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題名 碳風險對臺灣投資人而言重要嗎？
Do Taiwanese Investors Care about Carbon Risk?作者 黃貫綸
Huang, Kuan-Lun貢獻者 羅秉政<br>曹榮軒
Vincent, Kendro<br>Tsao, Jung-Hsuan
黃貫綸
Huang, Kuan-Lun關鍵詞 碳排放
公司價值
股價報酬
滾動BETA
Carbon Emission
Firm Value
Stock Return
Rolling Beta日期 2023 上傳時間 1-Dec-2023 10:45:18 (UTC+8) 摘要 隨著氣候變遷日益嚴峻。企業的碳排放量逐漸成為利害關係人關注的核心。臺灣雖已積累相當數量探討碳排放與企業股價關聯的研究報告。然而，國內多篇研究均一致指出，受制於國內環境意識與法規起步較晚，完成碳盤查的上市櫃公司樣本數量有限，造成目前研究資料面的限制。 本研究以2002年至2022年作為樣本區間，先在美國股市中以碳排相關變數排序並建構多空股票投資組合，驗證是否存在碳報酬異常。隨後，將這些投資組合作為驗證臺灣市場碳相關風險的代理因子，對臺灣上市櫃企業進行迴歸分析，擷取每月各公司過去36個月的滾動beta值後，以此作為排序變數建立多空股票投資組合，進一步探討臺灣股市中是否存在碳報酬異常。 本研究對美國市場驗證之結果為碳報酬不顯著存在，原因主為樣本區間涵蓋新冠肺炎期間，造成碳排與股價關聯的變動。至於臺灣股市，同樣為不顯著，除疫情影響外，歸納原因有二：一、臺灣市場未獲得大型投資及評等機構投注足夠資源，投資人難以取得ESG相關資訊；二、主管機關對ESG、碳揭露議題規範較為寬鬆，不足以揚起投資人對企業碳排的關注。
As climate change becomes increasingly severe, companies' carbon emissions are becoming a focal point of concern for stakeholders. Despite the accumulation of numerous researches in Taiwan that discuss the correlation between emissions and stock prices, numerous domestic studies consistently indicate that due to a later start in environmental awareness and regulations, the number of listed companies that have completed carbon inventory is limited, resulting in limitations in these researches. This study takes the period from 2002 to 2022 as the sample interval. First, carbon-related variables are ranked and long-short portfolios are constructed in the U.S. stock market to verify the existence of carbon premiums. Subsequently, these portfolios are used as proxies to verify Taiwan's carbon premiums. Regression analysis is conducted on Taiwan's listed companies. Rolling beta for each company over the past 36 months are extracted and used as ranking variables to establish long-short portfolios. This further explores whether there are carbon premiums in Taiwan. The verification results in the U.S. show that carbon premiums are insignificant due to the sample interval covering the period of COVID-19, causing fluctuations in the carbon-price relationship. As for Taiwan, similar insignificance is observed. In addition to the pandemic, two reasons can be summarized: First, the Taiwan market has not received sufficient investment resources from major investment institutions, making it difficult for investors to obtain ESG-related information. Second, regulatory standards for carbon disclosure are lenient, which is not enough to raise concerns about emissions.參考文獻 Aupperle, K. E., Carroll, A. B., and Hatfield, J. D. (1985). An empirical examination of the relationship between corporate social responsibility and profitability. Academy of Management journal, 28(2):446–463. Bolton, P. and Kacperczyk, M. (2021). Do investors care about carbon risk? Journal of financial economics, 142(2):517–549. Bushnell, J. B., Chong, H., and Mansur, E. T. (2013). Profiting from regulation: Evidence from the european carbon market. American economic journal. Economic policy, 5(4):78–106. Carbone, S., Giuzio, M., Kapadia, S., Krämer, J. S., Nyholm, K., and Vozian, K. (2021). The low-carbon transition, climate commitments and firm credit risk. Cañón-de Francia, J. and Garcés-Ayerbe, C. (2009). Iso 14001 environmental certification: A sign valued by the market? Environmental & resource economics, 44(2):245–262. Chatterji, A. K., Levine, D. I., and Toffel, M. W. (2009). How well do social ratings actually measure corporate social responsibility? Journal of economics & management strategy, 18(1):125–169. Cornell, B. and Shapiro, A. C. (1987). Corporate stakeholders and corporate finance. Financial management, 16(1):5–14. Delmas, M. A., Etzion, D., and Nairn-Birch, N. (2013). Triangulating environmental performance: What do corporate social responsibility ratings really capture? Academy of Management Perspectives. Freeman, R. E. (2010). Strategic management : a stakeholder approach / R. Edward Freeman. Cambridge University Press, Cambridge, U.K. ;. Guerard Jr, J. B. (1997). Is there a cost to being socially responsible in investing? Journal of forecasting, 16(7):475–490. In, S. Y., Park, K. Y., and Monk, A. (2017). Is “being green”rewarded in the market? an empirical investigation of decarbonization risk and stock returns. IAEE Energy Forum, 2017. In, S. Y., Rook, D., and Monk, A. (2019). Integrating alternative data (also known as esg data) in investment decision making. Global economic review, 48(3):237–260. In, S. Y. and Schumacher, K. (2021). Carbonwashing: Esg data greenwashing in a postparis world. In Settling Climate Accounts: Navigating the Road to Net Zero, pages 39–58. Springer. Ray, R. L., Singh, V. P., Singh, S. K., Acharya, B. S., and He, Y. (2022). What is the impact of covid-19 pandemic on global carbon emissions? The Science of the total environment, 816:151503–151503. Watts, P. and Holme, R. (1999). Corporate social responsibility: Meeting changing expectations. World Business Council for Sustainable Development. 高渭川、陳怡伶、謝秋華、耿建新（2016）。碳排放量對企業股價影響之初探研究。華人前瞻研究，12（1），頁023-038。 張育琳（2016）。碳排放量、綠化投資策略與公司續效。管理與系統，23（2）。 黃娟娟、黃郁婷（2019）。綠色價值鏈管理、碳排放與企業績效。商略學報，11（2），頁081-102。 描述 碩士
國立政治大學
國際金融碩士學位學程
111zb1014資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111ZB1014 資料類型 thesis dc.contributor.advisor 羅秉政<br>曹榮軒 zh_TW dc.contributor.advisor Vincent, Kendro<br>Tsao, Jung-Hsuan en_US dc.contributor.author (Authors) 黃貫綸 zh_TW dc.contributor.author (Authors) Huang, Kuan-Lun en_US dc.creator (作者) 黃貫綸 zh_TW dc.creator (作者) Huang, Kuan-Lun en_US dc.date (日期) 2023 en_US dc.date.accessioned 1-Dec-2023 10:45:18 (UTC+8) - dc.date.available 1-Dec-2023 10:45:18 (UTC+8) - dc.date.issued (上傳時間) 1-Dec-2023 10:45:18 (UTC+8) - dc.identifier (Other Identifiers) G0111ZB1014 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/148495 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際金融碩士學位學程 zh_TW dc.description (描述) 111zb1014 zh_TW dc.description.abstract (摘要) 隨著氣候變遷日益嚴峻。企業的碳排放量逐漸成為利害關係人關注的核心。臺灣雖已積累相當數量探討碳排放與企業股價關聯的研究報告。然而，國內多篇研究均一致指出，受制於國內環境意識與法規起步較晚，完成碳盤查的上市櫃公司樣本數量有限，造成目前研究資料面的限制。 本研究以2002年至2022年作為樣本區間，先在美國股市中以碳排相關變數排序並建構多空股票投資組合，驗證是否存在碳報酬異常。隨後，將這些投資組合作為驗證臺灣市場碳相關風險的代理因子，對臺灣上市櫃企業進行迴歸分析，擷取每月各公司過去36個月的滾動beta值後，以此作為排序變數建立多空股票投資組合，進一步探討臺灣股市中是否存在碳報酬異常。 本研究對美國市場驗證之結果為碳報酬不顯著存在，原因主為樣本區間涵蓋新冠肺炎期間，造成碳排與股價關聯的變動。至於臺灣股市，同樣為不顯著，除疫情影響外，歸納原因有二：一、臺灣市場未獲得大型投資及評等機構投注足夠資源，投資人難以取得ESG相關資訊；二、主管機關對ESG、碳揭露議題規範較為寬鬆，不足以揚起投資人對企業碳排的關注。 zh_TW dc.description.abstract (摘要) As climate change becomes increasingly severe, companies' carbon emissions are becoming a focal point of concern for stakeholders. Despite the accumulation of numerous researches in Taiwan that discuss the correlation between emissions and stock prices, numerous domestic studies consistently indicate that due to a later start in environmental awareness and regulations, the number of listed companies that have completed carbon inventory is limited, resulting in limitations in these researches. This study takes the period from 2002 to 2022 as the sample interval. First, carbon-related variables are ranked and long-short portfolios are constructed in the U.S. stock market to verify the existence of carbon premiums. Subsequently, these portfolios are used as proxies to verify Taiwan's carbon premiums. Regression analysis is conducted on Taiwan's listed companies. Rolling beta for each company over the past 36 months are extracted and used as ranking variables to establish long-short portfolios. This further explores whether there are carbon premiums in Taiwan. The verification results in the U.S. show that carbon premiums are insignificant due to the sample interval covering the period of COVID-19, causing fluctuations in the carbon-price relationship. As for Taiwan, similar insignificance is observed. In addition to the pandemic, two reasons can be summarized: First, the Taiwan market has not received sufficient investment resources from major investment institutions, making it difficult for investors to obtain ESG-related information. Second, regulatory standards for carbon disclosure are lenient, which is not enough to raise concerns about emissions. en_US dc.description.tableofcontents 1 Introduction 1 1.1 Research Background 1 1.2 Purpose of Research 2 2 Literature Review 3 2.1 The Development of Corporate Social Responsibility 3 2.2 Carbon Emissions and Corporate Value 3 3 Methodology 6 3.1 Research Design 6 3.2 Data and Samples 8 3.3 Variables and Empirical Models 11 4 Empirical Results 14 4.1 Descriptive Statistics 14 4.2 Main Analysis 20 5 Conclusions and Discussions 25 5.1 Conclusions 25 5.2 Recommendations for Further Research 26 Reference 28 A Appendix 30 zh_TW dc.format.extent 973464 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111ZB1014 en_US dc.subject (關鍵詞) 碳排放 zh_TW dc.subject (關鍵詞) 公司價值 zh_TW dc.subject (關鍵詞) 股價報酬 zh_TW dc.subject (關鍵詞) 滾動BETA zh_TW dc.subject (關鍵詞) Carbon Emission en_US dc.subject (關鍵詞) Firm Value en_US dc.subject (關鍵詞) Stock Return en_US dc.subject (關鍵詞) Rolling Beta en_US dc.title (題名) 碳風險對臺灣投資人而言重要嗎？ zh_TW dc.title (題名) Do Taiwanese Investors Care about Carbon Risk? en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Aupperle, K. E., Carroll, A. B., and Hatfield, J. D. (1985). An empirical examination of the relationship between corporate social responsibility and profitability. Academy of Management journal, 28(2):446–463. Bolton, P. and Kacperczyk, M. (2021). Do investors care about carbon risk? Journal of financial economics, 142(2):517–549. Bushnell, J. B., Chong, H., and Mansur, E. T. (2013). Profiting from regulation: Evidence from the european carbon market. American economic journal. Economic policy, 5(4):78–106. Carbone, S., Giuzio, M., Kapadia, S., Krämer, J. S., Nyholm, K., and Vozian, K. (2021). The low-carbon transition, climate commitments and firm credit risk. Cañón-de Francia, J. and Garcés-Ayerbe, C. (2009). Iso 14001 environmental certification: A sign valued by the market? Environmental & resource economics, 44(2):245–262. Chatterji, A. K., Levine, D. I., and Toffel, M. W. (2009). How well do social ratings actually measure corporate social responsibility? Journal of economics & management strategy, 18(1):125–169. Cornell, B. and Shapiro, A. C. (1987). Corporate stakeholders and corporate finance. Financial management, 16(1):5–14. Delmas, M. A., Etzion, D., and Nairn-Birch, N. (2013). Triangulating environmental performance: What do corporate social responsibility ratings really capture? Academy of Management Perspectives. Freeman, R. E. (2010). Strategic management : a stakeholder approach / R. Edward Freeman. Cambridge University Press, Cambridge, U.K. ;. Guerard Jr, J. B. (1997). Is there a cost to being socially responsible in investing? Journal of forecasting, 16(7):475–490. In, S. Y., Park, K. Y., and Monk, A. (2017). Is “being green”rewarded in the market? an empirical investigation of decarbonization risk and stock returns. IAEE Energy Forum, 2017. In, S. Y., Rook, D., and Monk, A. (2019). Integrating alternative data (also known as esg data) in investment decision making. Global economic review, 48(3):237–260. In, S. Y. and Schumacher, K. (2021). Carbonwashing: Esg data greenwashing in a postparis world. In Settling Climate Accounts: Navigating the Road to Net Zero, pages 39–58. Springer. Ray, R. L., Singh, V. P., Singh, S. K., Acharya, B. S., and He, Y. (2022). What is the impact of covid-19 pandemic on global carbon emissions? The Science of the total environment, 816:151503–151503. Watts, P. and Holme, R. (1999). Corporate social responsibility: Meeting changing expectations. World Business Council for Sustainable Development. 高渭川、陳怡伶、謝秋華、耿建新（2016）。碳排放量對企業股價影響之初探研究。華人前瞻研究，12（1），頁023-038。 張育琳（2016）。碳排放量、綠化投資策略與公司續效。管理與系統，23（2）。 黃娟娟、黃郁婷（2019）。綠色價值鏈管理、碳排放與企業績效。商略學報，11（2），頁081-102。 zh_TW
