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題名 SASB準則下ESG重大性議題與公司風險之關係
An Analysis of SASB ESG Materiality and Firm Risks
作者 游珮姿
Yu, Pei-Tzu
貢獻者 陳鴻毅
Chen, Hong-Yi
游珮姿
Yu, Pei-Tzu
關鍵詞 ESG
SASB
重大性議題
公司風險
特有風險
股價崩跌風險
財務限制
ESG
SASB
Materiality
Firm risk
Idiosyncratic risk
Stock price crash risk
Financial constraint
日期 2022
上傳時間 1-Jul-2022 16:07:33 (UTC+8)
摘要 本研究旨在探討企業於環境、社會及公司治理(ESG)之表現與公司風險之關係。本研究以兩指標來衡量企業ESG表現，第一為取自Bloomberg資料庫之ESG揭露分數，第二為使用Bloomberg原始ESG項目資料，並依據永續會計準則委員會(SASB)所辨識出之ESG重大性議題重新計算而成之SASB分數；公司風險則以公司特有風險、股價崩跌風險以及財務限制指數來衡量。實證結果發現以兩種分數衡量之ESG表現皆與公司特有風險及財務限制指數呈顯著負相關。若將樣本進一步以風險高低程度分組，各組樣本之ESG表現與公司特有風險、財務限制指數也存在顯著的負相關。此外，在金融危機期間，ESG揭露分數較高的公司有較低的特有風險，而SASB分數較高的公司則有較低的特有風險及股價崩跌風險。本研究之實證結果建議公司應優先專注於自身產業內的重大性議題，方能以有效率且節省成本的方式減少公司特有風險及財務限制，亦能於金融危機期間降低股價崩盤的可能性。
This study investigates the association between ESG performance and firm risks. To evaluate ESG performance of a firm, this study applies ESG disclosure score from Bloomberg database and the score constructed based on material ESG issues identified by Sustainability Accounting Standards Board (SASB). In terms of firm risks, this study includes idiosyncratic risk, stock price crash risk, and financial constraints. Empirical results show that ESG performance of a firm, in terms of ESG disclosure score and SASB Score, is significantly and negatively related to idiosyncratic risk and financial constraints of the firm. In addition, the negative association between ESG performance and firm risks exists in both high-risk firms and low-risk firms. Moreover, during crisis period, the better ESG performance can deliver lower idiosyncratic risk, while only firms engaging in material ESG issues can have lower stock price crash risk. Overall, this study confirms the importance of SASB Score in determining firm risks. This study suggests that firms can reduce both idiosyncratic risk and financial constraints in a more efficient and cost-saving way if they put more efforts on their corresponding material ESG issues.
參考文獻 Albuquerque, R., Koskinen, Y., & Zhang, C. (2018). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science, 65(10), 1-19.
Benlemlih, M., Amama, S., Qiu, Y., & Trojanowski, G. (2018). Environmental and social disclosures and firm risk. Journal of Business Ethics, 152(3), 613-626.
Ben-Nasra, H., & Ghouma, H. (2018). Employee welfare and stock price crash risk. Journal of Corporate Finance, 48, 700-725.
Boffo, R., & Patalan, R. (2020). ESG Investing: Practices, Progress and Challenges. OECD Paris. Retrieved from https://www.oecd.org/finance/ESG-Investing-Practices-Progress-Challenges.pdf
Bouslah, K., Kryzanowski, L., & M’Zali, B. (2018). Social performance and firm risk: Impact of the financial crisis. Journal of Business Ethics, 149(3), 643-669.
Chan, C. Y., Chou, D. W., & Lo, H. C. (2017). Do financial constraints matter when firms engage in CSR? The North American Journal of Economics and Finance, 39, 241-259.
Chang, C. H., Chen, S. S., Chen, Y. S., & Peng, S. C. (2019). Commitment to build trust by socially responsible firms: Evidence from cash holdings. Journal of Corporate Finance, 56, 364-387.
Chava, S. (2014). Environmental externalities and cost of capital. Management science, 60(9), 2223-2247.
Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35(1), 1-23.
Eccles, R. G., & Klimenko, S. (2019). The investor revolution. Harvard Business Review, 97(3), 106-116.
El Ghoul, S., Guedhami, O., Kwok, C. C. Y., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35(9), 2388-2406.
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.
Godfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. Academy of Management Review, 30(4), 777-798.
Goss, A., & Roberts, G. (2011). The impact of corporate social responsibility on the cost of bank loan. Journal of Banking & Finance, 35(7), 1794-1810.
Governance & Accountability Institute. (2020). Flash report S&P 500: A study on the sustainability reporting practices of S&P 500 index companies. Retrieved from https://www.ga-institute.com/flash-report.html
Hadlock, C. J., & Pierce, J. R. (2010). New evidence on measuring financial constraints: Moving beyond the KZ index. The Review of Financial Studies, 23(5), 1909-1940.
Hemingway, C. A., & Maclagan, P. W. (2004). Managers` personal values as drivers of corporate social responsibility. Journal of Business Ethics, 50(1), 33-44.
Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019). Integrating ESG in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81.
Hoepner, A. G., Oikonomou, I., Sautner, Z., Starks, L. T., & Zhou, X. (2020). ESG shareholder engagement and downside risk. European Corporate Governance Institute - Finance Working Paper No. 671/2020.
Hong, H., Kubik, J. D., & Scheinkman, J. A. (2012). Financial constraints on corporate goodness (No. w18476). National Bureau of Economic Research.
Kaplan, S. N., & Zingales, L. (1997). Do investment-cash flow sensitivities provide useful measures of financing constraints? The Quarterly Journal of Economics, 112(1), 169-215.
Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: First evidence on materiality. The Accounting Review, 91(6), 1697-1724.
Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.
Lee, D. D., & Faff, R. W. (2009). Corporate sustainability performance and idiosyncratic risk: A global perspective. Financial Review, 44(2), 213-237.
Madison, N., & Schiehll, E. (2021). The effect of financial materiality on ESG performance assessment. Sustainability, 13(7), 3652.
Schiehll, E., & Kolahgar, S. (2021). Financial materiality in the informativeness of sustainability reporting. Business Strategy and the Environment, 30(2), 840-855.
Whited, T. M., & 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
109357018
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109357018
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong-Yien_US
dc.contributor.author (Authors) 游珮姿zh_TW
dc.contributor.author (Authors) Yu, Pei-Tzuen_US
dc.creator (作者) 游珮姿zh_TW
dc.creator (作者) Yu, Pei-Tzuen_US
dc.date (日期) 2022en_US
dc.date.accessioned 1-Jul-2022 16:07:33 (UTC+8)-
dc.date.available 1-Jul-2022 16:07:33 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2022 16:07:33 (UTC+8)-
dc.identifier (Other Identifiers) G0109357018en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140590-
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) 109357018zh_TW
dc.description.abstract (摘要) 本研究旨在探討企業於環境、社會及公司治理(ESG)之表現與公司風險之關係。本研究以兩指標來衡量企業ESG表現，第一為取自Bloomberg資料庫之ESG揭露分數，第二為使用Bloomberg原始ESG項目資料，並依據永續會計準則委員會(SASB)所辨識出之ESG重大性議題重新計算而成之SASB分數；公司風險則以公司特有風險、股價崩跌風險以及財務限制指數來衡量。實證結果發現以兩種分數衡量之ESG表現皆與公司特有風險及財務限制指數呈顯著負相關。若將樣本進一步以風險高低程度分組，各組樣本之ESG表現與公司特有風險、財務限制指數也存在顯著的負相關。此外，在金融危機期間，ESG揭露分數較高的公司有較低的特有風險，而SASB分數較高的公司則有較低的特有風險及股價崩跌風險。本研究之實證結果建議公司應優先專注於自身產業內的重大性議題，方能以有效率且節省成本的方式減少公司特有風險及財務限制，亦能於金融危機期間降低股價崩盤的可能性。zh_TW
dc.description.abstract (摘要) This study investigates the association between ESG performance and firm risks. To evaluate ESG performance of a firm, this study applies ESG disclosure score from Bloomberg database and the score constructed based on material ESG issues identified by Sustainability Accounting Standards Board (SASB). In terms of firm risks, this study includes idiosyncratic risk, stock price crash risk, and financial constraints. Empirical results show that ESG performance of a firm, in terms of ESG disclosure score and SASB Score, is significantly and negatively related to idiosyncratic risk and financial constraints of the firm. In addition, the negative association between ESG performance and firm risks exists in both high-risk firms and low-risk firms. Moreover, during crisis period, the better ESG performance can deliver lower idiosyncratic risk, while only firms engaging in material ESG issues can have lower stock price crash risk. Overall, this study confirms the importance of SASB Score in determining firm risks. This study suggests that firms can reduce both idiosyncratic risk and financial constraints in a more efficient and cost-saving way if they put more efforts on their corresponding material ESG issues.en_US
dc.description.tableofcontents List of Tables v
1. Introduction 1
2. Literature Review and Research Questions 5
2.1 ESG and Financial Risk 5
2.2 ESG and Stock Price Crash Risk 6
2.3 ESG and Financial Constraints 6
2.4 SASB Related Research 7
2.5 Research Questions 8
3. Data and Methodology 9
3.1 Sample 9
3.2 Variables 9
3.3 Models 15
4. Empirical Results 18
4.1 Descriptive Statistics 18
4.2 The Effect of Bloomberg ESG Disclosure Score on Firm Risks 19
4.3 The Effect of SASB Score on Firm Risks 20
4.4 The Incremental Effect of SASB Score on Firm Risks 21
4.5 The Relation between ESG Performance and Firm Risks among Different Risk Groups 22
4.6 The Relation between ESG Performance and Firm Risks under Different Economic Conditions 24
5. Conclusion 26
5.1 Conclusion and Implications 26
5.2 Limitations and Future Research 28
References 29		zh_TW
dc.format.extent 1436930 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109357018en_US
dc.subject (關鍵詞) ESGzh_TW
dc.subject (關鍵詞) SASBzh_TW
dc.subject (關鍵詞) 重大性議題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) 股價崩跌風險zh_TW
dc.subject (關鍵詞) 財務限制zh_TW
dc.subject (關鍵詞) ESGen_US
dc.subject (關鍵詞) SASBen_US
dc.subject (關鍵詞) Materialityen_US
dc.subject (關鍵詞) Firm risken_US
dc.subject (關鍵詞) Idiosyncratic risken_US
dc.subject (關鍵詞) Stock price crash risken_US
dc.subject (關鍵詞) Financial constrainten_US
dc.title (題名) SASB準則下ESG重大性議題與公司風險之關係zh_TW
dc.title (題名) An Analysis of SASB ESG Materiality and Firm Risksen_US
dc.type (資料類型) thesisen_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, 65(10), 1-19.
Benlemlih, M., Amama, S., Qiu, Y., & Trojanowski, G. (2018). Environmental and social disclosures and firm risk. Journal of Business Ethics, 152(3), 613-626.
Ben-Nasra, H., & Ghouma, H. (2018). Employee welfare and stock price crash risk. Journal of Corporate Finance, 48, 700-725.
Boffo, R., & Patalan, R. (2020). ESG Investing: Practices, Progress and Challenges. OECD Paris. Retrieved from https://www.oecd.org/finance/ESG-Investing-Practices-Progress-Challenges.pdf
Bouslah, K., Kryzanowski, L., & M’Zali, B. (2018). Social performance and firm risk: Impact of the financial crisis. Journal of Business Ethics, 149(3), 643-669.
Chan, C. Y., Chou, D. W., & Lo, H. C. (2017). Do financial constraints matter when firms engage in CSR? The North American Journal of Economics and Finance, 39, 241-259.
Chang, C. H., Chen, S. S., Chen, Y. S., & Peng, S. C. (2019). Commitment to build trust by socially responsible firms: Evidence from cash holdings. Journal of Corporate Finance, 56, 364-387.
Chava, S. (2014). Environmental externalities and cost of capital. Management science, 60(9), 2223-2247.
Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35(1), 1-23.
Eccles, R. G., & Klimenko, S. (2019). The investor revolution. Harvard Business Review, 97(3), 106-116.
El Ghoul, S., Guedhami, O., Kwok, C. C. Y., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35(9), 2388-2406.
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.
Godfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. Academy of Management Review, 30(4), 777-798.
Goss, A., & Roberts, G. (2011). The impact of corporate social responsibility on the cost of bank loan. Journal of Banking & Finance, 35(7), 1794-1810.
Governance & Accountability Institute. (2020). Flash report S&P 500: A study on the sustainability reporting practices of S&P 500 index companies. Retrieved from https://www.ga-institute.com/flash-report.html
Hadlock, C. J., & Pierce, J. R. (2010). New evidence on measuring financial constraints: Moving beyond the KZ index. The Review of Financial Studies, 23(5), 1909-1940.
Hemingway, C. A., & Maclagan, P. W. (2004). Managers` personal values as drivers of corporate social responsibility. Journal of Business Ethics, 50(1), 33-44.
Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019). Integrating ESG in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81.
Hoepner, A. G., Oikonomou, I., Sautner, Z., Starks, L. T., & Zhou, X. (2020). ESG shareholder engagement and downside risk. European Corporate Governance Institute - Finance Working Paper No. 671/2020.
Hong, H., Kubik, J. D., & Scheinkman, J. A. (2012). Financial constraints on corporate goodness (No. w18476). National Bureau of Economic Research.
Kaplan, S. N., & Zingales, L. (1997). Do investment-cash flow sensitivities provide useful measures of financing constraints? The Quarterly Journal of Economics, 112(1), 169-215.
Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: First evidence on materiality. The Accounting Review, 91(6), 1697-1724.
Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.
Lee, D. D., & Faff, R. W. (2009). Corporate sustainability performance and idiosyncratic risk: A global perspective. Financial Review, 44(2), 213-237.
Madison, N., & Schiehll, E. (2021). The effect of financial materiality on ESG performance assessment. Sustainability, 13(7), 3652.
Schiehll, E., & Kolahgar, S. (2021). Financial materiality in the informativeness of sustainability reporting. Business Strategy and the Environment, 30(2), 840-855.
Whited, T. M., & Wu, G. (2006). Financial constraints risk. The Review of Financial Studies, 19(2), 531-559.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202200597en_US