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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题名:	以 ESG 觀點探討 SEO 公司短期報酬異象 — 以台灣市場為例
作者:	高右齊;kao, Yu-Chi
贡献者:	財務金融學系
关键词:	ESG;現金增資;現金增資折價;ESG;SEO
日期:	2022-06-17
上传时间:	2022-07-13 20:57:20 (UTC+8)
出版者:	國立中央大學
摘要:	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。 ;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.
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