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論文名稱(外文):The impact of ESG scores under different systematic risks: evidence from US market
外文關鍵詞:ESGSystematic riskStock return
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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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