ESG分數對公司績效表現與風險的影響 —以台灣市場為例

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游琇螢(SIOU-YING YU) 查詢紙本館藏

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財務金融學系

論文名稱

ESG分數對公司績效表現與風險的影響 —以台灣市場為例
(Impact of ESG score on financial performance and firm risk —Evidence in Taiwan)

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摘要(中)

本研究之目的希望探討ESG分數對於公司績效及風險的影響，並以2008至2017年之台灣市場做為主要研究對象。樣本所使用之ESG分數來自Thomson Reuters ESG資料庫，研究方向主要檢測ESG總分(ESG Combined Score)及其三大面向環境(ENV)、社會(SOC)、公司治理(GOV)之分數對公司績效與風險的影響。本文所使用之公司績效變數以代表公司價值之Tobin’s Q及主要財務績效指標—資產報酬率(ROA)、股東權益報酬率(ROE)作為代理變數；公司風險變數則使用公司之股票報酬標準差代表總風險、貝它(Beta)代表系統風險及根據Carhart四因子模型之殘差計算出的標準差代表非系統性風險進行風險衡量。實證結果發現，ESG總分僅對資產報酬率有顯著之正影響，環境因子與Tobin’s Q呈現正相關、並與資產報酬率及股東權益報酬率呈現負相關，此結果顯示投入環境相關議題無法改善財務績效，但對公司價值具有效性。至於風險方面，結果顯示ESG總分之提升可以減少公司之系統風險，對總風險及非系統風險則無顯著效果，並且環境因子對於所有風險變數皆有負向影響，而公司治理因子及社會因子則可能造成公司之風險提升。

摘要(英)

The main purpose of this study is to investigate the impact of ESG scores on financial performance and firm risk in Taiwan. The sample data covers the period from 2008 to 2017. We collect the ESG scores data from the Thomson Reuters ESG database, which provides information on ESG factors since 2002. This study takes both ESGC scores (ESG Combined Score) and three ESG pillar scores into consideration to examine the effect on financial performance and firm risk. We have estimated firm’s performance by using three different performance measures: Tobin’s Q, ROA and ROE. For the risk measures, we used total risk (TOTR), systematic risk (BETA) and idiosyncratic risk (IDIO) to estimate firm risk. Our findings suggest that higher ESGC scores tend to have greater ROA performance, whereas ENV factor is positively associated with Tobin’s Q, and negatively associated with ROA, ROE. This result indicates that participating in ENV activities cannot improve the financial performance in short run. The evidence also shows that higher ESGC scores may have significantly negative effect on firm’s systematic risk. However, we cannot detect a significant effect on both total and idiosyncratic risk. As for the three pillar scores, ENV scores have a significantly negative effect on all three risk measures. In contrast, GOV and SOC scores may increase firm risk.

關鍵字(中)

★ ESG
★ 財務績效
★ 公司風險

關鍵字(英)

論文目次

中文摘要 ………………………………………………………… i
Abstract ………………………………………………………… ii
目錄 ………………………………………………………… iii
表目錄 ………………………………………………………… iv
一、緒論…………………………………………………… 1
1-1 研究背景與動機……………………………………… 1
1-2 研究目的與貢獻……………………………………… 2
二、文獻回顧……………………………………………… 4
2-1 相關理論回顧………………………………………… 4
2-2 ESG與公司績效相關文獻…………………………… 5
2-3 ESG與公司風險相關文獻…………………………… 7
三、研究方法……………………………………………… 9
3-1 變數與樣本…………………………………………… 9
3-2 模型設定……………………………………………… 11
3-3 敘述統計……………………………………………… 14
3-4 相關係數分析………………………………………… 14
四、實證結果……………………………………………… 18
4-1 迴歸結果：ESG對公司績效的影響………………… 18
4-2 迴歸結果：ESG對公司風險的影響………………… 23
五、穩健性測試…………………………………………… 28
5-1 剔除金融業：ESG對公司績效的影響……………… 28
5-2 剔除金融業：ESG對公司風險的影響……………… 32
六、結論…………………………………………………… 37
參考文獻 ………………………………………………………… 39

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指導教授

黃瑞卿

審核日期

2019-7-9

推文