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研究生:楊舒婷
研究生(外文):Yang, Shu-Ting
論文名稱:ESG揭露程度對公司風險之影響
論文名稱(外文):An analysis of ESG disclosure score and firm risks
指導教授:陳鴻毅陳鴻毅引用關係
指導教授(外文):Chen, Hong-Yi
口試委員:楊曉文岳夢蘭
口試委員(外文):Yang, Sharon S.Yueh, Meng-Lan
口試日期:2019-06-24
學位類別:碩士
校院名稱:國立政治大學
系所名稱:財務管理學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2019
畢業學年度:107
語文別:英文
論文頁數:39
中文關鍵詞:企業社會責任公司風險財務風險下檔風險股票報酬
外文關鍵詞:ESGFirm riskFinancial riskDownside riskStock return
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本研究在探討公司對環境、社會、公司治理(ESG)的揭露程度是否影響其財務風險及下檔風險。財務風險以總風險、系統風險、非系統風險為代表,下檔風險則以股價暴跌風險(NCSKEW)及財務限制指數(KZ¬、WW、SA指數)表示。我們發現ESG揭露程度愈高,財務風險皆愈低,此結果與過去研究相符,並支持公司從事ESG活動有助於降低資訊不對稱問題,進而增進利害關係人的信任、降低公司風險。此外,ESG揭露程度與WW指數、SA指數為負相關,代表ESG揭露程度可降低下檔風險。以各別揭露程度來看,E和G之揭露程度對降低公司風險的效果更為顯著。然而,ESG揭露程度雖有助於降低公司風險,卻無法藉此提升股價報酬。
In this study, I try to investigate whether a firm’s environmental, social, and governance (ESG) disclosure score affects its financial risk and downside risk. Specifically, I use total risk, systematic risk, and idiosyncratic risk to measure the financial risk, and the stock price crash risk (NCSKEW) and financial constraint indexes (KZ, WW, and SA index) to capture the downside risk. The empirical findings show a significantly negative association between ESG disclosure score and financial risk measures, suggesting that ESG engagement can mitigate information asymmetry problems and subsequently reduce a firm’s financial risk. In addition, I find that ESG disclosure score is negatively associated with WW and SA indexes. Further, disclosure scores of E and G are relatively important in reducing firm risks. However, the risk reduction of ESG engagement cannot improve the stock return in the future.
List of Tables V
1.Introduction 1
2.Literature Review 4
2.1 ESG and Risk 5
2.2 ESG and Downside risk 5
2.3 ESG and Stock Price Crash Risk 6
2.4 ESG and Financial Constraint 6
2.5 ESG and Stock Return 7
3.Sample, Variables, and Models 9
3.1 Sample 9
3.2 Variables 9
3.3 Models 13
4.Empirical Results 15
4.1 Descriptive Statistics and Bivariate Correlation 15
4.2 Empirical Results 16
5.Conclusion and Discussions 22
References 24
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