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研究生:洪尹謙
研究生(外文):Yin-Chien Hung
論文名稱:臺灣企業ESG評級於COVID期間報酬績效關聯探討
論文名稱(外文):Research of the Relationship between Taiwanese Corporation's Ratings and Stock Return during COVID-19
指導教授:連勇智連勇智引用關係
指導教授(外文):Yung-Chih Lien
口試委員:李揚許耀文
口試委員(外文):Yang LiYao-Wen Hsu
口試日期:2023-06-15
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國際企業學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2023
畢業學年度:112
語文別:中文
論文頁數:36
中文關鍵詞:ESGCOVID-19股價報酬TESG評級綠色投資
外文關鍵詞:ESGCOVID-19Stock returnTESG ratingGreen investment
DOI:10.6342/NTU202304405
相關次數:
  • 被引用被引用:0
  • 點閱點閱:28
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
近年來ESG投資浪潮興起,永續成為新時代顯學,政府、企業乃至人民皆在呼籲綠色作為。然而,越是備受關注與推崇的議題,越不禁令人質疑永續是真正 被重視,抑或是投資人找尋到的新的投機標的。
本研究的主要目的係探討臺灣企業ESG作為與財務表現的相關性,樣本包含來自1705間臺灣上市櫃公司,利用其ESG評級與股價季報酬率作為研究變數。於樣本期間的選擇上,本文主要以COVID期間作為參考,並考量到臺灣本土市 場和全球股市在新冠疫情期間所受到影響的時段不同,為更符合臺灣實際情況,選擇使用衛福部宣布的「新冠疫情第三級警戒」期間以及解除警戒後作為樣本選擇期間,因此使用之資料主要採自2020~2023年,數據皆來自TEJ,同時參照過往文獻,加入相關財務指標作為控制變數,並依據研究期間建立兩假說,以提升模型的完整性。
In recent years, there has been a rise in the wave of ESG investments, and sustainability has become a prominent issue in the new era. Governments, corporations, and even individuals are calling for a greener approach. However, the more attention and admiration a topic receives, the more it raises doubts about whether sustainability is genuinely being prioritized or if it has become a new target for investors seeking opportunities.
The main objective of this study is to explore the relationship between ESG practices and financial performance in Taiwanese companies. The sample consists of 1,705 listed and over-the-counter companies in Taiwan, using their ESG ratings and quarterly stock returns as research variables. In selecting the sample period, this study primarily references the COVID-19 period. Taking into consideration the different impacts on the domestic market and the global stock market during the COVID-19 pandemic, the sample period chosen aims to better reflect the actual situation in Taiwan. The selected sample period includes the period of the "third-level alert" declared by the Ministry of Health and Welfare and the period after the alert was lifted. The data used in this study mainly covers the years 2020 to 2023 and is obtained from TEJ. In addition, relevant financial indicators are included as control variables based on previous literature. Two hypotheses are formulated based on the research period to enhance the comprehensiveness of the model.
誌謝 i
摘要 ii
Abstract iii
目錄 iv
表目錄 v
圖目錄 vi
第壹章 緒論 1
第一節、研究動機與背景 1
第二節、研究目的 2
第貳章 文獻回顧 3
第一節、企業ESG與報酬績效關聯 3
第二節、ESG標的於COVID期間的風險緩釋效果 4
第參章 研究方法 7
第一節、研究假說 7
第二節、資料來源 7
第三節、樣本期間與變數定義 10
第四節、實證研究模型 14
第肆章 實證結果與分析 18
第一節、敘述性統計 18
第二節、各變數相關變數相關性分析 21
第三節、實證分析結果 25
第伍章 結論與建議 33
參考文獻 35
1. Albuquerque, R., Koskinen, Y., Yang, S., & Zhang, C. (2020). Resiliency of. environmental and social stocks: An analysis of the exogenous COVID-19 market crash. The Review of Corporate Finance Studies, 9(3), 593-621.
2. Bae, K. H., El Ghoul, S., Gong, Z. J., & Guedhami, O. (2021). Does CSR matter in times of crisis? Evidence from the COVID-19 pandemic. Journal of Corporate Finance, 67, 101876.
3. Baker, M., Egan, M. L., & Sarkar, S. K. (2022). How Do Investors Value ESG? (No. w30708). National Bureau of Economic Research.
4. Broadstock, D. C., Chan, K., Cheng, L. T., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance research letters, 38, 101716.
5. Engelhardt, N., Ekkenga, J., & Posch, P. (2021). ESG ratings and stock performance. during the COVID-19 crisis. Sustainability, 13(13), 7133.
6. Ferrell, A., Liang, H., & Renneboog, L. (2016). Socially responsible firms. Journal of financial economics, 122(3), 585-606.
7. Flammer, C. (2015). Does corporate social responsibility lead to superior financial. performance? A regression discontinuity approach. Management Science, 61(11), 2549-2568.
8. Friede, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: aggregated evidence from more than 2000 empirical studies. Journal of sustainable finance & investment, 5(4), 210-233.
9. Garcia, A. S., Mendes-Da-Silva, W., & Orsato, R. J. (2017). Sensitive industries. produce better ESG performance: Evidence from emerging markets. Journal of cleaner production, 150, 135-147.
10. Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social capital, trust, and firm performance: The value of corporate social responsibility during the financial crisis. the Journal of Finance, 72(4), 1785-1824.
11. Lööf, H., Sahamkhadam, M., & Stephan, A. (2022). Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis. Finance Research Letters, 46, 102499.
12. Luo, D. (2022). ESG, liquidity, and stock returns. Journal of International Financial Markets, Institutions and Money, 78, 101526.
13. Pavlova, I., & de Boyrie, M. E. (2022). ESG ETFs and the COVID-19 stock market crash of 2020: Did clean funds fare better?. Finance Research Letters, 44, 102051.
14. Tang, Z., Hull, C. E., & Rothenberg, S. (2012). How corporate social responsibility engagement strategy moderates the CSR–financial performance relationship. Journal of management Studies, 49(7), 1274-1303.
15. Yoo, S., & Managi, S. (2022). Disclosure or action: Evaluating ESG behavior towards financial performance. Finance Research Letters, 44, 102108.
16. 李大維. (2022). ESG 對臺灣上市櫃公司股票報酬之影響: 以新冠肺炎疫情期 間為例.
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