɻ ҰํɺECSϒϥϯυείΞ͸ɺϞσϧʢ1ʣʹ͓͍ͯ༗ҙਫ४5%ɺϞσϧʢ2ʣͱϞσϧʢ3ʣͰ༗ҙਫ४10%Ͱෛͷ܎਺ Λࣔͨ͠ʢද5ʣ ɻͨͩ͠܎਺ͷઈର஋͸શͯͷϞσϧʹ͓͍ͯ ECSαʔϏεείΞΑΓ΋খ͘͞ɺϞσϧʢ2ʣʹରͯ͠ί ϯτϩʔϧม਺Λಋೖͨ͠Ϟσϧʢ4ʣͰ͸༗ҙੑ͸ফࣦ͠ɺ ؤ݈ੑΛ༗͞ͳ͍ɻ·ͨɺ ྆ม਺ͷ૬ؔ܎਺͸0.86ͱߴ͘ʢද4ʣ ɺ ͢ͳΘͪαʔϏεείΞ͕ߴ͍اۀ͸ϒϥϯυείΞ΋ಉఔ౓ʹߴ͍܏޲ʹ͋Δɻຊॏճؼ෼ੳͷ݁Ռͱซͤͯߟ͑Δͱɺا ۀͷαʔϏεείΞͱϒϥϯυείΞ͸ಉਫ४ʹ͋Δ͜ͱ͕૝ఆ͞ΕΔ͕ɺͦͷதͰ΋૬ରతʹϒϥϯυείΞ͕௿͍Α͏ͳ اۀ͕ɺϦλʔϯ͕ߴ͍܏޲ʹ͋Δ͜ͱΛࣔ݁͢Ռͱͳ͍ͬͯΔɻ͢ͳΘͪɺϒϥϯυείΞΑΓ΋αʔϏεείΞ༏Ґͷا ۀ͕ɺΑΓϦλʔϯ͕ߴ͍͜ͱΛ͍ࣔͯ͠Δɻͳ͓ɺਓͷ޷ҹ৅Λද͢ ECSώτείΞ͸ͲͷϞσϧʹ͓͍ͯ΋Ϧλʔϯʹ ରͯ͠༗ҙͳޮՌྔΛࣔͣ͞ɺ௥Ճతઆ໌ྗΛ༗͍ͯ͠ͳ͍݁Ռͱͳͬͨɻ ίϯτϩʔϧม਺ͷภճؼ܎਺͸ɺ୹ظෛ࠴͕ෛͷ஋ͱͳΓɺෛ࠴͕େ͖͘౗࢈ϦεΫͷߴ͍اۀ΄ͲגՁ͕௿Լͨ͜͠ͱ Λ͍ࣔͯ͠Δɻ·ͨɺΠσΟΦγϯΫϥςΟοΫɾϦεΫ΋ෛͷ܎਺஋Λࣔ͠ɺϦεΫͷߴ͍اۀͷגՁ͸ٸམͷ෯͕ΑΓେ ͖͔ͬͨ͜ͱΛද݁͢Ռͱͳ͍ͬͯΔɻ Ҏ্ͷ݁Ռ͸ɺ εςʔΫϗϧμʔ͔Β ʮ੡඼ŋαʔϏε͸ࣗࣾŋࣾձʹ༗༻ʯ Ͱ͋ΔͱධՁ͞Ε͍ͯΔاۀ͸ɺ ίϩφŋγϣοΫ ʹ͓͚ΔגՁͷϦλʔϯ͕ɺ༗ҙʹߴ͔ͬͨ͜ͱΛ͍ࣔͯ͠Δɻ Returni β0 β1′ECSi β2′CONTROLi β3′FactorLoadingsi IndustryDummy ϵi ࣜʢ2ʣ

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Data Science Report 08ɹ|ɹ © Sansan, Inc. 3.2　「製品・サービスの有用性」スコアによるポートフォリオとコロナウイルス・ショック時のリターン લઅͰɺECSαʔϏεείΞ͕ɺίϩφɾγϣοΫظͷϦλʔϯͱڧؔ͘࿈͢Δ͜ͱ͕ࣔ͞Εͨɻ͜Ε͸ɺαʔϏεεί Ξͷ௿͍اۀ܈ͱߴ͍اۀ܈ͷಉ࣌ظͷϦλʔϯΛൺֱͨ͠৔߹ɺߴ͍܈͕ΑΓߴ͍ϦλʔϯΛࢉग़͢Δ͜ͱΛ͍ࣔͯ͠Δɻ ͜ͷ͜ͱΛ͞Βʹ֬ೝ͢ΔͨΊɺ ECSͷαʔϏεείΞͷ4෼Ґʹج͍ͮͯɺ اۀ܈ΛείΞͷ௿͍ॱʹ1͔Β4ͷϙʔτϑΥ ϦΦͱ͠ɺͦΕͧΕͷ෼ҐϙʔτϑΥϦΦʹ͍ͭͯͷμϛʔม਺ʹର͢Δ܎਺Λɺࣜʢ2ʣͱಉ༷ͷ࿮૊ΈͰٻΊͨɻͦͷ݁ ՌΛද6ʹࣔ͢ʢίϯτϩʔϧม਺ͷภճؼ܎਺ͷදه͸লུʣ ɻ ίϯτϩʔϧΛؚΉϞσϧɺؚ·ͳ͍Ϟσϧͷશͯʹ͓͍ͯɺ্Ґ25%ϙʔτϑΥϦΦʢECSαʔϏεείΞ4܈ʣ͸౷ ܭత༗ҙʹਖ਼ͷภճؼ܎਺஋Λ͓ࣔͯ͠Γɺ ଞͷϙʔτϑΥϦΦ۠෼ΑΓ΋Ϧλʔϯͷظ଴஋͕ߴ͍͜ͱΛද͍ͯ͠Δɻ·ͨɺ αʔϏεείΞͷύʔηϯλΠϧ۠෼ͷ্ঢʹ൐͍ɺภճؼ܎਺΋ஈ֊తʹ্ঢ͢Δ͜ͱ͕ࣔ͞Ε͍ͯΔɻίϯτϩʔϧม਺ ΛؚΉϑϧϞσϧʹ͓͍ͯɺ্Ґ25%۠෼͸ԼҐ25%ͷ۠෼ʹର͠ɺϦλʔϯʹ͍ͭͯ7.61%ɺΞϒϊʔϚϧϦλʔϯʹର ͯ͠5.64 %ϓϥεͷظ଴஋ͱͯ͠ࢉग़͞ΕΔʢਤ2ʣ ɻ 表6：ECSサービススコア 25%分位ポートフォリオとコロナウイルス急落期リターン目的変数モデル（1）ノーマルリターンモデル（2）アブノーマルリターンモデル（3）ノーマルリターンモデル（4）アブノーマルリターン ECS αʔϏεείΞ 1܈ -8.712*** (1.706) -9.538*** (1.726) -6.267 (7.183) -3.369 (7.293) ECS αʔϏεείΞ 2 ܈ 0.261 (0.817) 0.068 (0.843) 0.002 (0.756) -0.218 (0.076) ECS αʔϏεείΞ 3 ܈ 1.202 (0.856) 1.210 (0.869) 0.443 (0.826) 0.457 (0.846) ECS αʔϏεείΞ4 ܈ 2.624*** (0.876) 2.594*** (0.890) 1.702* (0.869) 1.750** (0.890) ίϯτϩʔϧม਺ No No Yes Yes ϑΝΫλʔɾϩʔσΟϯάε Yes Yes Yes Yes ۀछμϛʔ Yes Yes Yes Yes ฼਺ 806 806 806 806 Adjusted R2 0.218 0.200 0.291 0.287 Note: ∗p<0.1;∗∗p<0.05;∗∗∗p<0.01 ۀछμϛʔͷϨϑΝϨϯε͸৘ใɾ௨৴ۀͱ͍ͯ͠Δ

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Data Science Report 09ɹ|ɹ © Sansan, Inc. 図2：ECSサービスの4分位ポートフォリオと期待リターン 4　結論 ຊߘͰ͸ɺاۀͷ໊ࢗॴ༗ऀΛͦͷௐࠪର৅ͱͨ͠ɺࠃ಺اۀͷࣾձతධՁࢦඪʮECSʯΛࣾձؔ܎ࢿຊͷࢦඪͱͯ͠༻͍ ͯɺεςʔΫϗϧμʔͱͷࣾձؔ܎ࢿຊͱɺίϩφ΢ΠϧεɾγϣοΫʹ͓͚ΔגՁٸམͱͷؔ܎Λௐ΂ͨɻECS͸εςʔ Ϋϗϧμʔ͔Βͷ৴༻΍ධ൑Λ௚઀ଌఆͨ͠΋ͷͰ͋Δͱ͍͏ಛ௃͕͋Δɻ ͦͷ݁Ռɺ৴༻ͷࢦඪͷதͰ΋ɺاۀϒϥϯυ΍ࣾһʹରͯ͠Ͱ͸ͳ͘ɺ੡඼ɾαʔϏεͷ༗༻ੑʹର͢Δ৴༻͕ߴ͍اۀ ܈͕ɺίϩφ΢ΠϧεɾγϣοΫظʹ͓͚ΔϦλʔϯ͕ߴ͔ͬͨ͜ͱΛ໌Β͔ʹͨ͠ɻ גՁͷٸམ͕؇࿨͞ΕͨݪҼͱͯ͠ɺ੡඼΍αʔϏε͕ࣾձʹͱͬͯ༗༻Ͱ͋Δͱ৴པ͞Ε͍ͯΔاۀ͸ɺ৽ܕίϩφ΢Π ϧεͷײછ͕֦େͨ࣌͠ظʹɺۀ੷ύϑΥʔϚϯε΋མͪʹ͔͔ͬͨ͘ɺ·ͨ͸ɺ౤ࢿՈ͔Βকདྷͷۀ੷্ͷύϑΥʔϚϯε ͕ൺֱతྑ޷ʹਪҠ͢Δͱظ଴͞ΕͨɺͳͲͷഎܠ͕͋ͬͨ͜ͱ͕ߟ͑ಘΔɻ ௐࠪର৅ͱͳͬͨاۀ໊ࢗॴ༗ऀ͸ɺ࣮ࡍʹͦͷ੡඼΍αʔϏεΛར༻͔ͨ͠΋͠Εͳ͍͕ɺ௚઀తͳར༻ऀͰ͸ͳ͍Ϗδ ωεؔ܎ऀ΋ଟؚ͘ΜͰ͍Δͱ૝ఆ͞ΕΔɻ͜ͷΑ͏ͳௐࠪूஂͷੑ࣭Λߟྀ͢ΔͱɺͦͷධՁείΞ͸ɺ࣮ࡍͷ࢖༻ମݧʹ ج͍ͮͨධՁͷΈͳΒͣɺ Πϝʔδ΍पғͷධ൑ʹج͍ͮͨධՁΛදݱ͍ͯ͠Δͱߟ͑ΒΕΔɻ͢ͳΘͪɺ ࣾձʹ໾ཱͭ੡඼ ɾ αʔϏεΛఏڙ͍ͯ͠ΔاۀͰ͋Δͱ͍͏৴པײʹ͍ͭͯͷɺ ͜Ε·Ͱͷاۀ׆ಈ΍ର֎తίϛϡχέʔγϣϯʹΑΔྦྷੵΛɺ ޿͘දݱ͍ͯ͠ΔείΞͰ͋Δͱղऍ͢Δͷ͕ଥ౰Ͱ͋Ζ͏ɻ͜ͷΑ͏ͳධՁͷߴ͍اۀ͕ɺίϩφ΢ΠϧεɾγϣοΫʹ͓ ͚ΔגՁͷٸམʹର͠ɺΑΓ଱ੑ͕͋ͬͨ͜ͱΛࣔͨ͠ͱݴ͑Δɻ ίϩφ΢ΠϧεɾγϣοΫ͸ɺۚ༥ෆ҆ͳͲʹ൐͏גՁٸམͱҟͳΓɺ঎ۀ׆ಈͷ੍ݶ΍ࣾձ׆ಈͷࠞཚʹΑΔ࣮࣭తͳܦ ࡁ׆ಈͷ௿໎Λഎܠͱͨ͠גՁͷٸམͰ͋Δɻ ܦࡁෆ҆ͱ݈߁ෆ͕҆ࣾձΛٸ଎ʹ෴ͬͨ࣌ظͰ΋͋ͬͨɻ ຊݚڀࣥච࣌఺Ͱɺ ৽ܕίϩφ΢Πϧεͷײછঢ়گ͸ऩଋ͓ͯ͠Βͣɺݱঢ়͸ίϩφՒҎલͷࣾձʹճ෮͢Δݟ௨͠΋ཱ͍ͬͯͳ͍ɻ͋Δ͍͸ɺ ίϩφՒ͕ऩଋͨ͠ͱͯ͠΋ɺҎલͷࣾձͱ͸ҟͳΔߏ଄΍Ձ஋؍͕ࠜ෇͘Մೳੑ΋͋Δɻ ຊ෼ੳ݁Ռ͸ɺ͜ͷΑ͏ͳࣾձഎܠͷԼͰ͸ɺϒϥϯυΠϝʔδ΍ରਓؔ܎ΑΓ΋ɺ࣮࣭తͳ੡඼ͷࣾձ༗༻ੑʹର͢Δ৴ པ͕ɺΫϥογϡɾϦεΫΛආ͚Δ্ͰॏཁͰ͋Δ͜ͱɺैͬͯΑΓαεςφϒϧͰ͋Δ͜ͱΛ͓ࣔࠦͯ͠Γɺاۀͷࣾձؔ ܎ࢿຊͱϦεΫʹ͍ͭͯͷ৽ͨͳ஌ݟͰ͋Δͱಉ࣌ʹɺ ࠓޙ౤ࢿՈʹͱͬͯ΋༗ӹͳࢦඪͱͳΔՄೳੑΛ͍ࣔͯ͠Δɻ͞Βʹɺ اۀͷϒϥϯυઓུ΍ɺର֎ίϛϡχέʔγϣϯઓུʹ͓͍ͯ΋ɺॏཁͳࣔࠦΛ༩͑Δ݁ՌͰ͋Δͱߟ͑Δɻ −6 −4 −2 0 2 ECS αʔϏε είΞ1܈ ECS αʔϏε είΞ2܈ ECS αʔϏε είΞ3܈ ECS αʔϏε είΞ4܈ ϙʔτϑΥϦΦ ظ଴Ϧλʔϯ גՁϦλʔϯ ΞϒϊʔϚϧϦλʔϯ ϊʔϚϧϦλʔϯ

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Data Science Report 10ɹ|ɹ © Sansan, Inc. ࠓޙͷ՝୊Λड़΂Δɻࣾձؔ܎ࢿຊ͕ΫϥογϡΛ؇࿨ͨ͠ཁҼʹ͍ͭͯ͸ɺίϩφ΢ΠϧεɾγϣοΫ࣌ظʹ͓͚Δاۀ ۀ੷ͱɺECSɺגՁϦλʔϯͱͷ૬ޓͷؔ܎ੑΛΑΓৄࡉʹ෼ੳ͢Δඞཁ͕͋Δɻ·ͨɺاۀͷͲͷΑ͏ͳ׆ಈ ɾ ίϛϡχέʔ γϣϯͷྦྷੵ͕εςʔΫϗϧμʔ͔Β৴པײΛߏங͢Δʹࢸ͔ͬͨʹ͍ͭͯ͸ɺ໌Β͔ʹ͞Ε͍ͯͳ͍ɻҰํɺίϩφ΢Πϧ εɾγϣοΫҎ֎ͷࣄ৅ΛݪҼͱͨ͠Ϋϥογϡ΍ɺ͋Δ͍͸શମతͳ௿ԼϦεΫʹରͯ͠ɺಉ༷ͷؔ܎͕੒Γཱ͔ͭͲ͏͔ ͸໌Β͔Ͱ͸ͳ͍ɻΫϥογϡͷഎܠ΍ࢦඪʹΑͬͯ͸ɺؔ࿈͢Δ৴པͷ಺༰͕ҟͳΔՄೳੑ΋͋Δɻ ͞ΒʹɺΑΓ௕ظతͳاۀܦӦͷαεςφϏϦςΟʔͱͷؔ܎ʹ͍ͭͯ΋͍·ͩෆ໌Ͱ͋Δɻࠓޙɺݱঢ়Ͱ͸2೥෼͔͠ଘ ࡏ͠ͳ͍ຊௐࠪσʔλͷ࣌ؒత஝ੵʹԠͯ͡ɺεςʔΫϗϧμʔͱͷࣾձؔ܎ࢿຊͱاۀܦӦͷαεςφϏϦςΟʔʹ͍ͭͯ ͷ͞ΒͳΔ࣮ূ෼ੳʹऔΓ૊ΜͰ͍͖͍ͨͱߟ͍͑ͯΔɻ 5　補足 ͜͜Ͱ͸ɺຊߘʹؔ࿈ͨ͠ઌߦݚڀʹ͍ͭͯड़΂Δɻ 5.1　社会関係資本 ࣾձؔ܎ࢿຊͱ͸ʮݸਓؒͷͭͳ͕Γɺ͢ͳΘͪࣾձతωοτϫʔΫ͔ΒੜΈग़͞ΕΔޓुੑͱ৴པੑͷنൣʯ[8] ͱఆٛ͞ Εɺͭ·ΓʮԿ͔޷ҙΛड͚औͬͨ৔߹ʹͦͷฦྱΛ͢Δ͜ͱͰங͔ΕΔɺࣾձతͳ৴པੑʯΛࢦ͢ɻ͜Ε͸ࣾձΛΑΓྑ͘ ͢ΔͨΊʹ͸͓ޓ͍ͷڠௐੑ͕ෆՄܽͰ͋Δͱଅ͢[18] ΋ͷͰ͋Δɻओʹݸਓ͕ࣾձͱ͍͏ωοτϫʔΫʹॴଐ͢Δ͜ͱͰಘ ΒΕΔࢿݯͱݟͳ͞ΕΔ͜ͱ͕ଟ͍͕ɺ૊৫಺[19] ΍૊৫ؒ[20, 21] ͷωοτϫʔΫʹ͓͍ͯ΋ద༻͞ΕΔɻاۀͷࣾձؔ܎ࢿຊ ͸ɺଞͷاۀͱͷؒͰߏங͞Εͨؔ܎ੑͷྔ΍࣭Λࢦ͢ɻاۀ͸ͦͷΑ͏ͳωοτϫʔΫࢿݯ͔Β৘ใ΍঎ஊͷػձΛಘΔ͜ ͱ͕ՄೳͰ͋Γ[22]ɺ·ͨεςʔλεͷߴ͍اۀͱؔ܎͕ڧ͍৔߹ɺͦͷاۀ͔Βͷศӹʹ͔͋ͣΔ͜ͱ΋Ͱ͖Δͱ͞ΕΔ[20]ɻ ࣾձؔ܎ࢿຊ͸اۀͷॏཁͳࢿຊͰ͋Γɺ౤ࢿର৅ͱͯ͠΋஫໨͞ΕΔແܗࢿ࢈ͷҰ෦ͱͯ͠ଊ͑ΒΕ͍ͯΔ[18]ɻ 5.2　企業の社会関係資本とクラッシュ・リスク اۀ͸ɺޓुੑʹΑΔ௕ظऔҾͷ҆ఆԽ΍ɺϦεΫͷ௿ԼͳͲΛ௨ͯ͠ɺࣾձؔ܎ࢿຊ͔ΒརӹΛಘ͍ͯΔ͜ͱ͕஌ΒΕͯ ͍Δɻྫ͑͹ɺ اۀͷධ൑ʢReputationʣ͕ྑ͍اۀ΄Ͳɺ ௕ظతʹ༏ΕͨऩӹʢROAʣΛҡ࣋Ͱ͖Δ͜ͱ͕ࣔ͞Ε͍ͯΔ[23]ɻ ·ͨɺاۀͷࣾձؔ܎ࢿຊɺ͋Δ͍͸ͦΕͱؔ࿈ͨ͠׆ಈ΍ධՁͱɺגՁͷΫϥογϡɾϦεΫͷؔ܎Λ࣮ূͨ͠ݚڀ͕ෳ਺ ͋Γɺ͍ͣΕ΋ɺΫϥογϡɾϦεΫΛ؇࿨͢Δ͜ͱΛ͍ࣔͯ͠Δɻྫ͑͹KimΒ͸ɺاۀͷCSRʢࣾձత੹೚ʣͷύϑΥʔ Ϛϯε͸ɺকདྷͷΫϥογϡɾϦεΫͱෛͷؔ܎ʹ͋Δ͜ͱΛࣔͨ͠[5]ɻ·ͨɺAndreouΒ͸ίʔϙϨʔτɾΨόφϯεͱג Ձ๫མϦεΫͷؔ܎Λௐ΂ɺΠϯαΠμʔ΁ͷҙࣝɺอकతͳձܭɺऔక໾ձͷن໛ɺίʔϙϨʔτɾΨόφϯεɾϙϦγʔ ͷଘࡏͳͲ͕ɺΫϥογϡɾϦεΫΛ؇࿨ͤ͞Δ͜ͱΛ໌Β͔ʹͨ͠[4]ɻ·ͨɺLinsΒ͸2008೥͔Β2009೥ʹൃੜͨۚ͠༥ ةػ࣌ͷΫϥογϡΛ໨తม਺ͱ͠ɺ اۀͷCSRύϑΥʔϚϯεΛࣾձؔ܎ࢿຊͷϓϩΩγʔʢ୅ཧม਺ʣͱͯͦ͠ͷϦλʔ ϯ΁ͷޮՌΛଌఆ͠ɺࣾձؔ܎ࢿຊͷଟ͍اۀ͸ۚ༥ةػ࣌ʹ͓͚ΔϦλʔϯ͕༗ҙʹߴ͔ͬͨ͜ͱΛࣔͨ͠[6]ɻ ͜Ε·Ͱͷݚڀ͸͍ͣΕ΋اۀͷࣾձؔ܎ࢿຊΛ௚઀తʹଌఆͨ͠΋ͷͰ͸ͳ͘ɺCSR׆ಈͷείΞϦϯάͳͲΛͦͷ୅ ཧม਺ͱͯ͠༻͍͍ͯΔɻ͔͠͠ɺاۀͷCSR׆ಈ͸εςʔΫϗϧμʔͱͷ৴པతؔ܎ͱΠίʔϧͰ͸ͳ͍ɻ·ͨɺεςʔ Ϋϗϧμʔ͔Βɺاۀ͕۩ମతʹͲͷΑ͏ͳ಺༰ͰධՁ͞Ε͍ͯΔ͔ͳͲͱ͍ͬͨɺͦͷܗ੒͞Εͨҹ৅ͷ಺༰΍Ҽࢠͱͷؔ ܎ʹ·Ͱݴٴͨ͠ݚڀ͸ɺ͜Ε·ͰߦΘΕͯ͸͍ͳ͍ɻ

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Data Science Report 11ɹ|ɹ © Sansan, Inc. 5.3　コロナウイルス・ショック ຊߘʹ͓͍ͯର৅ͱ͢ΔٸམظؒͰ͋Δίϩφ΢ΠϧεɾγϣοΫʹ͓͚Δגࣜࢢ৔ͷ൓Ԡʹ͍ͭͯͷઌߦݚڀΛϨϏϡʔ ͢ΔɻMazurΒ[24] ͸ɺถࠃגࣜࢢ৔ʹ͓͚Δίϩφ΢ΠϧεɾγϣοΫͷӨڹΛݕূͨ͠ɻͦͷ݁ՌɺఱવΨεɺ৯඼ɺϔ ϧεέΞɺιϑτ΢ΤΞג͸ߴ͍ϦλʔϯΛಘͨҰํͰɺੴ༉ɺෆಈ࢈ɺޘָɺϗεϐλϦςΟʔͳͲͷηΫλʔͷגࣜՁ஋ ͸େ෯ʹԼམͨ͜͠ͱ͕෼͔ͬͨɻ ·ͨɺShehzadΒ[25] ͸ίϩφ΢ΠϧεɾγϣοΫ͕ถࠃͱ೔ຊͷࢢ৔ϦλʔϯΛେ͖͘ᆝଛ͍ͯ͠Δ͜ͱΛ໌Β͔ʹͨ͠ɻ ίϩφ΢ΠϧεɾγϣοΫ͸ɺถࠃɺυΠπɺΠλϦΞͷגࣜࢢ৔ʹ͸2008೥ͷੈքۚ༥ةػʢGFCʣΑΓ΋ӨڹΛ༩͑ͯ ͍͕ͨɺGFC͸ίϩφ΢ΠϧεɾγϣοΫΑΓ΋೔ܦฏۉגՁ΍্ւ૯߹ࢦ਺ͷۚ༥ϘϥςΟϦςΟʔʹେ͖ͳӨڹΛ༩͑ ͍ͯͨɻ ҰํͰɺBakerΒ[26] ͸ɺίϩφ΢ΠϧεɾγϣοΫ͸εϖΠϯ෩अΛؚΉաڈͷύϯσϛοΫͱൺͯ͠ɺ੓෎ʹΑΔ঎ۀ ׆ಈͷ੍ݶͱࣗൃతͳιʔγϟϧɾσΟελϯε͕ɺαʔϏεΛத৺ͱͨ͠ܦࡁʹ͓͍ͯڧྗͳޮՌΛൃشͨ͜͠ͱΛ࣮ূ͠ ͍ͯΔɻ͜ͷ͜ͱ͸ɺίϩφ΢ΠϧεɾγϣοΫ͸͜Ε·ͰͷٸམͱόοΫάϥ΢ϯυ͕ҟͳ͍ͬͯΔͱ͢Δ[9, 10] ݟղͱ੔ ߹͢Δ΋ͷͰ͋Δɻ 6　Reference [1] Business Roundtable, lOur Commitmentz, Business Roundtable, https://opportunity.businessroundtable.org/ ourcommitment/ (accessed 2020/11/12) [2] The World Economic Forum, lStakeholder Capitalism: A Manifesto for a Cohesive and Sustainable Worldz, The World Economic Forum, 2020/1/14, https://www.weforum.org/press/2020/01/stakeholder-capitalism-a-manifesto-for-a- cohesive-and-sustainable-world/ (accessed 2020/11/13) [3] The World Economic Forum, lStakeholder Principles in the COVID Eraz, The World Economic Forum, 2020/4, http:// www3.weforum.org/docs/WEF_Stakeholder_Principles_COVID_Era.pdf (accessed 2020/11/30) [4] Panayiotis C. Andreou, Constantinos Antoniou, Joanne Horton and Christodoulos Louca, lCorporate Governance and Firm ʖ speciﬁc Stock Price Crashesz, European Financial Management, European Financial Management Association, 2016, vol. 22, no. 5, pp. 916-956 [5] Yongtae Kim, Haidan Li and Siqi L, lCorporate social responsibility and stock price crash riskz, Journal of Banking & Finance, Elsevier, 2014, vol. 43, pp. 1-13 [6] Karl V. Lins, Henri Servaes and Ane Tamayo, lSocial Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisisz, Journal of Finance, American Finance Association, 2017, vol. 72, no. 4, pp. 1785-1824 [7] Dong Yang Hao, Guo You Qi and Jing Wang, lCorporate Social Responsibility, Internal Controls, and Stock Price Crash Risk: The Chinese Stock Marketz, Sustainability, MDPI, 2018, vol. 10, no. 5, pp. 1675 [8] ϩόʔτɾDɾύοτφϜ, ʰݽಠͳϘ΢Ϧϯά : ถࠃίϛϡχςΟͷ่յͱ࠶ੜʱ, ࣲ಺߁จ༁, ദॻ๪, 2006 [9] Jeﬀrey L Callen and Xiaohua Fang, lShort interest and stock price crash riskz, Journal of Banking & Finance, Elsevier, 2015, vol. 60, pp. 181-194 [10] Sylvain Leduc and Zheng Liu, lThe Uncertainty Channel of the Coronavirusz, FRBSF Economic Letter, Federal Reserve Bank of San Francisco, 2020, vol. 2020, no. 7, pp. 5 [11] ༄ా݈հ, ʮ৽ܕίϩφύϯσϛοΫͱੈքܦࡁ΁ͷӨڹ෼ੳɿϊϯςΫχΧϧαϚϦʔʯࠃ໰ݚઓུίϝϯτ, 2020/4/9, https://www.jiia.or.jp/strategic_comment/2020-5.htmlʢࢀর 2020/11/12ʣ [12] ਅು༑ଇ, த઒ܛ, ʮB2BاۀϒϥϯυධՁͱגՁͷՁ஋ؔ࿈ੑͷ࣮ূݚڀʯ, ʰܦӦ৘ใֶձࢽʱ, Ұൠࣾஂ๏ਓܦӦ৘ใ ֶձ, 2020, vol. 29, no. 2, pp. 87-104 [13] ਅು༑ଇ, த઒ܛ, ʮB2Bࢢ৔ʹ͓͚ΔاۀϒϥϯυͱROAͷؔ࿈ੑʯ , ʰূ݊ΞφϦετδϟʔφϧʱ , ೔ຊূ݊ΞφϦετ ڠձ, 2020, vol. 58, no. 6, pp. 73-83

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