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題名 ESG、環境績效與公司風險之探討
A Study of ESG Score, Environment Score, and Firm Risks作者 朱祥瑋
CHU, HSIANG-WEI貢獻者 陳鴻毅
朱祥瑋
CHU, HSIANG-WEI關鍵詞 ESG
公司風險
特有風險
下檔風險
財務風險
環境績效
ESG
Firm risk
Idiosyncratic risk
Downside risk
Financial risk
Environmental performance日期 2020 上傳時間 1-Jul-2020 13:38:15 (UTC+8) 摘要 本研究探討公司在環境、社會及公司治理(ESG)之表現績效，特別是在環境表現績效上是否影響公司之特有風險及下檔風險。本研究之下檔風險係以股價價格崩跌風險(NSCKEW、DUVOL)與財務限制指數(KZ、WW指數)衡量表示，並且更進一步探討公司之ESG績效排名與公司特有風險及下檔風險之關係。實證結果發現ESG之表現績效與風險存在顯著的負相關。同時也發現只有ESG表現績效排名處於前段之公司才能降低其下檔風險。實證結果顯示，公司建立良好的ESG績效可形成一種社會資本，使公司之特有風險降低，並使公司的融資能力更強。此外，唯有公司之ESG總體績效評分或環境績效評分處於領先排名區間時，公司方能降低其特有風險和財務限制。本研究結果鼓勵公司在ESG表現績效上取得領先之排名，以降低公司之特有風險及下檔風險。然而，ESG的績效雖有助於降低特有風險及財務限制，卻無助於降低公司特定的股票價格崩盤風險。
In this study, I examine whether the diligent of ESG performance, especially the environment performance, can help a firm to avoid the idiosyncratic risk and downside risks, and reduce its financial constraints. In addition, I investigate the relation between the rank of firm’s ESG performance and firm’s risks. The empirical result shows a significant and negative association between with ESG performance score and risks. I also find that only those firms that have high rank of ESG and Environmental engagement can reduce their downside risk. The basic socially responsible engagement does not help firms decrease their downside risk. The empirical results suggest that the building of great ESG performance can form the social capital which can reduce idiosyncratic risk of a firm and enhance a firm’s financing ability. Moreover, I find that the excellent performance rank of ESG score and E score can decrease idiosyncratic risk and financial constraints, while the basic socially responsible engagement does not help firms to decrease their downside risks. The findings of this study encourage firms to do their best on ESG engagement and decrease their downside risks. However, ESG efforts cannot help decrease firm-specific stock price crash risk.參考文獻 Aguilera, R., Rupp, D., Williams, C., & Ganapathi, J. (2007). Putting the S back in corporate social responsibility: A multilevel theory of social change in organizations. Academy of Management Review, 32(3), 836–863.Benlemlih, M., Amama, S., Qiu, Y., & Trojanowski, G. (2018). Environmental and social disclosures and firm risk. Journal of Business Ethics, 152, 613–626.Beurden, P., & Gossling, T. (2008). The worth of values—A literature review on the relation between corporate social and financial performance. Journal of Business Ethics, 82(2), 407–424.Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35, 1–23.Cormier, D., Aerts, W., Ledoux, M. J., & Magnan, M. (2009). Attributes of social and human capital disclosure and information asymmetry between managers and investors. Canadian Journal of Administrative Sciences, 26(1), 71–88.Godfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. Academy of Management Review, 30, 777–798.Jo, H., & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics, 110, 441–456.Jones, T. (1995). Instrumental stakeholder theory: a synthesis of ethics and economics. The Academy of Management Review, 20(2), 404–437.Kim, Y., Park, M.S., Wier, B., 2012. Is earnings quality associated with corporate social responsibility? The Accounting Review, 8 (3), 761–796.Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1–13.Kaplan, S., & Zingales, L. (1997). Do investment-cash flow sensitivities provide useful measures of financing constraints? The Quarterly Journal of Economics, 112(1), 169–215.Lamont, O., Polk, C., & Saá-Requejo, J. (2001). Financial constraints and stock returns. The Review of Financial Studies,14(2), 529–554.Mackey, A., Mackey, T., & Barney, J. (2007). Corporate social responsibility and firm performance: Investor preferences and corporate strategies. Academy of Management Review, 32(3), 817–835.McElhaney, K. (2007). Strategic CSR. Sustainable Enterprise Quarterly, 4(1), 1–7.Porter, M., & Kramer, M. (2006). Strategy & society. Harvard Business Review, 84(12), 78–92.Porter, M., & Kramer, M. (2011). Creating shared value. Harvard Business Review, 89(1–2), 62–77.Qiu, Y., Shaukat, A., & Tharyan, R. (2016). Environmental and social disclosures: Link with corporate financial performance. British Accounting Review, 48(1), 102–116.Sharfman, M. P., & Fernando, C. S. (2008). Environmental risk management and the cost of capital. Strategic Management Journal, 29(6), 569–592.Sirri, E., & Tufano, P. (1998). Costly search and mutual fund flows. Journal of Finance, 53, 1589–1622.Whited, T., & Wu, G. (2006). Financial constraints risk. The Review of Financial Studies, 19(2), 531–559 描述 碩士
國立政治大學
財務管理學系
107357011資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357011 資料類型 thesis dc.contributor.advisor 陳鴻毅 zh_TW dc.contributor.author (Authors) 朱祥瑋 zh_TW dc.contributor.author (Authors) CHU, HSIANG-WEI en_US dc.creator (作者) 朱祥瑋 zh_TW dc.creator (作者) CHU, HSIANG-WEI en_US dc.date (日期) 2020 en_US dc.date.accessioned 1-Jul-2020 13:38:15 (UTC+8) - dc.date.available 1-Jul-2020 13:38:15 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2020 13:38:15 (UTC+8) - dc.identifier (Other Identifiers) G0107357011 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130528 - 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) 107357011 zh_TW dc.description.abstract (摘要) 本研究探討公司在環境、社會及公司治理(ESG)之表現績效，特別是在環境表現績效上是否影響公司之特有風險及下檔風險。本研究之下檔風險係以股價價格崩跌風險(NSCKEW、DUVOL)與財務限制指數(KZ、WW指數)衡量表示，並且更進一步探討公司之ESG績效排名與公司特有風險及下檔風險之關係。實證結果發現ESG之表現績效與風險存在顯著的負相關。同時也發現只有ESG表現績效排名處於前段之公司才能降低其下檔風險。實證結果顯示，公司建立良好的ESG績效可形成一種社會資本，使公司之特有風險降低，並使公司的融資能力更強。此外，唯有公司之ESG總體績效評分或環境績效評分處於領先排名區間時，公司方能降低其特有風險和財務限制。本研究結果鼓勵公司在ESG表現績效上取得領先之排名，以降低公司之特有風險及下檔風險。然而，ESG的績效雖有助於降低特有風險及財務限制，卻無助於降低公司特定的股票價格崩盤風險。 zh_TW dc.description.abstract (摘要) In this study, I examine whether the diligent of ESG performance, especially the environment performance, can help a firm to avoid the idiosyncratic risk and downside risks, and reduce its financial constraints. In addition, I investigate the relation between the rank of firm’s ESG performance and firm’s risks. The empirical result shows a significant and negative association between with ESG performance score and risks. I also find that only those firms that have high rank of ESG and Environmental engagement can reduce their downside risk. The basic socially responsible engagement does not help firms decrease their downside risk. The empirical results suggest that the building of great ESG performance can form the social capital which can reduce idiosyncratic risk of a firm and enhance a firm’s financing ability. Moreover, I find that the excellent performance rank of ESG score and E score can decrease idiosyncratic risk and financial constraints, while the basic socially responsible engagement does not help firms to decrease their downside risks. The findings of this study encourage firms to do their best on ESG engagement and decrease their downside risks. However, ESG efforts cannot help decrease firm-specific stock price crash risk. en_US dc.description.tableofcontents List of Tables IV1. Introduction 12. Literature Review 42.1 ESG and financial risks 42.2 E Score, E components and risks 62.3 Ranks of ESG, ranks of E score, and risks 73. Empirical Methodology 93.1 Sample 93.2 Variables 93.3 Models 134. Empirical Results 164.1 Descriptive statistics and correlation of major variables 164.2 The effect of ESG performance on idiosyncratic risk 174.3 The effect of ESG performance on stock price crash risk 184.4 The effect of ESG performance on financial constraints 194.5 The effect of Rank of ESG performance on idiosyncratic risk & stock price crash risk and financial constraints 204.6 ESG firms versus non-ESG firms 235. Recommendations for Future Research 246. Conclusion and Discussions 25References 27 zh_TW dc.format.extent 1421133 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357011 en_US dc.subject (關鍵詞) ESG zh_TW dc.subject (關鍵詞) 公司風險 zh_TW dc.subject (關鍵詞) 特有風險 zh_TW dc.subject (關鍵詞) 下檔風險 zh_TW dc.subject (關鍵詞) 財務風險 zh_TW dc.subject (關鍵詞) 環境績效 zh_TW dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) Firm risk en_US dc.subject (關鍵詞) Idiosyncratic risk en_US dc.subject (關鍵詞) Downside risk en_US dc.subject (關鍵詞) Financial risk en_US dc.subject (關鍵詞) Environmental performance en_US dc.title (題名) ESG、環境績效與公司風險之探討 zh_TW dc.title (題名) A Study of ESG Score, Environment Score, and Firm Risks en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Aguilera, R., Rupp, D., Williams, C., & Ganapathi, J. (2007). Putting the S back in corporate social responsibility: A multilevel theory of social change in organizations. Academy of Management Review, 32(3), 836–863.Benlemlih, M., Amama, S., Qiu, Y., & Trojanowski, G. (2018). Environmental and social disclosures and firm risk. Journal of Business Ethics, 152, 613–626.Beurden, P., & Gossling, T. (2008). The worth of values—A literature review on the relation between corporate social and financial performance. Journal of Business Ethics, 82(2), 407–424.Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35, 1–23.Cormier, D., Aerts, W., Ledoux, M. J., & Magnan, M. (2009). Attributes of social and human capital disclosure and information asymmetry between managers and investors. Canadian Journal of Administrative Sciences, 26(1), 71–88.Godfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. Academy of Management Review, 30, 777–798.Jo, H., & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics, 110, 441–456.Jones, T. (1995). Instrumental stakeholder theory: a synthesis of ethics and economics. The Academy of Management Review, 20(2), 404–437.Kim, Y., Park, M.S., Wier, B., 2012. Is earnings quality associated with corporate social responsibility? The Accounting Review, 8 (3), 761–796.Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1–13.Kaplan, S., & Zingales, L. (1997). Do investment-cash flow sensitivities provide useful measures of financing constraints? The Quarterly Journal of Economics, 112(1), 169–215.Lamont, O., Polk, C., & Saá-Requejo, J. (2001). Financial constraints and stock returns. The Review of Financial Studies,14(2), 529–554.Mackey, A., Mackey, T., & Barney, J. (2007). Corporate social responsibility and firm performance: Investor preferences and corporate strategies. Academy of Management Review, 32(3), 817–835.McElhaney, K. (2007). Strategic CSR. Sustainable Enterprise Quarterly, 4(1), 1–7.Porter, M., & Kramer, M. (2006). Strategy & society. Harvard Business Review, 84(12), 78–92.Porter, M., & Kramer, M. (2011). Creating shared value. Harvard Business Review, 89(1–2), 62–77.Qiu, Y., Shaukat, A., & Tharyan, R. (2016). Environmental and social disclosures: Link with corporate financial performance. British Accounting Review, 48(1), 102–116.Sharfman, M. P., & Fernando, C. S. (2008). Environmental risk management and the cost of capital. Strategic Management Journal, 29(6), 569–592.Sirri, E., & Tufano, P. (1998). Costly search and mutual fund flows. Journal of Finance, 53, 1589–1622.Whited, T., & Wu, G. (2006). Financial constraints risk. The Review of Financial Studies, 19(2), 531–559 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000535 en_US
