以 ESG 觀點探討 SEO 公司短期報酬異象 — 以台灣市場為例

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高右齊(Yu-Chi kao) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

以 ESG 觀點探討 SEO 公司短期報酬異象 — 以台灣市場為例

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摘要(中)

隨著監管機構ESG投研實踐日漸成熟，在監管趨嚴和金融市場開放等多種因素推動，不論是台灣亦或是全球的ESG於金融市場近年彭發展。本文建立在ESG與現金增資（SEO）折價效應皆與資訊不對稱有關的前提之下，以台灣市場為例，研究企業的ESG評級與該企業SEO折價之間的關係。
實證結果發現，除了以SEO前1天之收盤價衡量之折價效應（UNP1）的模型皆不顯著外，以SEO前10天之收盤價衡量之折價效應（UNP10）與以SEO前20天之收盤價衡量之折價效應（UNP20）對ESG、E、S的評級皆呈現顯著負相關，符合本文假說1 ~ 3。這意味著，ESG評級的提升，確實能夠降低企業與投資人於增資市場之間的資訊不對稱。加入增資用途與ESG的交乘項作為新的控制變數後，實證結果發現，增資用於擴充營運資金的企業的SEO折價效應比增資用於償還負債來的來的高。
穩健性分析部分，由於Nathalie Dierkens（1991）的研究結果發現，資訊不對稱程度越大的企業，其負面的宣告效果越大，因此此部分改以SEO宣告效果對ESG評級與其子三大評級做複迴歸分析。實證結果發現，宣告效果確實與ESG呈現顯著負相關，與本文主要模型結果一致。

摘要(英)

As the practice of ESG investment research by regulators has become more and more mature, driven by various factors such as stricter supervision and the opening of the financial market, ESG in Taiwan and the world has developed in the financial market in recent years. Based on the premise that both ESG and SEO underpricing are related to information asymmetry, this paper takes the Taiwan market as an example to study the relationship between a company′s ESG rating and the company′s SEO underpricing.
The empirical results show that, except for the UNP1 model, which is not significant, UNP10 and UNP20 have significant negative correlations with ESG, E, and S, which are in line with hypotheses 1 to 3 in this paper. This means that the improvement of ESG rating can indeed reduce the information asymmetry between companies and investors. After adding the interaction effect of capital expenditures purpose and ESG as a new control variable, the empirical results show that the SEO underpricing of companies that increase capital to expand working capital is higher than that of capital increase to repay debt.
In the part of robustness test, because the research results of Nathalie Dierkens (1991) found that the greater the degree of information asymmetry, the greater the negative announcement effect. Therefore, this part uses the SEO announcement effect to do a multiple regression analysis on the ESG rating and its three sub-ratings. The empirical results show that the announcement effect does show a significant negative correlation with ESG, which is consistent with the results of the main model in this paper.

關鍵字(中)

★ ESG
★ 現金增資
★ 現金增資折價

關鍵字(英)

★ ESG
★ SEO

論文目次

壹、緒論 1
1.1研究背景 1
1.2研究目的 2
1.3研究內容與架構 3
貳、文獻回顧與假說建立 4
2.1現金增資現有文獻綜述：折價異象與宣告效果 4
2.1.1現金增資折價異象 4
2.1.2現金增資宣告效果 4
2.2現金增資折價異象與資訊不對稱 5
2.2.1現金增資折價異象與資訊不對稱現有文獻綜述 5
2.2.2現金增資折價異象的衡量 7
2.3環境、社會、公司治理（ESG）與資訊不對稱 7
2.3.1 ESG現有相關文獻與理論 7
2.3.2環境、社會、公司治理（ESG）與資訊不對稱 8
2.3.3環境（Environmental）與資訊不對稱 9
2.3.4社會（Social）與資訊不對稱 10
2.3.5公司治理（Governance）與資訊不對稱 10
參、研究方法與資料 11
3.1實證期間與對象 11
3.2變數定義 12
3.2.1自變數定義 12
3.2.2應變數定義 12
3.2.3控制變數定義 13
3.3實證模型 15
肆、實證結果 15
4.1敘述統計分析 15
4.2相關性分析 17
4.3複迴歸分析 19
4.3.1 ESG評級對SEO折價效應影響 — 以UNP1衡量SEO折價 19
4.3.2 ESG評級對SEO折價效應影響 — 以UNP10衡量SEO折價 21
4.3.3 ESG評級對SEO折價效應影響 — 以UNP20衡量SEO折價 23
4.3.4 ESG評級對SEO折價效應影響—考慮增資用途與ESG交乘項 25
伍、穩健性分析 27
5.1研究方法與模型建構 27
5.2實證結果 29
5.2.1敘述統計與t檢定 29
5.2.2複迴歸分析 30
陸、結論與未來研究方向 32
柒、參考文獻 34

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指導教授

徐政義

審核日期

2022-6-17

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