企業重大性議題與股價資訊性之關聯性-以 臺灣上市(櫃)公司為實證研究

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吳哲萱(Che-Hsuan Wu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

企業重大性議題與股價資訊性之關聯性-以臺灣上市(櫃)公司為實證研究
(Corporate Materiality Issues and Stock Price Informativeness – Evidence from Listed Companies in Taiwan)

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至系統瀏覽論文 (2026-1-1以後開放)

摘要(中)

本文探討企業的綜合經濟與重大性議題表現對其股價資訊性之影響。手動蒐集 2008 年至 2020 年所有臺灣上(市)櫃公司所發行之永續報告書，並擷取有繪製重大議題矩陣的報告書作為研究資料之基礎。根據重大議題於矩陣上的分布情形推測其可能隱含的資訊，建立三大主要變數- 側重公司營運衝擊比例(Performance- Oriented, P.O.)、側重利害關係人比例(Stakeholder- Oriented, S.O.)以及符合公司營運衝擊與利害關係人之一致性比例(Align)。參考(Ng & Rezaee, 2020)，由多項財務指標彙整出一家企業當年度之綜合經濟表現變數(Econ)。
本文之實證結果發現: 當企業的綜合經濟表現越好，或是企業的重大性議題比例側重於利害關係人時，對公司股價資訊性會有正向的影響。而在納入企業經濟表現與重大性議題的交乘項後，實證結果發現，整體而言企業的經濟表現仍會顯著正向影響其股價資訊性;然而，當企業太過側重於與利害關係人相關的重大性議題時，會微幅降低經濟表現對股價資訊性之正效果，但不改變經濟表現對股價資訊性影響之方向性。

摘要(英)

This study aims to examine how business economic performance and variables derived from the Sustainability Reports associated with the Stock Price Informativeness (SPI) of the firm. I collect the Sustainability Reports issued by all listed companies in Taiwan from 2008 to 2020. Establishing three key variables as a represent for business materiality issues, including “Performance-oriented”, “Stakeholder- oriented: and “Align” by extracting the information from the materiality matrix in the sustainability report. Follow (Ng & Rezaee, 2020), I construct business economic performance factor by applying Exploratory Factor Analysis (EFA) to decide the key components from eight financial indicators that were proven to be correlated to stock price informativeness.
The empirical results show that when business economic performs better or when business emphasizes more on stakeholder-oriented sustainability issues, the stock price informativeness is better. However, the impact between business economic performance and the stock price informativeness might slightly reduce once the business overly focuses on stakeholder-oriented issues. However, business economic performance still domains the impact to stock price informativeness. The results of this study are robust against different specifications that controlled for industry and year fixed effect.

關鍵字(中)

★ 企業重大議題
★ 企業社會責任報告書
★ 股價資訊性
★ 企業綜合經濟表現

關鍵字(英)

★ Materiality Issues
★ Sustainability Report
★ Stock Price Informativeness
★ Business Economic Performance

論文目次

摘要 i
Abstract ii
致謝 iii
目錄. iv
圖目錄 v
表目錄. vi
第一章緒論 1
1-1 研究背景與動機 1
1-2 研究特徵與貢獻 2
第二章文獻回顧 4
2-1 企業從事 ESG 活動與其經濟表現及公司股價之關聯性 4
2-2 臺灣企業永續相關之 ESG 表現研究現況 5
2-3 股價資訊性與在台研究現況. 5
2-4 研究假說. 6
第三章研究方法與變數說明. 9
3-1 研究方法. 9
3-2 樣本描述. 10
3-3 變數說明. 13
3-3-1 應變數說明. 13
3-3-2 自變數說明. 14
3-3-3 控制變數說明. 19
3-4 敘述統計量. 20
3-5 模型建立. 24
第四章實證結果分析. 26
4-1 全樣本. 26
4-2 穩健性分析. 28
4-2-1 以TSE產業別定義產業固定效果. 28
4-2-2 僅採用2014年後樣本之結. 29
4-2-3 僅採用 2014 年後且剔除台積電(2330)之結果. 30
4-2-4 主要變數以原始值表達之結果. 31
4-3 以股價異常報酬週轉率(ABTURN)作為應變數之結果. 32
第五章結論與未來建議. 34
英文參考文獻. 36
中文參考文獻. 38

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指導教授

李韋憲徐政義(Wei-Hsien Li Cheng-Yi Shiu)

審核日期

2022-6-21

推文