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題名 SASB準則下ESG重大性議題對股權資金成本之影響
The Impact of SASB-based Material ESG Issues on the Cost of Equity作者 張瑄圃
Chang, Hsuan-Pu貢獻者 陳鴻毅
Chen, Hong-Yi
張瑄圃
Chang, Hsuan-Pu關鍵詞 企業社會責任
ESG
重大性議題
SASB
股權資金成本
Corporate Social Responsibility
ESG
Sustainable Materiality
SASB
Cost of Equity日期 2022 上傳時間 1-七月-2022 16:06:16 (UTC+8) 摘要 公司的永續發展中，重大性議題是對公司營運具有顯著影響力的環境、社會、公司治理等特定永續議題。本研究旨在探討公司於重大性議題上的永續績效和自身的股權資金成本間是否存在特定關係，並進一步檢視對於不同永續績效水平以及不同股權資金成本水平的公司而言，此特定關係是否皆穩定存在。本研究將Bloomberg的揭露細項分別對應至永續會計準則委員會（SASB）對各產業所提出的重大性議題，以衡量公司在重大性議題上的永續績效。本研究採用會計基礎的估計模型和資本資產定價模型（CAPM）估計公司的股權資金成本。實證結果顯示在重大性議題上表現愈好的公司隔年有愈低的股權資金成本。透過分段迴歸進一步發現，僅有在該公司股權資金成本較高或永續績效較佳時，重大性議題的永續績效對不同模型估計的股權資金成本才有一致的負面效果。根據此實證結果，本研究建議股權資金成本較高的公司可以將永續行動聚焦於自身的重大性議題，亦鼓勵已有卓越永續表現的公司進一步發展完善的重大性議題框架，在有效配置資源的同時也有助於降低公司的股權資金成本。
Sustainable materiality refers to the specific ESG (environment, social, and corporate governance) issues relevant and influential on firms’ business operations. This study tries to investigate the relationship between firms’ material ESG performance and their cost of equity; and further examines the consistency of this relationship on different ESG performance or cost of equity levels. For material ESG performance, this study maps the Bloomberg disclosure items to the material ESG issues based on the widely used SASB (Sustainability Accounting Standards Board) standards. This study applies the ex-ante Easton model and the ex-post CAPM (Capital Asset Pricing Model) model to estimate the cost of equity. Empirical results show that firms with better performance on material ESG issues have a lower cost of equity in the subsequent year. In addition, the negative relationship is only consistently significant for firms with a higher cost of equity or leading ESG performance. In summary, this study suggests high-cost firms put more efforts on their material ESG issues; and encourages well-performed firms to continue developing better materiality frameworks. Firms can, therefore, obtain lower costs of equity by allocating resources effectively.參考文獻 Barth, M. E., Elliott, J. A., & Finn, M. W. (1999). Market rewards associated with patterns of increasing earnings. Journal of Accounting Research, 37(2), 387-413.Becchetti, L., Ciciretti, R., & Hasan, I. (2015). Corporate social responsibility, stakeholder risk, and idiosyncratic volatility. Journal of Corporate Finance, 35, 297-309.Bénabou, R., & Tirole, J. (2010). Individual and corporate social responsibility. Economica, 77(305), 1-19.Brennan, M. J., Jegadeesh, N., & Swaminathan, B. (1993). Investment analysis and the adjustment of stock prices to common information. The Review of Financial Studies, 6(4), 799-824.Breuer, W., Müller, T., Rosenbach, D., & Salzmann, A. (2018). Corporate social responsibility, investor protection, and cost of equity: A cross-country comparison. Journal of Banking & Finance, 96, 34-55.Claus, J., & Thomas, J. (2001). Equity premia as low as three percent? Evidence from analysts` earnings forecasts for domestic and international stock markets. The Journal of Finance, 56(5), 1629-1666.Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35(1), 1-23.Dhaliwal, D. S., Li, O. Z., Tsang, A., & Yang, Y. G. (2011). Voluntary nonfinancial disclosure and the cost of equity capital: The initiation of corporate social responsibility reporting. The Accounting Review, 86(1), 59-100.Dhaliwal, D. S., Li, O. Z., Tsang, A., & Yang, Y. G. (2014). Corporate social responsibility disclosure and the cost of equity capital: The roles of stakeholder orientation and financial transparency. Journal of Accounting and Public Policy, 33(4), 328-355.Easton, P. D. (2004). PE ratios, PEG ratios, and estimating the implied expected rate of return on equity capital. The Accounting Review, 79(1), 73-95.El Ghoul, S., Guedhami, O., Kwok, C. C., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital. Journal of Banking & Finance, 35(9), 2388-2406.Fatemi, A., Glaum, M., & Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global Finance Journal, 38, 45-64.Feng, Z. Y., Wang, M. L., & Huang, H. W. (2015). Equity financing and social responsibility: Further international evidence. The International Journal of Accounting, 50(3), 247-280.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(4), 210-233.Gebhardt, W. R., Lee, C. M., & Swaminathan, B. (2001). Toward an implied cost of capital. Journal of Accounting Research, 39(1), 135-176.Harris, R. S., & Marston, F. C. (1992). Estimating shareholder risk premia using analysts` growth forecasts. Financial Management, 21(2), 63-70.Heinkel, R., Kraus, A., & Zechner, J. (2001). The effect of green investment on corporate behavior. Journal of Financial and Quantitative Analysis, 36(4), 431-449.Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019). Integrating ESG in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81.Jiménez, R. G., & Grima, A. Z. (2020). Corporate social responsibility and cost of equity: Literature review and suggestions for future research. Journal of Business, Accounting and Finance Perspectives, 2(3), 15.Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: First evidence on materiality. The Accounting Review, 91(6), 1697-1724.La Porta, R. (1996). Expectations and the cross‐section of stock returns. The Journal of Finance, 51(5), 1715-1742.Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social capital, trust, and firm performance: The value of corporate social responsibility during the financial crisis. The Journal of Finance, 72(4), 1785-1824.Modigliani, F., & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3), 261-297.Ng, A. C., & Rezaee, Z. (2015). Business sustainability performance and cost of equity capital. Journal of Corporate Finance, 34, 128-149.Ohlson, J. A., & Juettner-Nauroth, B. E. (2005). Expected EPS and EPS growth as determinants of value. Review of Accounting Studies, 10(2), 349-365.Reverte, C. (2012). The impact of better corporate social responsibility disclosure on the cost of equity capital. Corporate Social Responsibility and Environmental Management, 19(5), 253-272.Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.Stellner, C., Klein, C., & Zwergel, B. (2015). Corporate social responsibility and Eurozone corporate bonds: The moderating role of country sustainability. Journal of Banking & Finance, 59, 538-549.Weber, J. L. (2018). Corporate social responsibility disclosure level, external assurance and cost of equity capital. Journal of Financial Reporting and Accounting, 16(4), 694-724. 描述 碩士
國立政治大學
財務管理學系
109357002資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109357002 資料類型 thesis dc.contributor.advisor 陳鴻毅 zh_TW dc.contributor.advisor Chen, Hong-Yi en_US dc.contributor.author (作者) 張瑄圃 zh_TW dc.contributor.author (作者) Chang, Hsuan-Pu en_US dc.creator (作者) 張瑄圃 zh_TW dc.creator (作者) Chang, Hsuan-Pu en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-七月-2022 16:06:16 (UTC+8) - dc.date.available 1-七月-2022 16:06:16 (UTC+8) - dc.date.issued (上傳時間) 1-七月-2022 16:06:16 (UTC+8) - dc.identifier (其他 識別碼) G0109357002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140584 - 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) 109357002 zh_TW dc.description.abstract (摘要) 公司的永續發展中，重大性議題是對公司營運具有顯著影響力的環境、社會、公司治理等特定永續議題。本研究旨在探討公司於重大性議題上的永續績效和自身的股權資金成本間是否存在特定關係，並進一步檢視對於不同永續績效水平以及不同股權資金成本水平的公司而言，此特定關係是否皆穩定存在。本研究將Bloomberg的揭露細項分別對應至永續會計準則委員會（SASB）對各產業所提出的重大性議題，以衡量公司在重大性議題上的永續績效。本研究採用會計基礎的估計模型和資本資產定價模型（CAPM）估計公司的股權資金成本。實證結果顯示在重大性議題上表現愈好的公司隔年有愈低的股權資金成本。透過分段迴歸進一步發現，僅有在該公司股權資金成本較高或永續績效較佳時，重大性議題的永續績效對不同模型估計的股權資金成本才有一致的負面效果。根據此實證結果，本研究建議股權資金成本較高的公司可以將永續行動聚焦於自身的重大性議題，亦鼓勵已有卓越永續表現的公司進一步發展完善的重大性議題框架，在有效配置資源的同時也有助於降低公司的股權資金成本。 zh_TW dc.description.abstract (摘要) Sustainable materiality refers to the specific ESG (environment, social, and corporate governance) issues relevant and influential on firms’ business operations. This study tries to investigate the relationship between firms’ material ESG performance and their cost of equity; and further examines the consistency of this relationship on different ESG performance or cost of equity levels. For material ESG performance, this study maps the Bloomberg disclosure items to the material ESG issues based on the widely used SASB (Sustainability Accounting Standards Board) standards. This study applies the ex-ante Easton model and the ex-post CAPM (Capital Asset Pricing Model) model to estimate the cost of equity. Empirical results show that firms with better performance on material ESG issues have a lower cost of equity in the subsequent year. In addition, the negative relationship is only consistently significant for firms with a higher cost of equity or leading ESG performance. In summary, this study suggests high-cost firms put more efforts on their material ESG issues; and encourages well-performed firms to continue developing better materiality frameworks. Firms can, therefore, obtain lower costs of equity by allocating resources effectively. en_US dc.description.tableofcontents List of Tables -1List of Figures -21. Introduction -32. Literature Review -62.1 Corporate Social Responsibility and Corporate Finance -62.2 Relationship Between ESG and Cost of Equity -72.3 Relationship Between SASB-based Material Sustainable Issues and the Cost of Equity -92.4 Research Questions -103. Data and Methodology -123.1 Corporate Social Responsibility -123.2 Cost of Equity -173.3 Control Variables -194. Empirical Results -214.1 Univariate Analysis -214.2 Multivariate Regression Analysis -214.3 Multivariate Regression Analysis on Different Levels of Corporate Social Responsibility -234.4 Multivariate Regression Analysis on Different Levels of Cost of Equity -255. Conclusion -275.1 Conclusion and Summary -275.2 Limitations and Further Research -27References -30 zh_TW dc.format.extent 2783915 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109357002 en_US dc.subject (關鍵詞) 企業社會責任 zh_TW dc.subject (關鍵詞) ESG zh_TW dc.subject (關鍵詞) 重大性議題 zh_TW dc.subject (關鍵詞) SASB zh_TW dc.subject (關鍵詞) 股權資金成本 zh_TW dc.subject (關鍵詞) Corporate Social Responsibility en_US dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) Sustainable Materiality en_US dc.subject (關鍵詞) SASB en_US dc.subject (關鍵詞) Cost of Equity en_US dc.title (題名) SASB準則下ESG重大性議題對股權資金成本之影響 zh_TW dc.title (題名) The Impact of SASB-based Material ESG Issues on the Cost of Equity en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Barth, M. E., Elliott, J. A., & Finn, M. W. (1999). Market rewards associated with patterns of increasing earnings. Journal of Accounting Research, 37(2), 387-413.Becchetti, L., Ciciretti, R., & Hasan, I. (2015). Corporate social responsibility, stakeholder risk, and idiosyncratic volatility. Journal of Corporate Finance, 35, 297-309.Bénabou, R., & Tirole, J. (2010). Individual and corporate social responsibility. Economica, 77(305), 1-19.Brennan, M. J., Jegadeesh, N., & Swaminathan, B. (1993). Investment analysis and the adjustment of stock prices to common information. The Review of Financial Studies, 6(4), 799-824.Breuer, W., Müller, T., Rosenbach, D., & Salzmann, A. (2018). Corporate social responsibility, investor protection, and cost of equity: A cross-country comparison. Journal of Banking & Finance, 96, 34-55.Claus, J., & Thomas, J. (2001). Equity premia as low as three percent? Evidence from analysts` earnings forecasts for domestic and international stock markets. The Journal of Finance, 56(5), 1629-1666.Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35(1), 1-23.Dhaliwal, D. S., Li, O. Z., Tsang, A., & Yang, Y. G. (2011). Voluntary nonfinancial disclosure and the cost of equity capital: The initiation of corporate social responsibility reporting. The Accounting Review, 86(1), 59-100.Dhaliwal, D. S., Li, O. Z., Tsang, A., & Yang, Y. G. (2014). Corporate social responsibility disclosure and the cost of equity capital: The roles of stakeholder orientation and financial transparency. Journal of Accounting and Public Policy, 33(4), 328-355.Easton, P. D. (2004). PE ratios, PEG ratios, and estimating the implied expected rate of return on equity capital. The Accounting Review, 79(1), 73-95.El Ghoul, S., Guedhami, O., Kwok, C. C., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital. Journal of Banking & Finance, 35(9), 2388-2406.Fatemi, A., Glaum, M., & Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global Finance Journal, 38, 45-64.Feng, Z. Y., Wang, M. L., & Huang, H. W. (2015). Equity financing and social responsibility: Further international evidence. The International Journal of Accounting, 50(3), 247-280.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(4), 210-233.Gebhardt, W. R., Lee, C. M., & Swaminathan, B. (2001). Toward an implied cost of capital. Journal of Accounting Research, 39(1), 135-176.Harris, R. S., & Marston, F. C. (1992). Estimating shareholder risk premia using analysts` growth forecasts. Financial Management, 21(2), 63-70.Heinkel, R., Kraus, A., & Zechner, J. (2001). The effect of green investment on corporate behavior. Journal of Financial and Quantitative Analysis, 36(4), 431-449.Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019). Integrating ESG in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81.Jiménez, R. G., & Grima, A. Z. (2020). Corporate social responsibility and cost of equity: Literature review and suggestions for future research. Journal of Business, Accounting and Finance Perspectives, 2(3), 15.Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: First evidence on materiality. The Accounting Review, 91(6), 1697-1724.La Porta, R. (1996). Expectations and the cross‐section of stock returns. The Journal of Finance, 51(5), 1715-1742.Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social capital, trust, and firm performance: The value of corporate social responsibility during the financial crisis. The Journal of Finance, 72(4), 1785-1824.Modigliani, F., & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3), 261-297.Ng, A. C., & Rezaee, Z. (2015). Business sustainability performance and cost of equity capital. Journal of Corporate Finance, 34, 128-149.Ohlson, J. A., & Juettner-Nauroth, B. E. (2005). Expected EPS and EPS growth as determinants of value. Review of Accounting Studies, 10(2), 349-365.Reverte, C. (2012). The impact of better corporate social responsibility disclosure on the cost of equity capital. Corporate Social Responsibility and Environmental Management, 19(5), 253-272.Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.Stellner, C., Klein, C., & Zwergel, B. (2015). Corporate social responsibility and Eurozone corporate bonds: The moderating role of country sustainability. Journal of Banking & Finance, 59, 538-549.Weber, J. L. (2018). Corporate social responsibility disclosure level, external assurance and cost of equity capital. Journal of Financial Reporting and Accounting, 16(4), 694-724. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200657 en_US
