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研究生:陳冠銘
研究生(外文):CHEN,KUAN-MING
論文名稱:ESG分數於不同系統性風險下之影響-以美國市場為例
論文名稱(外文):The impact of ESG scores under different systematic risks: evidence from US market
指導教授:施懿宸施懿宸引用關係
指導教授(外文):SHIH,YI-CHEN
口試委員:施懿宸蘇玄啟蔡建雄
口試委員(外文):SHIH,YI-CHENSU,SYUAN-CHITSAI,JIAN-XIONG
口試日期:2023-06-11
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:金融與合作經營學系
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:中文
論文頁數:138
中文關鍵詞:永續績效系統性風險股價報酬率
外文關鍵詞:ESGSystematic riskStock return
相關次數:
  • 被引用被引用:0
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  • 下載下載:71
  • 收藏至我的研究室書目清單書目收藏:1
近年隨科技及社會發展,人類相關活動對地球影響越來越大,隨之而來的環境問題也愈發明顯。在投資市場,投資人除了要求公司最大化其財富之外,也開始關心除獲利外的相關構面,諸如:CSR(企業社會責任)、ESG(環境績效E、社會績效S、公司治理G)等等。

新冠肺炎(COVID-19)是近三年世界流行的傳染性疾病,而在這波系統性風險帶來的負向衝擊中,擁有良好永續績效之個股表現相對突出,使得本研究欲探討於系統性風險發生時,永續績效與股價報酬率是否存在關聯。

然而因過往於系統性風險與ESG關聯性之研究中,大多探討源自金融體系內生性問題的系統性風險,而少有對其他種類進行研究,對於永續績效對不同類型系統性風險的效果知之甚少。故本研究以美國市場為例,將系統性風險分為疾病災難、戰爭威脅、金融危機、天然災害與政治風波進行迴歸分析。結果顯示當面對五類系統性風險下,於短期及中期下不同永續績效、個別績效與細部績效對於累計異常報酬呈現相異的效果,代表公司若要長期永續經營需及早適應並且加強各構面的耕耘以面對未來不可測的挑戰。

In recent years, with the advancement of technology and societal development, human activities have had an increasingly significant impact on the Earth, resulting in more prominent environmental issues. In the investment market, investors are now not only concerned about maximizing a company's wealth but also about other aspects beyond profitability, such as CSR (Corporate Social Responsibility) and ESG (Environmental Performance, Social Performance, and Corporate Governance).

COVID-19, the global pandemic in the past three years, has brought about negative impacts through systemic risks. During this wave of risks, stocks with good sustainable performance have shown relatively outstanding performance. Therefore, this study aims to investigate the relationship between sustainable performance and stock returns during systemic risk events.

However, most previous studies on the relationship between systemic risk and ESG have focused on endogenous systemic risks within the financial system, with limited research on other types of risks. The understanding of the effects of sustainable performance on different types of systemic risks is still limited. Therefore, this study uses the U.S. market as an example and conducts regression analysis on systemic risks, including disease outbreaks, war threats, financial crises, natural disasters, and political turmoil. The results show that different dimensions of sustainable performance, individual performance, and detailed performance have varying effects on cumulative abnormal returns in the short and medium term when facing these five types of systemic risks. This indicates that companies aiming for long-term sustainability need to adapt early and strengthen their efforts in various aspects to face future unpredictable challenges.

第一章 緒論
第一節 研究背景與動機
第二節 研究目的
第二章 文獻回顧
第一節 系統性風險相關實證研究
第二節 企業社會責任、ESG和企業表現
第三節 系統性風險與ESG實證研究
第三章 研究方法
第一節 研究架構
第二節 研究期間、樣本選取與資料來源
第三節 事件研究法
第四節 研究變數選擇與定義
第五節 分析方法與模型建構
第四章 實證分析
第一節 敘述統計量
第二節 相關性分析
第三節 短期迴歸結果
第四節 中期迴歸結果
第五章 結論
第一節 研究結論
第二節 研究限制與建議
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