企業做好 ESG 是否影響投資人觀感與投資行為?

Abstract

ESG 投資關注的是企業股票表現的非金融資訊，包含了環境保護(E)、社會責任 (S)、公司治理(G)這三項維度。近年來在全球有大量資金湧入 ESG 相關投資， 投資人對 ESG 的關注成為企業持續優化 ESG 績效、提高 ESG 披露水平的動力 來源。那些在 ESG 領域有所成就的企業通常更容易贏得投資人的良好觀感，有 助於建立一種無形的聲譽資產，成為投資人做決策時的直覺來源。因此，本研 究主要探討了光環、尖角、黑馬這三種基於投資人直覺的心理偏誤在美國股市 中的顯現，以剖析當企業出現意外消息時投資人觀感如何影響其決策行為。\n為了探究這一問題，一個實證框架被設計出來——以 2012 第三季度至 2020 年 第一季度在紐約證券交易所(NYSE)上市的所有普通股為樣本，以企業歷年 的 ESG 分數作為投資人觀感的衡量指標，將季度盈餘公告作為意外事件，並觀 察盈餘公告後 60 天內的股價異常波動。研究結果證實了股票市場很可能具有尖 角效應，光環效應則在市場即時反應之後的股價修正期出現(僅當意外消息為 非常好的消息時)。因此建議在收益公告日短期內(前後三天內)採取多空頭 策略，ESG 低分(高分)股票可以獲得 5.2877%(4.9889%)的顯著溢價。而 ESG 高分股票的優勢在於更長期間內的多空頭交易，在收益公告後 45 天、60 天內可以分別獲得 2.0531%和 2.2797%的顯著溢價。

ESG Investment focuses on non-financial information on corporate stock performance, including three dimensions of Environmental Protection (E), Social Responsibility (S) and Corporate Governance (G). In recent years, a large number of funds have poured into ESG related investments worldwide, and investors` attention to ESG has become the driving force for companies to continuously optimize ESG performance and improve the ESG disclosure level. Companies that have better ESG performance are often more likely to make a good impression among investors, becoming the source of intuition for investors making decisions. Therefore, this paper mainly discusses the appearance of three psychological errors based on investors` intuition, namely Halo, Horn and Dark horse effect.\nTo explore this question, an empirical framework was designed -- taking a sample of all common shares listed on the New York Stock Exchange (NYSE) between Q3 2012 and Q1 2020, using a firm`s ESG score over those years as a measure of investor impression, quarterly earning announcements as surprise events, then watch for abnormal returns within 60 days of announcement day. The results confirm that the stock market has the horn effect under the immediate reaction, the halo effect occurs following the immediate market reaction (only when unexpected news turns out to be very good news). Therefore, it is recommended to adopt a long-short strategy for ESG stocks in the short term (within three days before and after the earnings announcement), stocks with low ESG scores (high ones) can gain a significant premium of 5.2877% (4.9889%). The advantage of high-scoring ESG stocks is that they can gain over a longer period, with significant premiums of 2.0531% and 2.2797% within 45 and 60 days of earnings announcements, respectively.