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題名 ESG揭露程度對公司風險之影響
An analysis of ESG disclosure score and firm risks作者 楊舒婷
Yang, Shu-Ting貢獻者 陳鴻毅
Chen, Hong-Yi
楊舒婷
Yang, Shu-Ting關鍵詞 企業社會責任
公司風險
財務風險
下檔風險
股票報酬
ESG
Firm risk
Financial risk
Downside risk
Stock return日期 2019 上傳時間 2-Mar-2020 10:59:51 (UTC+8) 摘要 本研究在探討公司對環境、社會、公司治理(ESG)的揭露程度是否影響其財務風險及下檔風險。財務風險以總風險、系統風險、非系統風險為代表，下檔風險則以股價暴跌風險(NCSKEW)及財務限制指數(KZ¬、WW、SA指數)表示。我們發現ESG揭露程度愈高，財務風險皆愈低，此結果與過去研究相符，並支持公司從事ESG活動有助於降低資訊不對稱問題，進而增進利害關係人的信任、降低公司風險。此外，ESG揭露程度與WW指數、SA指數為負相關，代表ESG揭露程度可降低下檔風險。以各別揭露程度來看，E和G之揭露程度對降低公司風險的效果更為顯著。然而，ESG揭露程度雖有助於降低公司風險，卻無法藉此提升股價報酬。
In this study, I try to investigate whether a firm’s environmental, social, and governance (ESG) disclosure score affects its financial risk and downside risk. Specifically, I use total risk, systematic risk, and idiosyncratic risk to measure the financial risk, and the stock price crash risk (NCSKEW) and financial constraint indexes (KZ, WW, and SA index) to capture the downside risk. The empirical findings show a significantly negative association between ESG disclosure score and financial risk measures, suggesting that ESG engagement can mitigate information asymmetry problems and subsequently reduce a firm’s financial risk. In addition, I find that ESG disclosure score is negatively associated with WW and SA indexes. Further, disclosure scores of E and G are relatively important in reducing firm risks. However, the risk reduction of ESG engagement cannot improve the stock return in the future.參考文獻 Albuquerque, R., Koskinen, Y., & Zhang, C. (2018). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science, forthcoming.Allayannis, G., Lel, U., & Miller, D. P. (2012). The use of foreign currency derivatives, corporate governance, and firm value around the world. Journal of International Economics, 87, 65-79.Attig, N., Boubakri, N., El Ghoul, S., & Guedhami, O. (2016). Firm internationalization and corporate social responsibility. Journal of Business Ethics, 134, 171-197.Becchetti, L., Ciciretti, R., & Hasan, I. (2015). Corporate social responsibility, stakeholder risk, and idiosyncratic volatility. Journal of Corporate Finance, 35, 297-309.Benlemlih, M., Amama, S., Qiu, Y., Trojanowski, G. (2018). Environmental and social disclosures and firm risk. Journal of Business Ethics, 152, 613-626.Boutin-Dufresne, F., & Savaria, P. (2004). Corporate social responsibility and financial risk. The Journal of investing, 13, 57-66.Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35, 97-116.CFA Institute (2015). Environmental, social, and governance issues in investing: A guide for investment professionals.Chan, C. Y., Chou, D. W., & Lo, H. C. (2016). Do financial constraints matter when firms engage in CSR? North American Journal of Economics and Finance, 39, 241-259.Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35, 1-23.Dimson, E., 1979. Risk measurement when shares are subject to infrequent trading.Journal of Financial Economics, 7, 197-226.El Ghoul, S., Guedhami, O., & Kim, Y. (2017). Country-level institutions, firm value, and the role of corporate social responsibility initiatives. Journal of International Business Studies, 48, 360-385.El Ghoul, S., Guedhami, O., Kwok, C., & Mishra, D. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35, 2388-2406.Fatemi, A., Glaum, M. & Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global Finance Journal, 28, 45-64.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, 210-233.Godfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. The Academy of Management Review, 30, 777-798.Hoepner, A. G. F., Oikonomou, I., Sautner, Z., Starks, L. T., & Zhou, X. Y. (2018). ESG shareholder engagement and downside risk. AFA 2018 paper.Hong, H., Kubik, J. D., & Scheinkman J. A. (2012). Financial constraints on corporate goodness. Working paper.Husted, B. W. (2005). Risk management, real options, and corporate social responsibility. Journal of Business Ethics, 60, 175-183.Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics, 94, 67-86.Jo, H., & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics, 110, 441–456.Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.Makni, R., Francoeur, C., & Bellavance, F. (2009). Causality between corporate social performance and financial performance: Evidence from Canadian firms. Journal of Business Ethics, 89, 409-422.Oikonomou, I., Brooks, C., & Pavelin, S. (2012). The impact of corporate social performance on financial risk and utility: A longitudinal analysis. Financial Management, 41, 483-515.Renneboog, L., Horst, J. T., & Zhang, C. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking & Finance, 32, 1723-1742. 描述 碩士
國立政治大學
財務管理學系
106357020資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106357020 資料類型 thesis dc.contributor.advisor 陳鴻毅 zh_TW dc.contributor.advisor Chen, Hong-Yi en_US dc.contributor.author (Authors) 楊舒婷 zh_TW dc.contributor.author (Authors) Yang, Shu-Ting en_US dc.creator (作者) 楊舒婷 zh_TW dc.creator (作者) Yang, Shu-Ting en_US dc.date (日期) 2019 en_US dc.date.accessioned 2-Mar-2020 10:59:51 (UTC+8) - dc.date.available 2-Mar-2020 10:59:51 (UTC+8) - dc.date.issued (上傳時間) 2-Mar-2020 10:59:51 (UTC+8) - dc.identifier (Other Identifiers) G0106357020 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/128780 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 106357020 zh_TW dc.description.abstract (摘要) 本研究在探討公司對環境、社會、公司治理(ESG)的揭露程度是否影響其財務風險及下檔風險。財務風險以總風險、系統風險、非系統風險為代表，下檔風險則以股價暴跌風險(NCSKEW)及財務限制指數(KZ¬、WW、SA指數)表示。我們發現ESG揭露程度愈高，財務風險皆愈低，此結果與過去研究相符，並支持公司從事ESG活動有助於降低資訊不對稱問題，進而增進利害關係人的信任、降低公司風險。此外，ESG揭露程度與WW指數、SA指數為負相關，代表ESG揭露程度可降低下檔風險。以各別揭露程度來看，E和G之揭露程度對降低公司風險的效果更為顯著。然而，ESG揭露程度雖有助於降低公司風險，卻無法藉此提升股價報酬。 zh_TW dc.description.abstract (摘要) In this study, I try to investigate whether a firm’s environmental, social, and governance (ESG) disclosure score affects its financial risk and downside risk. Specifically, I use total risk, systematic risk, and idiosyncratic risk to measure the financial risk, and the stock price crash risk (NCSKEW) and financial constraint indexes (KZ, WW, and SA index) to capture the downside risk. The empirical findings show a significantly negative association between ESG disclosure score and financial risk measures, suggesting that ESG engagement can mitigate information asymmetry problems and subsequently reduce a firm’s financial risk. In addition, I find that ESG disclosure score is negatively associated with WW and SA indexes. Further, disclosure scores of E and G are relatively important in reducing firm risks. However, the risk reduction of ESG engagement cannot improve the stock return in the future. en_US dc.description.tableofcontents List of Tables V1.Introduction 12.Literature Review 42.1 ESG and Risk 52.2 ESG and Downside risk 52.3 ESG and Stock Price Crash Risk 62.4 ESG and Financial Constraint 62.5 ESG and Stock Return 73.Sample, Variables, and Models 93.1 Sample 93.2 Variables 93.3 Models 134.Empirical Results 154.1 Descriptive Statistics and Bivariate Correlation 154.2 Empirical Results 165.Conclusion and Discussions 22References 24 zh_TW dc.format.extent 2069612 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106357020 en_US dc.subject (關鍵詞) 企業社會責任 zh_TW dc.subject (關鍵詞) 公司風險 zh_TW dc.subject (關鍵詞) 財務風險 zh_TW dc.subject (關鍵詞) 下檔風險 zh_TW dc.subject (關鍵詞) 股票報酬 zh_TW dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) Firm risk en_US dc.subject (關鍵詞) Financial risk en_US dc.subject (關鍵詞) Downside risk en_US dc.subject (關鍵詞) Stock return en_US dc.title (題名) ESG揭露程度對公司風險之影響 zh_TW dc.title (題名) An analysis of ESG disclosure score and firm risks en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Albuquerque, R., Koskinen, Y., & Zhang, C. (2018). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science, forthcoming.Allayannis, G., Lel, U., & Miller, D. P. (2012). The use of foreign currency derivatives, corporate governance, and firm value around the world. Journal of International Economics, 87, 65-79.Attig, N., Boubakri, N., El Ghoul, S., & Guedhami, O. (2016). Firm internationalization and corporate social responsibility. Journal of Business Ethics, 134, 171-197.Becchetti, L., Ciciretti, R., & Hasan, I. (2015). Corporate social responsibility, stakeholder risk, and idiosyncratic volatility. Journal of Corporate Finance, 35, 297-309.Benlemlih, M., Amama, S., Qiu, Y., Trojanowski, G. (2018). Environmental and social disclosures and firm risk. Journal of Business Ethics, 152, 613-626.Boutin-Dufresne, F., & Savaria, P. (2004). Corporate social responsibility and financial risk. The Journal of investing, 13, 57-66.Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35, 97-116.CFA Institute (2015). Environmental, social, and governance issues in investing: A guide for investment professionals.Chan, C. Y., Chou, D. W., & Lo, H. C. (2016). Do financial constraints matter when firms engage in CSR? North American Journal of Economics and Finance, 39, 241-259.Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35, 1-23.Dimson, E., 1979. Risk measurement when shares are subject to infrequent trading.Journal of Financial Economics, 7, 197-226.El Ghoul, S., Guedhami, O., & Kim, Y. (2017). Country-level institutions, firm value, and the role of corporate social responsibility initiatives. Journal of International Business Studies, 48, 360-385.El Ghoul, S., Guedhami, O., Kwok, C., & Mishra, D. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35, 2388-2406.Fatemi, A., Glaum, M. & Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global Finance Journal, 28, 45-64.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, 210-233.Godfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. The Academy of Management Review, 30, 777-798.Hoepner, A. G. F., Oikonomou, I., Sautner, Z., Starks, L. T., & Zhou, X. Y. (2018). ESG shareholder engagement and downside risk. AFA 2018 paper.Hong, H., Kubik, J. D., & Scheinkman J. A. (2012). Financial constraints on corporate goodness. Working paper.Husted, B. W. (2005). Risk management, real options, and corporate social responsibility. Journal of Business Ethics, 60, 175-183.Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics, 94, 67-86.Jo, H., & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics, 110, 441–456.Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.Makni, R., Francoeur, C., & Bellavance, F. (2009). Causality between corporate social performance and financial performance: Evidence from Canadian firms. Journal of Business Ethics, 89, 409-422.Oikonomou, I., Brooks, C., & Pavelin, S. (2012). The impact of corporate social performance on financial risk and utility: A longitudinal analysis. Financial Management, 41, 483-515.Renneboog, L., Horst, J. T., & Zhang, C. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking & Finance, 32, 1723-1742. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000150 en_US
