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研究生:陳嘉玟
研究生(外文):Chen, Jia-Wen
論文名稱:探討 ESG 報酬:台灣股票市場之實證研究
論文名稱(外文):Dissecting ESG Returns: Examination of Taiwanese Stock Market
指導教授:邱婉茜
指導教授(外文):Chiu, Wan-Chien
口試委員:李漢星張焯然
口試委員(外文):Lee, Han-HsingChang, jow-ran
口試日期:2023-05-01
學位類別:碩士
校院名稱:國立清華大學
系所名稱:計量財務金融學系
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:2023
畢業學年度:111
語文別:英文
論文頁數:38
中文關鍵詞:股票市場股價報酬
外文關鍵詞:ESGTaiwanese stock marketstock return
相關次數:
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  • 下載下載:72
  • 收藏至我的研究室書目清單書目收藏:0
此篇論文使用2022年1月至2023年2月台灣具有Sustainalytics ESG 評分之公司作為樣本,研究ESG評分對於公司股價的影響。我假設ESG做得越好的公司將有更好的股價報酬,然而這與高風險、高報酬的理論並不吻合,投資人對於ESG越差的公司應要求更高的風險溢酬,我引用已實現報酬和預期報酬的概念,風險溢酬的概論存在於預期報酬中,然而在實際股市操作上,將投資人對於氣候變遷的意識視為對ESG議題關心與否的代表,當投資人對於ESG議題更加關注時,對於更加注重ESG議題且相關績效更好的公司將更加受到投資人青睞,從而提高股價,使其實際報酬高於ESG較差的公司。
This paper examines the role of corporate ESG (Environmental, Social, and Governance) quality on the stock returns. In theory, Pástor, Stambaugh, and Taylor (2022) argue that green stocks would have lower expected returns given that investors may require lower premiums (investor green preference) and consumers’ higher demands may increase future cash flows, both of which lead to higher stock at the present time, and thus lower expected returns. On the other hand, in terms of realized returns, Pástor et al. (2022) document a higher realized return on green stocks compared to brown stocks in U.S. stock market and it is the climate change concerns that drives the higher realized returns by holding green stocks. In this study, I examine the Taiwanese stock market and focus on ESG, rather than just E. I collect Sustainalytics ESG rating for Taiwanese firms. My sample period is from January 2022 to February 2023. My findings show that Good_ESG minus Bad_ESG stock portfolio experienced negative realized returns, though not statistically significant, implying that Good_ESG stocks do not outperform Bad_ESG stocks in Taiwanese stock market in my sample period. In addition, I find that Good_ESG minus Bad_ESG stock
portfolio had lower expected returns, which is consistent with the theory in Pástor et al. (2020) that investors would require lower returns because of the enhanced preference on Good_ESG stocks.
Contents
Abstract
1. Introduction.............................................................................................................6
2. Hypothesis and literature review ............................................................................8
3. Data........................................................................................................................ 13
3.1 Data and Sample Construction ....................................................................... 13
3.2 ESG score on Taiwanese Companies ............................................................. 13
3.3 Climate concerns............................................................................................ 16
4. Empirical methodology ......................................................................................... 19
4.1 ESG_GMB (Good-Minus-Bad) portfolio construction ................................... 19
4.2 Realized return............................................................................................... 19
4.3 Expected return.............................................................................................. 22
4.3.1 Estimate of expected return............................................................. 22
4.3.2 Analysis of expected returns on ESG_GMB portfolio..................... 23
4.4 The green score on individual firms returns.................................................... 25
5. Conclusion.............................................................................................................. 27
Appendix...................................................................................................................... 29
References.................................................................................................................... 37
Ardia, D., Bluteau, K., Boudt, K., Inghelbrecht, K., 2021. Climate Change Concerns and
the Performance of Green Versus Brown Stocks. Unpublished working paper.
National Bank of Belgium.
Avramov, D., Cheng, S., Lioui, A., Tarelli, A., 2022. Sustainable investing with ESG
rating uncertainty. J. Financ. Econ. 145, 642-664.
Aswani, J., Raghunandan, A., Rajgopal, S., 2023. Are Carbon Emissions Associated with
Stock Returns? Unpublished working paper. Fordham University.
Bakkensen, L., Phan, T., Wong, T., 2022. Leveraging the Disagreement on Climate
Change: Theory and Evidence. Unpublished working paper. University of Arizona
Baldauf, M., Garlappi, L., Yannelis, C., 2020. Does Climate Change Affect Real Estate
Prices? Only If You Believe In It. Rev. Financ. Eon. 145, 642-664.
Berg, F., Kölbel, J., Rigobon R., 2022. Aggregate Confusion: The Divergence of ESG
Ratings. Review of Finance. 6, 1315–1344.
Berk, J., Binsbergen, J., 2021. The Impact of Impact Investing. Stanford University
Graduate School of Business Research Paper.
Bolton, P., Kacperczky, M., 2021. Do investors care about carbon risk? J. Financ. Econ.
142, 517-549.
El Ghoul, S., Guedhami, O., Kwok, C., Mishra, D., 2011. Does corporate social
responsibility affect the cost of capital? J. Bank. Finance 35, 2388-2406.
Engle, R., Giglio, S., Kelly, B., Lee, H., Stroebel, J., 2020. Hedging Climate Change
news. Rev. Financ. Stud. 33, 1184-1216
Goldsmith-Pinkham, P., Gustafson, M., Lewis, R., Schwert, M., 2022. Sea Level Rise
38
Exposure and Municipal Bond Yields. Unpublished working paper. Yale University.
Görgen, M., Jacob, A., Nerlinger, M., Riordan, R., Rohleder, M., Wilkens, M., 2020.
Carbon risk. Unpublished working paper. University of Augsburg.
Heinkel, R., Kraus A., and Zechner J., 2001. The effect of green investment on corporate
behavior. J. Financ. Quant. Anal. 36, 431-449.
Hou, K., Dijk, M., Zhang, Y., 2011. The implied cost of capital: A new approach. J.
Account. Econ. 53, 504-526.
In, S., Park, K., Monk, A., 2019. Is ‘Being Green’ Rewarded in the Market ?: An
Empirical Investigation of Decarbonization and Stock Returns. Unpublished
working paper. Stanford University.
Nagy, Z., Kassam A., Lee, L., 2016. Can ESG Add Alpha? An Analysis of ESG Tilt and
Momentum Strategies. J. Investing 25, 113-124.
Painter, M., 2020. An inconvenient cost: The effects of climate change on municipal
bonds. J. Financ. Econ. 135, 468-482.
Pástor, L., Stambaugh, R., Taylor, L., 2020. Sustainable investing in equilibrium. J.
Financ. Econ 142, 550-571.
Pástor, L., Stambaugh, R., Taylor, L., 2022. Dissecting green returns. J. Financ. Econ
146, 403-424.
Serafeim, G., Yoon, A., 2022. Stock price reactions to ESG news: the role of ESG ratings
and disagreement. Review of Accounting Studies (forthcoming)
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