| 摘要: | 本文以TEJ的TESG永續發展指標之台灣市場上市櫃公司為研究對象，主要以2015年1月至2021年12月間，比較公司納入ESG前後的股東財富效果，並且加入財務狀況與運營能力等關聯性的因素。由於全球環境的變遷，人們環保意識逐漸提升，永續發展成為國際關注的話題，公司的財務報告及政策一覽無餘，因此每項行為都會被放大檢視，納入投資人考量的環節之中，企業須兼顧起相對的責任。因此本文採用事件研究法，探究公司納入環境、社會和公司治理個別分數及相關報告後之評級變化，每年相互對比，規劃出ESG評比上升、ESG評比不變、ESG評比下降之樣本對於台灣股票市場之間的變化，是否對股價與成交量造成影響，產生異常報酬率與異常成交量之變化。再進一步透過橫斷面迴歸分析，探究因事件而影響累計異常報酬和成交量週轉率的相關因子。實證結果顯示ESG評比上升、不變與下降接產生負向顯著異常報酬，可能是因為ESG原則本身就很兩極，有些投資人認為ESG投入越高就代表越好；有些投資人認為只要有ESG原則參與其中即可，不必花費過多的成本，至在參與。
This study used TESG sustainable development index of TEJ database as the re-search object of listed and OTC companies the Taiwan stock market, mainly from Janu-ary 2015 to December 2021, comparing the effects of shareholders' wealth before and after the company incorporates ESG, and adding the relationship between financial status and operating capabilities sex factor. Due to changes in the global environment, people's awareness of environmental protection has gradually increased, and sustainable devel-opment has become a topic of international concern. The company's financial reports and policies can be seen at a glance. Therefore, every behavior will be magnified and in-spected and included in the consideration of investors. Enterprises must Taking into ac-count relative responsibilities. Therefore, this article adopts the event study method to explore the rating changes of companies after incorporating individual scores of envi-ronmental, social and corporate governance and related reports, and compares each other every year to plan out samples with ESG ratings that increase, ESG ratings remain un-changed, and ESG ratings decline. For the Taiwan stock market Whether the change between them affects the stock price and trading volume, resulting in changes in the ab-normal rate of return and abnormal trading volume. Further, through cross-sectional re-gression analysis, we explore the related factors that affect the cumulative abnormal re-turn and turnover rate due to events. The empirical results show that the rise, change and decline of ESG ratings will lead to negative and significant abnormal returns. This may be because the ESG principle itself is very polarized. Some investors believe that the higher the ESG investment, the better; some investors think that as long as there are ESG principles Just participate in it, you don't have to spend too much cost, and you are par-ticipating. |
