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題名 ESG揭露與公司股價之關聯性-以台灣上市櫃公司為例之實證研究
The relationship between ESG disclosure and firm stock prices: An empirical study of listed and OTC companies in Taiwan作者 張晨維
Chang, Chen-Wei貢獻者 詹凌菁
張晨維
Chang, Chen-Wei關鍵詞 ESG
SASB
公司股價
價值攸關性
ESG
SASB
Stock prices
Value relevance日期 2023 上傳時間 6-Jul-2023 16:49:04 (UTC+8) 摘要 ESG與投資結合已成為國內外資本市場的顯學，ESG可提供投資人額外的非財務資訊進行企業獲利與經營風險的分析，可降低企業與投資人之間的資訊不對稱問題，避免公司股價被過度低估。2023年起，金管會要求台灣上市櫃公司必須開始參考SASB準則編製永續報告書，目的是強化具財務重大性及投資決策攸關性之ESG揭露；國內永豐投顧亦推出SASB準則之ESG評等輔助投資人判斷公司價值。因此，本研究欲探討ESG評等與公司股價之關聯性，以及ESG評等對財務資訊價值攸關性之影響，並同時比較GRI準則與SASB準則的差異性，ESG評等區分為績效評等及揭露程度評等。本研究以2022年有出具2021年度永續報告書之台灣上市櫃公司作為研究對象。研究結果顯示，SASB準則之ESG績效評等與公司股價呈現顯著正相關，其餘呈現不顯著，無論是GRI準則或SASB準則，ESG評等不一定能夠顯著正面提升每股盈餘及每股淨值之價值攸關性。
The integration of Environmental, Social, and Governance (ESG) factors into investments has become a prominent practice in both domestic and international capital markets. ESG provides investors with additional non-financial information to analyze corporate profitability and operational risks, thus reducing information asymmetry between companies and investors and preventing the undervaluation of company stock prices. Starting from 2023, the Financial Supervisory Commission (FSC) in Taiwan requires listed companies to reference the Sustainability Accounting Standards Board (SASB) guidelines when preparing their sustainability reports. The objective is to enhance the disclosure of ESG factors that have financial significance and relevance to investment decision-making. In addition, SinoPac Inv.Service in Taiwan has introduced ESG ratings based on the SASB to assist investors in assessing company value. Therefore, this study aims to investigate the correlation between ESG ratings and company stock prices, as well as the impact of ESG ratings on the value relevance of financial information. Furthermore, a comparison between the Global Reporting Initiative (GRI) guidelines and the SASB has been conducted, and ESG ratings have been categorized into performance ratings and disclosure ratings.Using Taiwanese listed and OTC companies that published 2021 sustainability reports as research sample. The results reveal a significant positive correlation between SASB-based ESG performance ratings and company stock prices, while the remaining correlations are not significant. Whether based on the GRI or the SASB, ESG ratings may not necessarily significantly enhance the value relevance of EPS and book value.參考文獻 王茂昌，2015，環境資訊揭露具價值攸關性嗎?—以臺灣50 指數企業為例，東吳經濟商學學報，第89期: 35-60頁。吳幸蓁、廖蕙儀，2017，自願性揭露企業社會責任資訊之決定因素與其資訊後果，中山管理評論，第25卷第1期: 13-62頁。林文玲、傅鍾仁，2011，企業社會責任之揭露對會計資訊價值攸關性－以台灣資訊電子業上市公司為例，會計審計論叢，第12卷第1期，1-32頁。林秀鳳、鄭雅如、林秉孝、陳政彥，2013，自願性環保資訊揭露對公司價值之影響，東海管理評論，第15卷第1期，37-67頁。張祐慈、謝安軒、陳美惠、戚務君，2021，關鍵查核事項複雜度與股價崩跌風險，會計審計論叢，第11卷第1期，1-32頁。Aboud, A., and A. Diab. 2018. The impact of social, environmental and corporate governance disclosures on firm value: Evidence from Egypt. Journal of Accounting in Emerging Economies 8(4): 442-458.Albuquerque, R., Y. Koskinen, S. Yang, and C. Zhang. 2020. Resiliency of environmental and social stocks: An analysis of the exogenous covid-19 market crash. The Review of Corporate Finance Studies 9(3): 593-621.Bae, K., S. El Ghoul, Z. Gong, and O. Guedhami. 2021. Does CSR matter in times of crisis? Evidence from the covid-19 pandemic. Journal of Corporate Finance 67: 101876.Barth, M. E., M. B. Clement, G. Foster, and R. Kasznik. 1998. Brand values and capital market valuation. Review of Accounting Studies 3(1-2): 41-68.Bouslah, K., L. Kryzanowski, and B. M’Zali. 2018. Social performance and firm risk: Impact of the financial crisis. Journal of Business Ethics 149(3): 643-669.Chen, J., H. Hong, and J. C. Stein. 2001. Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics 61(3): 345-381.Cho, S. Y., C. Lee, and R. J. Pfeiffer. 2012. Corporate social responsibility performance and information asymmetry. Journal of Accounting and Public Policy 32(1): 71-83.Clarkson, P. M., X. Fang, Y. Li, and G. Richardson. 2013. The relevance of environmental disclosures: Are such disclosures incrementally informative? Journal of Accounting and Public Policy 32(5): 410-431.Collins, D.W., E. L. Maydew, and I. S. Weiss. 1997. Changes in the value relevance of earnings and book values over the past forty years. Journal of Accounting and Economics 24(1): 39-67.Cormier, D., and M. Magnan. 2007. The revisited contribution of environmental reporting to investors` valuation of a firm`s earnings: An international perspective. Ecological economics 62(3): 613-626.Cui, J., H. Jo, and H. Na. 2018. Does corporate social responsibility affect information asymmetry? Journal of Business Ethics 148(3): 549-572.De Klerk, M., and C. De Villiers. 2012. The value relevance of corporate responsibility reporting: South African evidence. Meditari Accountancy Research 20(1): 21-38.De Klerk, M., C. De Villiers, and C. van Staden. 2015. The influence of corporate social responsibility disclosure on share prices: Evidence from the United Kingdom. Pacific Accounting Review 27(2): 208-228.Demers, E., J. Hendrikse, P. Joos, and B. Lev. 2021. ESG did not immunize stocks during the covid-19 crisis, but investments in intangible assets did. Journal of Business Finance & Accounting 48(3-4): 433-462.Grewal, J., C. Hauptmann, and G. Serafeim. 2021. Material sustainability information and stock price informativeness. Journal of Business Ethics 171(3): 513-544.Hartzmark, S. M., and A. B. Sussman. 2019. Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows. Journal of Financial Economics 137(1): 271-290.Hassel, L., H. Nilsson, and S. Nyquist. 2005. The value relevance of environmental performance. European Accounting Review 14(1): 41-61.Healy, P. M., and K. G. Palepu. 2001. Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of Accounting and Economics 31(1): 405-440.Jones, J. J. 1991. Earnings management during import relief investigations. Journal of Accounting Research 29(2): 193-228.Khan, M., G. Serafeim, and A. Yoon. 2016. Corporate sustainability: First evidence on materiality. The Accounting review 91(6): 1697-1724.Kim, Y., H. Li, and S. Li. 2014. Corporate social responsibility and stock price crash risk. Journal of Banking & Finance 43(1): 1-13.Kirkerud, S., & Tran, K. T. 2019. Value relevance of ESG: Is ESG performance value relevant for stock prices in Europe? OsloMet - Oslo Metropolitan University.Lins, K. V., H. Servaes, and A. Tamayo. 2017. Social capital, trust, and firm performance: The value of corporate social responsibility during the financial crisis. The Journal of Finance 72(4): 1785-1823.Moneva, J., and B. Cuellar. 2009. The value relevance of financial and non-financial environmental reporting. Environmental & Resource Economics 44(3): 441-456.Nakajima, Y., and Y. Inaba. 2022. Stock market reactions to voluntary integrated reporting. Journal of Financial Reporting and Accounting 20(3/4): 516-541.Ohlson, J. A. 1995. Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research 11(2): 661-687.Patten, D. M. 2002. The relation between environmental performance and environmental disclosure: A research note. Accounting, organizations and society 27(8): 763-773.Raghunandan, A., and S. Rajgopal. 2022. Do ESG Funds Make Stakeholder-Friendly Investments? Review of Accounting Studies 27(3): 822-863.Reverte, C. 2016. Corporate social responsibility disclosure and market valuation: Evidence from Spanish listed firms. Review of Managerial Science 10(2): 411-435.Rezaee, Z., and L. Tuo. 2019. Are the quantity and quality of sustainability disclosures associated with the innate and discretionary earnings quality? Journal of business ethics 155(3): 763-786.Schadewitzl, H., and M. Niskala. 2010. Communication via responsibility reporting and its effect on firm value in Finland. Corporate Social Responsibility and Environmental Management 17(2): 96-106.Stewart, J., F. Geoff, L. Janice, and L. Sandra. 2007. An empirical examination of the market returns and financial performance of entities engaged in sustainability reporting. Australian Accounting Review 17(41): 78-87. 描述 碩士
國立政治大學
會計學系
110353010資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110353010 資料類型 thesis dc.contributor.advisor 詹凌菁 zh_TW dc.contributor.author (Authors) 張晨維 zh_TW dc.contributor.author (Authors) Chang, Chen-Wei en_US dc.creator (作者) 張晨維 zh_TW dc.creator (作者) Chang, Chen-Wei en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 16:49:04 (UTC+8) - dc.date.available 6-Jul-2023 16:49:04 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 16:49:04 (UTC+8) - dc.identifier (Other Identifiers) G0110353010 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145871 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 會計學系 zh_TW dc.description (描述) 110353010 zh_TW dc.description.abstract (摘要) ESG與投資結合已成為國內外資本市場的顯學，ESG可提供投資人額外的非財務資訊進行企業獲利與經營風險的分析，可降低企業與投資人之間的資訊不對稱問題，避免公司股價被過度低估。2023年起，金管會要求台灣上市櫃公司必須開始參考SASB準則編製永續報告書，目的是強化具財務重大性及投資決策攸關性之ESG揭露；國內永豐投顧亦推出SASB準則之ESG評等輔助投資人判斷公司價值。因此，本研究欲探討ESG評等與公司股價之關聯性，以及ESG評等對財務資訊價值攸關性之影響，並同時比較GRI準則與SASB準則的差異性，ESG評等區分為績效評等及揭露程度評等。本研究以2022年有出具2021年度永續報告書之台灣上市櫃公司作為研究對象。研究結果顯示，SASB準則之ESG績效評等與公司股價呈現顯著正相關，其餘呈現不顯著，無論是GRI準則或SASB準則，ESG評等不一定能夠顯著正面提升每股盈餘及每股淨值之價值攸關性。 zh_TW dc.description.abstract (摘要) The integration of Environmental, Social, and Governance (ESG) factors into investments has become a prominent practice in both domestic and international capital markets. ESG provides investors with additional non-financial information to analyze corporate profitability and operational risks, thus reducing information asymmetry between companies and investors and preventing the undervaluation of company stock prices. Starting from 2023, the Financial Supervisory Commission (FSC) in Taiwan requires listed companies to reference the Sustainability Accounting Standards Board (SASB) guidelines when preparing their sustainability reports. The objective is to enhance the disclosure of ESG factors that have financial significance and relevance to investment decision-making. In addition, SinoPac Inv.Service in Taiwan has introduced ESG ratings based on the SASB to assist investors in assessing company value. Therefore, this study aims to investigate the correlation between ESG ratings and company stock prices, as well as the impact of ESG ratings on the value relevance of financial information. Furthermore, a comparison between the Global Reporting Initiative (GRI) guidelines and the SASB has been conducted, and ESG ratings have been categorized into performance ratings and disclosure ratings.Using Taiwanese listed and OTC companies that published 2021 sustainability reports as research sample. The results reveal a significant positive correlation between SASB-based ESG performance ratings and company stock prices, while the remaining correlations are not significant. Whether based on the GRI or the SASB, ESG ratings may not necessarily significantly enhance the value relevance of EPS and book value. en_US dc.description.tableofcontents 目錄 i表目錄 ii圖目錄 ii壹、緒論 1一、研究動機與目的 1二、研究問題 4三、研究架構 7貳、文獻探討 9一、ESG與股價表現之相關文獻 9二、ESG與財務資訊之相關文獻 11三、SASB與股價之相關文獻 12參、研究方法 13一、研究假說 13二、實證模型與變數衡量 151. 被解釋變數 172. 解釋變數 17三、GRI準則之ESG評等衡量 191. TESG永續發展指標基本架構 192. GRI準則之ESG績效評等 193. GRI準則之ESG揭露程度評等 20四、SASB準則之ESG評等衡量 211. SASB準則之ESG績效評等 212. SASB準則之ESG揭露程度評等 22五、研究樣本 25肆、實證結果 28一、敘述性統計 28二、相關係數矩陣 33三、實證分析結果 35伍、研究結論、限制與建議 44一、研究結論 44二、研究限制 47三、研究建議 47陸、參考文獻 49 zh_TW dc.format.extent 1820681 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110353010 en_US dc.subject (關鍵詞) ESG zh_TW dc.subject (關鍵詞) SASB zh_TW dc.subject (關鍵詞) 公司股價 zh_TW dc.subject (關鍵詞) 價值攸關性 zh_TW dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) SASB en_US dc.subject (關鍵詞) Stock prices en_US dc.subject (關鍵詞) Value relevance en_US dc.title (題名) ESG揭露與公司股價之關聯性-以台灣上市櫃公司為例之實證研究 zh_TW dc.title (題名) The relationship between ESG disclosure and firm stock prices: An empirical study of listed and OTC companies in Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 王茂昌，2015，環境資訊揭露具價值攸關性嗎?—以臺灣50 指數企業為例，東吳經濟商學學報，第89期: 35-60頁。吳幸蓁、廖蕙儀，2017，自願性揭露企業社會責任資訊之決定因素與其資訊後果，中山管理評論，第25卷第1期: 13-62頁。林文玲、傅鍾仁，2011，企業社會責任之揭露對會計資訊價值攸關性－以台灣資訊電子業上市公司為例，會計審計論叢，第12卷第1期，1-32頁。林秀鳳、鄭雅如、林秉孝、陳政彥，2013，自願性環保資訊揭露對公司價值之影響，東海管理評論，第15卷第1期，37-67頁。張祐慈、謝安軒、陳美惠、戚務君，2021，關鍵查核事項複雜度與股價崩跌風險，會計審計論叢，第11卷第1期，1-32頁。Aboud, A., and A. Diab. 2018. The impact of social, environmental and corporate governance disclosures on firm value: Evidence from Egypt. Journal of Accounting in Emerging Economies 8(4): 442-458.Albuquerque, R., Y. Koskinen, S. Yang, and C. Zhang. 2020. Resiliency of environmental and social stocks: An analysis of the exogenous covid-19 market crash. The Review of Corporate Finance Studies 9(3): 593-621.Bae, K., S. El Ghoul, Z. Gong, and O. Guedhami. 2021. Does CSR matter in times of crisis? Evidence from the covid-19 pandemic. Journal of Corporate Finance 67: 101876.Barth, M. E., M. B. Clement, G. Foster, and R. Kasznik. 1998. Brand values and capital market valuation. Review of Accounting Studies 3(1-2): 41-68.Bouslah, K., L. Kryzanowski, and B. M’Zali. 2018. Social performance and firm risk: Impact of the financial crisis. Journal of Business Ethics 149(3): 643-669.Chen, J., H. Hong, and J. C. Stein. 2001. Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics 61(3): 345-381.Cho, S. Y., C. Lee, and R. J. Pfeiffer. 2012. Corporate social responsibility performance and information asymmetry. Journal of Accounting and Public Policy 32(1): 71-83.Clarkson, P. M., X. Fang, Y. Li, and G. Richardson. 2013. The relevance of environmental disclosures: Are such disclosures incrementally informative? Journal of Accounting and Public Policy 32(5): 410-431.Collins, D.W., E. L. Maydew, and I. S. Weiss. 1997. Changes in the value relevance of earnings and book values over the past forty years. Journal of Accounting and Economics 24(1): 39-67.Cormier, D., and M. Magnan. 2007. The revisited contribution of environmental reporting to investors` valuation of a firm`s earnings: An international perspective. Ecological economics 62(3): 613-626.Cui, J., H. Jo, and H. Na. 2018. Does corporate social responsibility affect information asymmetry? Journal of Business Ethics 148(3): 549-572.De Klerk, M., and C. De Villiers. 2012. The value relevance of corporate responsibility reporting: South African evidence. Meditari Accountancy Research 20(1): 21-38.De Klerk, M., C. De Villiers, and C. van Staden. 2015. The influence of corporate social responsibility disclosure on share prices: Evidence from the United Kingdom. Pacific Accounting Review 27(2): 208-228.Demers, E., J. Hendrikse, P. Joos, and B. Lev. 2021. ESG did not immunize stocks during the covid-19 crisis, but investments in intangible assets did. Journal of Business Finance & Accounting 48(3-4): 433-462.Grewal, J., C. Hauptmann, and G. Serafeim. 2021. Material sustainability information and stock price informativeness. Journal of Business Ethics 171(3): 513-544.Hartzmark, S. M., and A. B. Sussman. 2019. Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows. Journal of Financial Economics 137(1): 271-290.Hassel, L., H. Nilsson, and S. Nyquist. 2005. The value relevance of environmental performance. European Accounting Review 14(1): 41-61.Healy, P. M., and K. G. Palepu. 2001. Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of Accounting and Economics 31(1): 405-440.Jones, J. J. 1991. Earnings management during import relief investigations. Journal of Accounting Research 29(2): 193-228.Khan, M., G. Serafeim, and A. Yoon. 2016. Corporate sustainability: First evidence on materiality. The Accounting review 91(6): 1697-1724.Kim, Y., H. Li, and S. Li. 2014. Corporate social responsibility and stock price crash risk. Journal of Banking & Finance 43(1): 1-13.Kirkerud, S., & Tran, K. T. 2019. Value relevance of ESG: Is ESG performance value relevant for stock prices in Europe? OsloMet - Oslo Metropolitan University.Lins, K. V., H. Servaes, and A. Tamayo. 2017. Social capital, trust, and firm performance: The value of corporate social responsibility during the financial crisis. The Journal of Finance 72(4): 1785-1823.Moneva, J., and B. Cuellar. 2009. The value relevance of financial and non-financial environmental reporting. Environmental & Resource Economics 44(3): 441-456.Nakajima, Y., and Y. Inaba. 2022. Stock market reactions to voluntary integrated reporting. Journal of Financial Reporting and Accounting 20(3/4): 516-541.Ohlson, J. A. 1995. Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research 11(2): 661-687.Patten, D. M. 2002. The relation between environmental performance and environmental disclosure: A research note. Accounting, organizations and society 27(8): 763-773.Raghunandan, A., and S. Rajgopal. 2022. Do ESG Funds Make Stakeholder-Friendly Investments? Review of Accounting Studies 27(3): 822-863.Reverte, C. 2016. Corporate social responsibility disclosure and market valuation: Evidence from Spanish listed firms. Review of Managerial Science 10(2): 411-435.Rezaee, Z., and L. Tuo. 2019. Are the quantity and quality of sustainability disclosures associated with the innate and discretionary earnings quality? Journal of business ethics 155(3): 763-786.Schadewitzl, H., and M. Niskala. 2010. Communication via responsibility reporting and its effect on firm value in Finland. Corporate Social Responsibility and Environmental Management 17(2): 96-106.Stewart, J., F. Geoff, L. Janice, and L. Sandra. 2007. An empirical examination of the market returns and financial performance of entities engaged in sustainability reporting. Australian Accounting Review 17(41): 78-87. zh_TW
