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題名 ESG評等對台灣公開發行公司風險之影響
Does Sustainability Report Matter? The Impact of ESG Ratings on Firm Risks in Taiwan’s Market
作者 張舜芬
Chang, Shun-Fen
貢獻者 陳鴻毅
Chen, Hong-Yi
張舜芬
Chang, Shun-Fen
關鍵詞 ESG績效
ESG評等
ESG揭露
ESG
SASB
重大性議題
公司風險
特有風險
系統性風險
總風險
股價崩盤風險
財務限制
新型冠狀病毒
ESG performance
ESG disclosure
ESG
SASB
Materiality
Firm risk
Idiosyncratic risk
Systematic risk
Total risk
Stock price crash risk
Downside risk
Financial constraint
COVID-19
日期 2023
上傳時間 1-Sep-2023 16:02:06 (UTC+8)
摘要 本研究旨在探討台灣經濟新報資料庫（Taiwan Economic Journal，TEJ）披露的ESG分數（以及經SASB調整後的分數），與不同企業風險因子（財務風險、股價崩盤風險以及財務限制）之間的關聯。分數之高低主要考量台灣公開發行公司ESG參與程度之多寡。研究以2015～2021年的樣本進行分析，發現企業ESG（以及以SASB為基準的ESG）參與程度與各種風險呈現負相關，顯示在台灣，企業的永續作為猶如一張保護傘，保護企業避開凶險。這種現象在金融危機時期（包含COVID-19肆虐期間）仍然顯著──在COVID疫情之下，E、S、G之中的G（公司治理）發揮著關鍵影響力，ESG和SASB的Governance都與風險因子呈現負相關。此外，本研究針對ESG分數和SASB分數進行比較性分析，結果顯示兩者在預測企業風險上沒有顯著差異。總體而言，針對ESG績效是否有助於緩和風險，本研究提供了有力佐證。同時，比較性分析結果足以證明台灣企業在永續揭露上殫精竭力，盡可能導入包山包海的國際揭露準則（GRI、SASB、TCFD等），伴隨導入率更勝多數先進國家，比較性結果自然異於他國，也為台灣產業界在ESG道路上努力邁進做了最好的見證。
This study analyzes the association between TEJ disclosure-based ESG Scores (and SASB-adjusted Scores) and various measures of firm risks (such as financial risks, stock price crash risks and financial constraints) using a sample of firms in Taiwan from 2015 to 2021. The results show a negative association between ESG (and SASB-based ESG) engagement and various types of firm risks, indicating that sustainability initiatives function as a form of insurance-like protection in Taiwan. This phenomenon remains true even during the COVID-19 crisis. It is worth highlighting that governance plays a pivotal role amidst the crisis. The G Scores of both ESG and SASB demonstrate a capacity to function as a protective shield for firms, safeguarding them against the deleterious impacts of financial risks and constraints. Additionally, comparative analysis between ESG Scores and SASB Scores reveals no significant differences in their informativeness on firm risks. Overall, the study provides crucial evidence supporting the effectiveness of ESG disclosure in mitigating firm risks. Also, the comparative analysis clearly demonstrates that Taiwan’s companies have made tremendous efforts in sustainable disclosure, diligently adopting comprehensive standards (such as GRI, SASB, TCFD, etc.). The adoption rates surpass numerous advanced countries and the comparative outcomes naturally diverge from those of the US and EU. These results serve as a strong testament to the commitment of Taiwan’s businesses in advancing along the ESG path.
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描述 博士
國立政治大學
財務管理學系
103357501
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103357501
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong-Yien_US
dc.contributor.author (Authors) 張舜芬zh_TW
dc.contributor.author (Authors) Chang, Shun-Fenen_US
dc.creator (作者) 張舜芬zh_TW
dc.creator (作者) Chang, Shun-Fenen_US
dc.date (日期) 2023en_US
dc.date.accessioned 1-Sep-2023 16:02:06 (UTC+8)-
dc.date.available 1-Sep-2023 16:02:06 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2023 16:02:06 (UTC+8)-
dc.identifier (Other Identifiers) G0103357501en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/147193-
dc.description (描述) 博士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) 103357501zh_TW
dc.description.abstract (摘要) 本研究旨在探討台灣經濟新報資料庫（Taiwan Economic Journal，TEJ）披露的ESG分數（以及經SASB調整後的分數），與不同企業風險因子（財務風險、股價崩盤風險以及財務限制）之間的關聯。分數之高低主要考量台灣公開發行公司ESG參與程度之多寡。研究以2015～2021年的樣本進行分析，發現企業ESG（以及以SASB為基準的ESG）參與程度與各種風險呈現負相關，顯示在台灣，企業的永續作為猶如一張保護傘，保護企業避開凶險。這種現象在金融危機時期（包含COVID-19肆虐期間）仍然顯著──在COVID疫情之下，E、S、G之中的G（公司治理）發揮著關鍵影響力，ESG和SASB的Governance都與風險因子呈現負相關。此外，本研究針對ESG分數和SASB分數進行比較性分析，結果顯示兩者在預測企業風險上沒有顯著差異。總體而言，針對ESG績效是否有助於緩和風險，本研究提供了有力佐證。同時，比較性分析結果足以證明台灣企業在永續揭露上殫精竭力，盡可能導入包山包海的國際揭露準則（GRI、SASB、TCFD等），伴隨導入率更勝多數先進國家，比較性結果自然異於他國，也為台灣產業界在ESG道路上努力邁進做了最好的見證。zh_TW
dc.description.abstract (摘要) This study analyzes the association between TEJ disclosure-based ESG Scores (and SASB-adjusted Scores) and various measures of firm risks (such as financial risks, stock price crash risks and financial constraints) using a sample of firms in Taiwan from 2015 to 2021. The results show a negative association between ESG (and SASB-based ESG) engagement and various types of firm risks, indicating that sustainability initiatives function as a form of insurance-like protection in Taiwan. This phenomenon remains true even during the COVID-19 crisis. It is worth highlighting that governance plays a pivotal role amidst the crisis. The G Scores of both ESG and SASB demonstrate a capacity to function as a protective shield for firms, safeguarding them against the deleterious impacts of financial risks and constraints. Additionally, comparative analysis between ESG Scores and SASB Scores reveals no significant differences in their informativeness on firm risks. Overall, the study provides crucial evidence supporting the effectiveness of ESG disclosure in mitigating firm risks. Also, the comparative analysis clearly demonstrates that Taiwan’s companies have made tremendous efforts in sustainable disclosure, diligently adopting comprehensive standards (such as GRI, SASB, TCFD, etc.). The adoption rates surpass numerous advanced countries and the comparative outcomes naturally diverge from those of the US and EU. These results serve as a strong testament to the commitment of Taiwan’s businesses in advancing along the ESG path.en_US
dc.description.tableofcontents List of Tables x
Appendix xiii
1. Introduction 1
2. Literature Review and Research Questions 8
2.1 ESG and Financial Performance 8
2.1.1 Positive Relations 10
2.1.2 Negative or Ambiguous Relations 11
2.2 ESG and Financial Risks 12
2.2.1 Idiosyncratic Risk and the Idiosyncratic Risk Channel 12
2.2.2 Systematic Risk and the Valuation Channel 13
2.2.3 Total Risk 14
2.3 ESG and Stock Price Crash Risks 15
2.4 ESG and Financial Constraints 16
2.4.1 ESG and Cost of Capital 16
2.4.2 ESG and Financial Constraints 17
2.5 SASB Related Research 18
2.6 Hypothesis Development 20
3. Data and Methodology 23
3.1 Sample 23
3.2 Variables 24
3.2.1 Measures of ESG Performance 24
3.2.2 Measures of Financial Risks 25
3.2.3 Measures of Stock Price Crash Risks 27
3.2.4 Measures of Financial Constraints 28
3.3 Models 30
3.3.1 Models for the Effect of ESG / SASB on Risks and Financial Constraints 31
3.3.2 Models for the Informative Difference between ESG and SASB 34
3.3.3 Models for the Effect of ESG / SASB under COVID Waves 34
4. Empirical Results 37
4.1 Descriptive Statistics 37
4.2 The Effect of ESG on Firm Risks 38
4.2.1 ESG and Financial Risks 38
4.2.2 ESG and Stock Price Crash Risks 39
4.2.3 ESG and Financial Constraints 40
4.3 The Effect of SASB on Firm Risks 41
4.3.1 SASB and Financial Risks 41
4.3.2 SASB and Stock Price Crash Risks 42
4.3.3 SASB and Financial Constraints 42
4.4 The Informativeness Difference between ESG and SASB 43
4.5 The Effect of ESG and SASB on Firm Risks under COVID Waves 44
4.5.1 ESG and Financial Risks 45
4.5.2 ESG and Stock Price Crash Risks 46
4.5.3 ESG and Financial Constraints 47
4.5.4 SASB and Financial Risks 47
4.5.5 SASB and Stock Price Crash Risks 48
4.5.6 SASB and Financial Constraints 49
5. Robustness 50
5.1 Endogeneity 50
5.2 Alternative Measurement of ESG Performance 50
5.3 Alternative Industry Classification 51
5.4 Alternative Analyses: Tech vs. Non-Tech Industries 52
6. Conclusions, Limitations and Discussion 53
References 56		zh_TW
dc.format.extent 4138395 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103357501en_US
dc.subject (關鍵詞) ESG績效zh_TW
dc.subject (關鍵詞) ESG評等zh_TW
dc.subject (關鍵詞) ESG揭露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) 公司風險zh_TW
dc.subject (關鍵詞) 特有風險zh_TW
dc.subject (關鍵詞) 系統性風險zh_TW
dc.subject (關鍵詞) 總風險zh_TW
dc.subject (關鍵詞) 股價崩盤風險zh_TW
dc.subject (關鍵詞) 財務限制zh_TW
dc.subject (關鍵詞) 新型冠狀病毒zh_TW
dc.subject (關鍵詞) ESG performanceen_US
dc.subject (關鍵詞) ESG disclosureen_US
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) Systematic risken_US
dc.subject (關鍵詞) Total risken_US
dc.subject (關鍵詞) Stock price crash risken_US
dc.subject (關鍵詞) Downside risken_US
dc.subject (關鍵詞) Financial constrainten_US
dc.subject (關鍵詞) COVID-19en_US
dc.title (題名) ESG評等對台灣公開發行公司風險之影響zh_TW
dc.title (題名) Does Sustainability Report Matter? The Impact of ESG Ratings on Firm Risks in Taiwan’s Marketen_US
dc.type (資料類型) thesisen_US
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