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題名 國際產業分類下SASB評分機制對企業財務及風險表現的研究—以台灣企業為例
A Study on the Financial and Risk Performance of the SASB Rating System under the International Industry Classification —A Case Study of Taiwan Enterprises
作者 林慧
HUI, LIN
貢獻者 楊曉文
Yang, Xiao-Wen
林慧
LIN HUI
關鍵詞 企業社會責任
ESG
SASB
重大性議題
財務績效
股價績效
產業分類標準
CSR
ESG
SASB
Material issues
Financial performance
Stock performance
Industry classification
日期 2022
上傳時間 5-Oct-2022 09:19:33 (UTC+8)
摘要 隨著企業、投資人對企業社會責任、ESG的重視，越來越多永續相關的資訊得以揭露，然而過去對企業社會責任、ESG與財務、風險表現相關的系列研究發現，其結果不具有一致性。結果差異大的原因可能是未區分公司的重大性議題造成的經營關聯性低。SASB的出現解決了大家對哪些ESG揭露項目是重要的疑問，由於不同產業的重大性議題各不相同，公司的產業分類顯得尤其重要。因此本文延續前人研究，以2012至2019年台灣市場具備Bloomberg ESG揭露分數與揭露細項的台灣上市櫃公司為樣本，依據SASB專有的SICS產業分類方法，將Bloomberg資料庫中的ESG項目對照到SASB準則，構建出一個SASB重大性永續信息分數。本研究將分別探討Bloomberg資料庫ESG揭露分數與SASB重大性議題分數與財務與股價績效的關係，並對不同產業分類下的結果進行比較。
結果顯示，ESG揭露分數對提高部分公司財務、股價績效有積極影響，而SASB分數則可以進一步擴大對公司財務、股價績效指標的積極影響，並進一步提高檢定結果的信賴度。另外，對比結果發現產業分類方式的不同也會導致不同的結果, 選用SICS分類方式有效的降低人工對照過程中產生的主觀性影響，對比TEJ產業分類方式也擴大了對財務、股價績效指標的影響範圍。
As companies and investors place greater emphasis on CSR and ESG, more and more sustainability-related information is being disclosed. However, a series of previous studies of CSR, ESG on financial and risk performance have found inconsistent results. The emergence of SASB has addressed the concern about which ESG disclosures are important, and the importance of industry classification is particularly important because the materiality issues vary by industry. Therefore, this paper continues the previous research by using the Bloomberg ESG disclosures of companies in the Taiwan market from 2012 to 2019 as a sample, and constructing a materiality score based on SICS industry classification method by comparing ESG items in the Bloomberg database to SASB criteria. This study examines the relationship between Bloomberg`s ESG disclosure score, SASB score and financial and stock performance. We also compare the results under different industry classifications.
The results show that ESG disclosure scores have a positive impact on the financial and stock price performance of some companies, while SASB scores can further expand the positive impact on the financial and stock performance indicators and further improve the reliability of the test results. In addition, the results of the comparison show that the different industrial classification methods also lead to different results. The SICS classification method effectively reduces the subjective influence of the manual comparison process, compared with TEJ industrial classification, it also has the effect of expanding the range of financial and stock performance indicators.
參考文獻 1. Broadstock, D. C., Chan, K., Cheng, L. T., & Wang, X. (2021), The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance research letters, 38, 101716.
2. Benlemlih, M., Shaukat, A., Qiu, Y., Trojanowski, G., (2018), Environmental and Social Disclosures and Firm Risk. Journal of Business Ethics, 152, 613–626.
3. Bragdon, Joseph H., Jr. , & John A. T. Marlin (1972), Is pollution profitable? , Risk Management, 19, 9-18.
4. Buchanan, B., Cao, C.X., Chen, C., (2018), Corporate Social Responsibility, Firm Value, and Influential Institutional Ownership, Journal of Corporate Finance, 52, 73–95.
5. Capelle-Blancard, G., Crifo, P., Diaye, M. A., Oueghlissi, R., & Scholtens, B. (2019), Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries. Journal of Banking & Finance, 98, 156-169.
6. Consolandi, C., Eccles, R. G., Gabbi, G., (2020), How Material is a Material Issue? Stock returns and the Financial Relevance and Financial Intensity of ESG materiality, Journal of Sustainable Finance & Investment, 1-24.
7. Dash-Jr, G.H., Kajiji, N., (2014), Combinatorial Nonlinear Goal Programming for ESG Portfolio Optimization and Dynamic Hedge Management, Mathematical and Statistical Methods for Actuarial Sciences and Finance, 77-80.
8. Dyck, A., Lins, K. V., Roth, L., Wagner, H.F., (2019), Do Institutional Investors Drive Corporate Social Responsibility? International evidence, Journal of Financial Economics, 131, 693-714.
9. Eccles, R., Serafeim, G., (2013), The Performance Frontier: Innovating for a Sustainable Strategy, Harvard Business Review, 91, 50–60.
10. Friedman, M. (2007), The social responsibility of business is to increase its profits. In Corporate ethics and corporate governance (pp. 173-178). Springer, Berlin, Heidelberg.
11. Grewal, J., Hauptmann, C., & Serafeim, G. (2021), Material sustainability information and stock price informativeness. Journal of Business Ethics, 171(3), 513-544.
12. Hartzmark, S., Sussman, A. B., (2019), Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows, The Journal of Finance, 64, 2789-2837.
13. Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019), Integrating ESG in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81.
14. Hillman, A. J., & Keim, G. D. (2001), Shareholder value, stakeholder management, and social issues: what`s the bottom line?. Strategic management journal, 22(2), 125-139.
15. Hoepner, A.G., Oikonomou, I., Sautner, Z., Starks, L.T., Zhou, X., (2019), ESG Shareholder Engagement and Downside Risk. working paper.
16. Hong, H., Kacperczyk, M., (2009), The Price of Sin: The Effects of Social Norms on Markets, Journal of Financial Economics, 93, 15-36.
17. Ilhan, E., Sautner, Z., Vilkov, G., (2019), Carbon Tail Risk, Working paper.
18. Jo, H., & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics,110(4), 441–457.
19. Khan, M., George, S., Aaron, Yoon., (2016), Corporate Sustainability: First Evidence on Materiality, Accounting Review, 91, 1697-1724.
20. Kim, Y., Li, H., Li, S., (2014), Corporate Social Responsibility and Stock Price Crash Risk, Journal of Banking & Finance, 43, 1-13.
21. Madison, N., & Schiehll, E. (2021), The effect of financial materiality on ESG performance assessment. Sustainability, 13(7), 3652.
22. Masulis, R.W., Reza, S.W., (2015), Agency Problems of Corporate Philanthropy. Review of Financial Studies, 28, 592–636.
23. McGuire, J. B., Sundgren, A., Schneeweis, T., (1988), Corporate Social Responsibility and Firm Financial Performance, Academy of Management Journal, 31, 854–872.
24. Pedersen, L. H., Fitzgibbons, S., Pomorski, L. (2021), Responsible Investing: The ESG-Efficient Frontier, Journal of Financial Economics, 142, 572-597.
25. Preston, L. E., & O`bannon, D. P. (1997), The corporate social-financial performance relationship: A typology and analysis. Business & Society, 36(4), 419-429.
26. Servaes, H., Tamayo, A., (2013), The Impact of Corporate Social Responsibility on Firm Value: The Role of Customer Awareness. Management Science, 59, 1045–1061.
27. Waddock, S.A., Graves, S.B., (1997), The Corporate Social Performance-Financial Performance Link, Strategic Management Journal, 18, 303–319.
28. Yang,S. S.,Huang,J.W.,Chen,H.Y.,(2022),The Financial and Stock Performance: A Study of Material ESG SASB Factors. Can Disclosure or Materiality ESG information affect the assessment of the ESG Performance on Return and Risk?, Working paper.
29. 沈中華, & 張元. (2008), 企業的社會責任為可以改善財務績效嗎?-以英國 FTSE 社會責任指數為例. 經濟論文, 36(3), 339-385.
30. 施凱珍. (2021), 採 SASB 準則下 ESG 重大性議題與財務績效之探討.
描述 碩士
國立政治大學
金融學系
109352033
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109352033
資料類型 thesis
dc.contributor.advisor 楊曉文zh_TW
dc.contributor.advisor Yang, Xiao-Wenen_US
dc.contributor.author (Authors) 林慧zh_TW
dc.contributor.author (Authors) LIN HUIen_US
dc.creator (作者) 林慧zh_TW
dc.creator (作者) HUI, LINen_US
dc.date (日期) 2022en_US
dc.date.accessioned 5-Oct-2022 09:19:33 (UTC+8)-
dc.date.available 5-Oct-2022 09:19:33 (UTC+8)-
dc.date.issued (上傳時間) 5-Oct-2022 09:19:33 (UTC+8)-
dc.identifier (Other Identifiers) G0109352033en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/142142-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 109352033zh_TW
dc.description.abstract (摘要) 隨著企業、投資人對企業社會責任、ESG的重視，越來越多永續相關的資訊得以揭露，然而過去對企業社會責任、ESG與財務、風險表現相關的系列研究發現，其結果不具有一致性。結果差異大的原因可能是未區分公司的重大性議題造成的經營關聯性低。SASB的出現解決了大家對哪些ESG揭露項目是重要的疑問，由於不同產業的重大性議題各不相同，公司的產業分類顯得尤其重要。因此本文延續前人研究，以2012至2019年台灣市場具備Bloomberg ESG揭露分數與揭露細項的台灣上市櫃公司為樣本，依據SASB專有的SICS產業分類方法，將Bloomberg資料庫中的ESG項目對照到SASB準則，構建出一個SASB重大性永續信息分數。本研究將分別探討Bloomberg資料庫ESG揭露分數與SASB重大性議題分數與財務與股價績效的關係，並對不同產業分類下的結果進行比較。
結果顯示，ESG揭露分數對提高部分公司財務、股價績效有積極影響，而SASB分數則可以進一步擴大對公司財務、股價績效指標的積極影響，並進一步提高檢定結果的信賴度。另外，對比結果發現產業分類方式的不同也會導致不同的結果, 選用SICS分類方式有效的降低人工對照過程中產生的主觀性影響，對比TEJ產業分類方式也擴大了對財務、股價績效指標的影響範圍。		zh_TW
dc.description.abstract (摘要) As companies and investors place greater emphasis on CSR and ESG, more and more sustainability-related information is being disclosed. However, a series of previous studies of CSR, ESG on financial and risk performance have found inconsistent results. The emergence of SASB has addressed the concern about which ESG disclosures are important, and the importance of industry classification is particularly important because the materiality issues vary by industry. Therefore, this paper continues the previous research by using the Bloomberg ESG disclosures of companies in the Taiwan market from 2012 to 2019 as a sample, and constructing a materiality score based on SICS industry classification method by comparing ESG items in the Bloomberg database to SASB criteria. This study examines the relationship between Bloomberg`s ESG disclosure score, SASB score and financial and stock performance. We also compare the results under different industry classifications.
The results show that ESG disclosure scores have a positive impact on the financial and stock price performance of some companies, while SASB scores can further expand the positive impact on the financial and stock performance indicators and further improve the reliability of the test results. In addition, the results of the comparison show that the different industrial classification methods also lead to different results. The SICS classification method effectively reduces the subjective influence of the manual comparison process, compared with TEJ industrial classification, it also has the effect of expanding the range of financial and stock performance indicators.		en_US
dc.description.tableofcontents 第一章 緒論 6
第一節 研究背景介紹 6
第二節 永續會計準則委員會（SASB）介紹 8
第二章 文獻綜述 12
第一節 企業社會責任與財務相關文獻 12
第二節 企業社會責任與公司風險相關文獻 14
第三節 SASB相關文獻 15
第三章 研究方法 17
第一節 樣本資料 17
第二節 變數解釋 18
第三節 實証模型 24
第四章 實證結果： 25
第一節 敘述統計 25
第二節 相關係數 27
第三節 實證結果 29
第五章 結論 33
參考文獻： 35		zh_TW
dc.format.extent 1693214 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109352033en_US
dc.subject (關鍵詞) 企業社會責任zh_TW
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) 財務績效zh_TW
dc.subject (關鍵詞) 股價績效zh_TW
dc.subject (關鍵詞) 產業分類標準zh_TW
dc.subject (關鍵詞) CSRen_US
dc.subject (關鍵詞) ESGen_US
dc.subject (關鍵詞) SASBen_US
dc.subject (關鍵詞) Material issuesen_US
dc.subject (關鍵詞) Financial performanceen_US
dc.subject (關鍵詞) Stock performanceen_US
dc.subject (關鍵詞) Industry classificationen_US
dc.title (題名) 國際產業分類下SASB評分機制對企業財務及風險表現的研究—以台灣企業為例zh_TW
dc.title (題名) A Study on the Financial and Risk Performance of the SASB Rating System under the International Industry Classification —A Case Study of Taiwan Enterprisesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. Broadstock, D. C., Chan, K., Cheng, L. T., & Wang, X. (2021), The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance research letters, 38, 101716.
2. Benlemlih, M., Shaukat, A., Qiu, Y., Trojanowski, G., (2018), Environmental and Social Disclosures and Firm Risk. Journal of Business Ethics, 152, 613–626.
3. Bragdon, Joseph H., Jr. , & John A. T. Marlin (1972), Is pollution profitable? , Risk Management, 19, 9-18.
4. Buchanan, B., Cao, C.X., Chen, C., (2018), Corporate Social Responsibility, Firm Value, and Influential Institutional Ownership, Journal of Corporate Finance, 52, 73–95.
5. Capelle-Blancard, G., Crifo, P., Diaye, M. A., Oueghlissi, R., & Scholtens, B. (2019), Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries. Journal of Banking & Finance, 98, 156-169.
6. Consolandi, C., Eccles, R. G., Gabbi, G., (2020), How Material is a Material Issue? Stock returns and the Financial Relevance and Financial Intensity of ESG materiality, Journal of Sustainable Finance & Investment, 1-24.
7. Dash-Jr, G.H., Kajiji, N., (2014), Combinatorial Nonlinear Goal Programming for ESG Portfolio Optimization and Dynamic Hedge Management, Mathematical and Statistical Methods for Actuarial Sciences and Finance, 77-80.
8. Dyck, A., Lins, K. V., Roth, L., Wagner, H.F., (2019), Do Institutional Investors Drive Corporate Social Responsibility? International evidence, Journal of Financial Economics, 131, 693-714.
9. Eccles, R., Serafeim, G., (2013), The Performance Frontier: Innovating for a Sustainable Strategy, Harvard Business Review, 91, 50–60.
10. Friedman, M. (2007), The social responsibility of business is to increase its profits. In Corporate ethics and corporate governance (pp. 173-178). Springer, Berlin, Heidelberg.
11. Grewal, J., Hauptmann, C., & Serafeim, G. (2021), Material sustainability information and stock price informativeness. Journal of Business Ethics, 171(3), 513-544.
12. Hartzmark, S., Sussman, A. B., (2019), Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows, The Journal of Finance, 64, 2789-2837.
13. Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019), Integrating ESG in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81.
14. Hillman, A. J., & Keim, G. D. (2001), Shareholder value, stakeholder management, and social issues: what`s the bottom line?. Strategic management journal, 22(2), 125-139.
15. Hoepner, A.G., Oikonomou, I., Sautner, Z., Starks, L.T., Zhou, X., (2019), ESG Shareholder Engagement and Downside Risk. working paper.
16. Hong, H., Kacperczyk, M., (2009), The Price of Sin: The Effects of Social Norms on Markets, Journal of Financial Economics, 93, 15-36.
17. Ilhan, E., Sautner, Z., Vilkov, G., (2019), Carbon Tail Risk, Working paper.
18. Jo, H., & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics,110(4), 441–457.
19. Khan, M., George, S., Aaron, Yoon., (2016), Corporate Sustainability: First Evidence on Materiality, Accounting Review, 91, 1697-1724.
20. Kim, Y., Li, H., Li, S., (2014), Corporate Social Responsibility and Stock Price Crash Risk, Journal of Banking & Finance, 43, 1-13.
21. Madison, N., & Schiehll, E. (2021), The effect of financial materiality on ESG performance assessment. Sustainability, 13(7), 3652.
22. Masulis, R.W., Reza, S.W., (2015), Agency Problems of Corporate Philanthropy. Review of Financial Studies, 28, 592–636.
23. McGuire, J. B., Sundgren, A., Schneeweis, T., (1988), Corporate Social Responsibility and Firm Financial Performance, Academy of Management Journal, 31, 854–872.
24. Pedersen, L. H., Fitzgibbons, S., Pomorski, L. (2021), Responsible Investing: The ESG-Efficient Frontier, Journal of Financial Economics, 142, 572-597.
25. Preston, L. E., & O`bannon, D. P. (1997), The corporate social-financial performance relationship: A typology and analysis. Business & Society, 36(4), 419-429.
26. Servaes, H., Tamayo, A., (2013), The Impact of Corporate Social Responsibility on Firm Value: The Role of Customer Awareness. Management Science, 59, 1045–1061.
27. Waddock, S.A., Graves, S.B., (1997), The Corporate Social Performance-Financial Performance Link, Strategic Management Journal, 18, 303–319.
28. Yang,S. S.,Huang,J.W.,Chen,H.Y.,(2022),The Financial and Stock Performance: A Study of Material ESG SASB Factors. Can Disclosure or Materiality ESG information affect the assessment of the ESG Performance on Return and Risk?, Working paper.
29. 沈中華, & 張元. (2008), 企業的社會責任為可以改善財務績效嗎?-以英國 FTSE 社會責任指數為例. 經濟論文, 36(3), 339-385.
30. 施凱珍. (2021), 採 SASB 準則下 ESG 重大性議題與財務績效之探討.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202201516en_US