學術產出-Theses
Article View/Open
Publication Export
-
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.參考文獻 Aguilera, R., Rupp, D., Williams, C., & Ganapathi, J. (2007). Putting the S back in corporate social responsibility: A multilevel theory of social change in organizations. Academy of Management Review, 32, 836-863.Albuquerque, R., Koskinen, Y., & Zhang, C. (2019). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science, 65, 4451-4469.Al-Tuwaijri, S. A., Christensen, T. E., & Hughes, K. E. (2004). The relations among environmental disclosure, environmental performance, and economic performance: A simultaneous equations approach. Accounting, Organizations and Society, 29, 447-471.Attig, N., Boubakri, N., El Ghoul, S., & Guedhami, O. (2016). Firm internationalization and corporate social responsibility. Journal of Business Ethics, 134, 171-197.Bae, K., Ghoul, S. L., Guedhami, O., Kwok, C. Y. C., & Zheng, Y. (2019). Does corporate social responsibility reduce the costs of high leverage? Evidence from capital structure and product market interactions. Journal of Banking and Finance, 100, 135-150.Bae, J. C., Yang, X., & Kim, M. I. (2021). ESG and stock price crash risk: Role of financial constraints. Asia-Pacific Journal of Financial Studies, 50, 556-581.Bansal, P. & Roth, K. (2000). Why companies go green: A Model of ecological responsiveness. The Academy of Management Journal, 43, 717-736.Barnett, M., & Salomon, R. (2006). Beyond Dichotomy: The curvilinear relationship between social responsibility and financial performance. Strategic Management Journal, 27, 1101-1122.Baron, D., Harjoto, M., & Jo, H. (2011). The economics and politics of corporate social performance. Business and Politics, 13, 1-46.Bauer, R., Koedijk, K., & Otten, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking and Finance, 29, 1751-1767.BBC NEWS World Service. (2022). Is sustainable finance just greenwash? Retrieved from https://www.bbc.co.uk/programmes/w3ct1jq1Becchetti, L., Ciciretti, R., & Hasan, I. (2015). Corporate social responsibility, stakeholder risk, and idiosyncratic volatility. Journal of Corporate Finance, 35, 297- 309.B´enabou, R., & Tirole, J. (2010). Individual and corporate social responsibility. Economica, 77, 1–19.Benlemlih, M., Shaukat, A., Qiu, Y., & Trojanowski, G. (2018). Environmental and social disclosures and firm risk. Journal of Business Ethics, 152, 613-626.Ben-Nasra, H., & Ghouma, H. (2018). Employee welfare and stock price crash risk. Journal of Corporate Finance, 48, 700-725.Benson, K. L., & Humphrey, J. E. (2008). Socially responsible investment funds: Investor reaction to current and past returns. Journal of Banking and Finance, 32, 1850-1859.Berle, A., & Means, G. (1932). The modern corporation and private property (Revised ed.). New Brunswick: Transaction Publishers.Beurden, P., & Gossling, T. (2008). The worth of values—A literature review on the relation between corporate social and financial performance. Journal of Business Ethics, 82, 407-424.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.pdfBouslah, K., Kryzanowski, L., & M’Zali, B. (2013). The impact of the dimensions of social performance on firm risk. Journal of Banking and Finance, 37, 1258-1273.Bouslah, K., Kryzanowski, L., & M’Zali, B. (2018). Social performance and firm risk: Impact of the financial crisis. Journal of Business Ethics, 149, 643-669.Boutin-Dufresne, F., & Savaria, P. (2004). Corporate social responsibility and financial risk. The Journal of Investing, 13, 57-66.Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35, 97-116.Broadstock, D. C., Chan, K., Cheng, L. T. W., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance Research Letters, 38, 101716.Bruna, M. G., Dang, R., Ammari, A., Houanti, L. (2021). The effect of board gender diversity on corporate social performance: An instrumental variable quantile regression approach, Finance Research Letters, 40, 101734.Cai, Y., Jo, H., & Pan, C. (2012). Doing well while doing bad? CSR in controversial industry sectors. Journal of Business Ethics, 108, 467-480.Campbell, J. (2007). Why would corporations behave in socially responsible ways? An institutional theory of corporate social responsibility. Academy of Management Review, 32, 946-967.Capelle-Blancard, G., & Monjoin, S. (2014). The performance of socially responsible funds: Does the screening process matter? European Financial Management 20, 494-520.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.Chava, S. (2014). Environmental externalities and cost of capital. Management Science, 60, 2223-2247.Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics, 61, 345-381.Chen, X., & Scholtens, B. (2018). The urge to act: A comparison of active and passive socially responsible investment funds in the United States. Corporate Social Responsibility and Environmental Management, 25, 1154-1173.Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35, 1-23.Chiaramonte, L., Dreassi, A., Girardone, C., & Piserà, S. (2022). Do ESG strategies enhance bank stability during financial turmoil? Evidence from Europe. The European Journal of Finance, 28, 1173-1211.Choi, J., & Wang, H. (2009). Stakeholder relations and the persistence of corporate financial performance. Strategic Management Journal, 30, 895-907.Clarkson, P. M., Li, Y., Richardson, G. D., & Vasvari, F. P. (2011). Does it really pay to be green? Determinants and consequences of proactive environmental strategies. Journal of Accounting and Public Policy, 30, 122-144.Consolandi, C., Eccles, R. G., & Gabbi, G. (2022). How material is a material issue? Stock returns and the financial relevance and financial intensity of ESG materiality. Journal of Sustainable Finance and Investment, 12, 1045-1068.Derwall, J., Koedijk, K., & Horst, J. T. (2011). A tale of values-driven and profit-seeking social investors, Journal of Banking and Finance, 35, 2137-2147.Dhaliwal, D., Li, O., Tsang, A., & Yang, Y. (2011). Voluntary nonfinancial disclosure and the cost of equity capital: The initiations of corporate social responsibility reporting. The Accounting Review, 86, 59-100.Dimson, E. (1979). Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics, 7, 197-226.Diamond, D. W., & Verrecchia, R. E. (1991). Disclosure, liquidity, and the cost of capital. The Journal of Finance, 46, 1325-1359.Dowell, G., Hart, S., & Yeung, B. (2000). Do corporate global environmental standards create or destroy market value? Management Science, 46, 1059-1074.Duan, Y., Hu, G., & McLean, R. D. (2010). Costly arbitrage and idiosyncratic risk: Evidence from short-sellers. Journal of Financial Intermediation, 19, 564-579.Eccles, R. G., & Klimenko, S. (2019). The investor revolution. Harvard Business Review. Retrieved from https://hbr.org/2019/05/the-investor-revolutionEichholtz, P., Kok, N., & Quigley, J. M. (2010). Doing well by doing good? Green office Buildings. The American Economic Review, 100, 2492-2509.El Ghoul, S., Guedhami, O., Kwok, C., & Mishra, D. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking and Finance, 35, 2388-2406.El Ghoul, S., & Karoui, A. (2017). Does corporate social responsibility affect mutual fund performance and flows? Journal of Banking and Finance, 77, 53-63.Fatemi, A., Glaum, M. & Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global Finance Journal, 28, 45-64.Feng, J., Goodell, J. W., & Shen, D. (2022). ESG rating and stock price crash risk: Evidence from China. Finance Research Letters, 46, 102476.Ferrell, A., Liang, H., & Renneboog, L. (2016). Socially responsible firms. Journal of Financial Economics, 122, 585-606.Financial Stability Board. (2021). Task Force on Climate-related Financial Disclosures 2021 Status Report. FSB.org, Retrieved from https://www.fsb.org/wp-content/uploads/P141021-1.pdfFriede, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: Aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance and Investment, 5, 210-233.Frynas, J. (2005). The false developmental promise of corporate social responsibility: Evidence from multinational oil companies. International Affairs, 81, 581-598.Giese, G., Lee, L., Melas, D., Nagy, Z., & Nishikawa, L. (2019). Foundations of ESG investing: How ESG affects equity valuation, risk, and performance. The Journal of Portfolio Management, 45, 69-83.Gillan, S., Koch, A., Starks, L. (2021). Firms and social responsibility: A review of ESG and CSR research in corporate finance. Journal of Corporate Finance, 66, 101889.Global Sustainable Investment Alliance. (2021). Global sustainable investment review 2020, Retrieved from https://www.gsi-alliance.org/wp-content/uploads/2021/08/GSIR-20201.pdfGodfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. Academy of Management Review, 30, 777-798.Godfrey, P. C., Merrill, C., & Hansen, J. (2009). The relationship between corporate social responsibility and shareholder value: An empirical test of the risk management hypothesis. Strategic Management Journal, 30, 425-445.Goss, A., & Roberts, G. (2011). The impact of corporate social responsibility on the cost of bank loan. Journal of Banking and Finance, 35, 1794-1810.Greenberg, K. (2021). Pollution and working conditions top ESG investor concerns. Investopedia.com, Retrieved from https://www.investopedia.com/pollution-and-working-conditions-top-esg-investor-concerns-5193407Grewal, J., Hauptmann., C., & Serafeim, G. (2021). Material sustainability information and stock price informativeness. Journal of Business Ethics, 171, 513-544.Hackston, D., & Milne, M. J. (1996). Some determinants of social and environmental disclosures in New Zealand companies. Accounting, Auditing and Accountability Journal, 9, 77-108.Hadlock, C. J., & Pierce, J. R. (2010). New evidence on measuring financial constraints: Moving beyond the KZ index. The Review of Financial Studies, 23, 1909-1940.Hamilton, S., Jo, H., & Statman, M. (1993). Doing well while doing good? The investment performance of socially responsible mutual funds. Financial Analysts Journal, 49, 62-66.Hart, S. L. (1995). A natural-resource-based view of the firm. Academy of Management Review, 20, 986-1014.Hasseldine, J., Salama, A., & Toms, J. S. (2005). Quantity versus quality: The impact of environmental disclosures on the reputations of UK plcs. The British Accounting Review, 37, 231-248.Heal, G. (2005). Corporate social responsibility: An economic and financial framework. Geneva Papers, 30, 387-409.Hemingway, C. A., & Maclagan, P. W. (2004). Managers’ personal values as drivers of corporate social responsibility. Journal of Business Ethics, 50, 33-44.Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019). Integrating ESG in portfolio construction. The Journal of Portfolio Management, 45, 67-81.Hillman, A., & Keim, G. (2001). Shareholder value, stakeholder management and social issues: What’s the bottom line? Strategic Management Journal, 22, 125-139.Hoepner, A. G., Oikonomou, I., Sautner, Z., Starks, L. T., & Zhou, X. (2020). ESG shareholder engagement and downside risk. European Corporate Governance Institute, Working paper.Hong, H., & Kacperczyk, M. (2009). The price of sin: The effects of social norms on markets. Journal of Financial Economics, 93, 15-36.Hong, H., Kubik, J. D., & Scheinkman, J. A. (2012). Financial constraints on corporate goodness. National Bureau of Economic Research, Working paper.Humphrey, J. E., Lee, D. D., & Shen, Y. (2012). Does it cost to be sustainable? Journal of Corporate Finance, 18, 626-639.Humphrey, J. E., & Li, Y. (2021). Who goes green: Reducing mutual fund emissions and its consequences. Journal of Banking and Finance, 126, 106098.Huselid, M. A. (1995). The impact of human resource management practices on turnover, productivity, and corporate financial performance. The Academy of Management Journal, 38, 635-672.Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics, 94, 67-86.Jo, H., & Harjoto, M. (2011). Corporate governance and firm value: The impact of corporate social responsibility. Journal of Business Ethics, 103, 351-383.Jo, H., & Harjoto, M. (2012). The causal effect of corporate governance on corporate social responsibility. Journal of Business Ethics, 106, 53-72.Jo, H., & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics, 110, 441-456.Jones, T. (1995). Instrumental stakeholder theory: A synthesis of ethics and economics. Academy of Management Review, 20, 404-437.Kaplan, S. N., & Zingales, L. (1997). Do investment-cash flow sensitivities provide useful measures of financing constraints? The Quarterly Journal of Economics, 112, 169-215.Kaya, I. (2016). The mandatory social and environmental reporting: Evidence from France. Procedia- Social and Behavioral Sciences, 229, 206-213.Kim, K. A., & Rhee S. G. (1997). Price limit performance: Evidence from the Tokyo Stock Exchange. The Journal of Finance, 52, 885-901.Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: First evidence on materiality. The Accounting Review, 91, 1697-1724.Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking and Finance, 43, 1-13.Kotsantonis, S., & Bufalari, V. (2019). Do sustainable banks outperform? Driving value creation through ESG practices. Deloitte.com, Retrieved from https://www2.deloitte.com/content/dam/Deloitte/lu/Documents/financial-services/Banking/lu-do-sustainable-banks-outperform-driving-value-creation-through-ESG-practices-report-digital.pdfKPMG International. (2022). Big shifts, small steps: Survey of sustainability reporting 2022. KPMG.com, Retrieved from https://assets.kpmg/content/dam/kpmg/xx/pdf/2022/10/ssr-small-steps-big-shifts.pdfLee, D. D., & Faff, R. W. (2009). Corporate sustainability performance and idiosyncratic risk: A global perspective. The Financial Review, 44, 213-237.Leite, P., & Cortez, M. C. (2015). Performance of European socially responsible funds during market crisis: Evidence from France. International Review of Financial Analysis, 40, 132-141.Lewellen, J. (1999). The time-series relations among expected return, risk, and book-to-market. Journal of Financial Economics, 54, 5-43.Li, K., Liu, X., Mai, F., & Zhang, T. (2021). The role of corporate culture in bad times: Evidence from the COVID-19 pandemic. Journal of Financial and Quantitative Analysis, 56, 2545-2583.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, 1785-1824.Mackey, A., Mackey, T., & Barney, J. (2007). Corporate social responsibility and firm performance: Investor preferences and corporate strategies. Academy of Management Review, 32, 817-835.Madison, N., & Schiehll, E. (2021). The effect of financial materiality on ESG performance assessment. Sustainability, 13, 3652.Makni, R., Francoeur, C., & Bellavance, F. (2009). Causality between corporate social performance and financial performance: Evidence from Canadian firms. Journal of Business Ethics, 89, 409-422.Margolis, J., & Walsh, J. (2003). Misery loves companies: Rethinking social initiatives by business. Administrative Science Quarterly, 48, 268-305.McGuire, J. B., Sundgren, A., & Schneeweis, T. (1988). Corporate social responsibility and firm financial performance. The Academy of Management Journal, 31, 854-872.McWilliams, A., & Siegel, D. (2001). Corporate social responsibility: A theory of the firm perspective. Academy of Management Review, 26, 117-127.Moyen, N., & Platikanov, S. (2013). Investment and financing constraints. Journal of Accounting and Finance, 13, 29-50.Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34, 768-783.Nazir, M., Akbar, M., Akbar, A. Poulovo, P., Hussain, A., & Qureshi, M. A. (2022). The nexus between corporate environment, social, and governance performance and cost of capital: Evidence from top global tech leaders. Environmental Science and Pollution Research, 29, 22623-22636.Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking and Finance, 48, 180-193.Oikonomou, I., Brooks, C., & Pavelin, S. (2012). The impact of corporate social performance on financial risk and utility: A longitudinal analysis. Financial Management, 41, 483-515.Orens, R., Aerts, W., & Cormier, D. (2010). Web-based non-financial disclosure and cost of finance. Journal of Business Finance and Accounting, 37, 1057-1093.Orlitzky, M., Schmidt, F., & Rynes, S. (2003). Corporate social and financial performance: A meta analysis. Organizational Studies, 24, 403-441.Patten, D. M. (1991). Exposure, legitimacy, and social disclosure. Journal of Accounting and Public Policy, 10, 297-308.Porter, M., & Kramer, M. (2002). The competitive advantage of corporate philanthropy. Harvard Business Review, 80, 56-69.Porter, M., & Kramer, M. (2011). The Big Idea: Creating shared value. Harvard Business Review, 89, 62-77.Qiu, Y., Shaukat, A., & Tharyan, R. (2016). Environmental and social disclosures: Link with corporate financial performance. The British Accounting Review, 48, 102-116.Renneboog, L., Horst, J. T., & Zhang, C. (2008a). The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of Corporate Finance, 14, 302-322.Renneboog, L., Horst, J. T., & Zhang, C. (2008b). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking and Finance, 32, 1723-1742.Riedl, A., & Smeets, P. (2017). Why do investors hold socially responsible mutual funds? The Journal of Finance, 72, 2505-2550.Ross, S., Westerfield, R., & Jordan, B. (2010). Fundamentals of corporate finance (9th ed.). Boston: McGraw-Hill Irwin.Salama, A., Anderson, K., & Toms, J. S. (2011). Does community and environmental responsibility affect firm risk: Evidence from UK panel data 1994-2006. Business Ethics: A European Review, 20, 192-204.Sustainability Accounting Standards Board. (2021). Materiality Map Screenshot. SASB.org, Retrieved from https://sasb.org/wp-content/uploads/2021/11/MMap-2021.pngSustainability Accounting Standards Board. (2014a). Commercial banks research brief. SASB.org, Retrieved from https://www.sasb.org/wp-content/uploads/2019/08/SASB_Commercial_Banks_Brief.pdfSustainability Accounting Standards Board. (2014b). Semiconductors research brief. SASB.org, Retrieved from https://www.sasb.org/wp-content/uploads/2019/08/SASB_Semiconductors_Brief.pdfSustainability Accounting Standards Board. (2018). SASB’s sustainable industry classification system (SICS). SASB.org, Retrieved from https://www.sasb.org/wp-content/uploads/2018/11/SICS-Industry-List.pdfSchiehll, E., & Kolahgar, S. (2021). Financial materiality in the informativeness of sustainability reporting. Business Strategy and the Environment, 30, 840-855.Sharfman, M. P., & Fernando, C. S. (2008). Environmental risk management and the cost of capital. Strategic Management Journal, 29, 569-592.Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19, 425-442.Shaukat, A., Qiu, Y., & Trojanowski, G. (2016). Board attributes, CSR strategy and corporate environmental and social performance in the UK. Journal of Business Ethics, 135, 569-585.Stapleton, R. C., & Subrahmanyam, M. G. (1983). The market model and capital asset pricing theory: A Note. The Journal of Finance, 38, 1637-1642.Thygesen, T. (2019). Everyone is talking about ESG: What is it and why should it matter to you? Forbes.com. Retrieved from https://www.forbes.com/sites/tinethygesen/2019/11/08/everyone-is-talking-about-esgwhat-is-it-and-why-should-it-matter-to-you/?sh=5854e47632e9.Toms, J. S. (2002). Firm resources, quality signals and the determinants of corporate environmental reputation: Some UK evidence. The British Accounting Review, 34, 257-282.Utz, S., & Wimmer, M. (2014). Are they any good at all? A financial and ethical analysis of socially responsible mutual funds. Journal of Asset Management, 15, 72-82.van Heijningen, K. (2019). The impact of ESG factor materiality on stock performance of firms. Rotterdam School of Management, Erasmus University, Working paper.Waddock, S., & Graves, S. (1997). The corporate social performance- financial performance link. Strategic Management Journal, 18, 303-319.Whited, T. M., & Wu, G. (2006). Financial constraints risk. The Review of Financial Studies, 19, 531-559.Zhang, D. (2022). Are firms motivated to greenwash by financial constraints? Evidence from global firms’ data. Journal of International Financial Management and Accounting, 33, 459-479. 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-Yi en_US dc.contributor.author (Authors) 張舜芬 zh_TW dc.contributor.author (Authors) Chang, Shun-Fen en_US dc.creator (作者) 張舜芬 zh_TW dc.creator (作者) Chang, Shun-Fen en_US dc.date (日期) 2023 en_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) G0103357501 en_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) 103357501 zh_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 xAppendix xiii1. Introduction 12. Literature Review and Research Questions 82.1 ESG and Financial Performance 82.1.1 Positive Relations 102.1.2 Negative or Ambiguous Relations 112.2 ESG and Financial Risks 122.2.1 Idiosyncratic Risk and the Idiosyncratic Risk Channel 122.2.2 Systematic Risk and the Valuation Channel 132.2.3 Total Risk 142.3 ESG and Stock Price Crash Risks 152.4 ESG and Financial Constraints 162.4.1 ESG and Cost of Capital 162.4.2 ESG and Financial Constraints 172.5 SASB Related Research 182.6 Hypothesis Development 203. Data and Methodology 233.1 Sample 233.2 Variables 243.2.1 Measures of ESG Performance 243.2.2 Measures of Financial Risks 253.2.3 Measures of Stock Price Crash Risks 273.2.4 Measures of Financial Constraints 283.3 Models 303.3.1 Models for the Effect of ESG / SASB on Risks and Financial Constraints 313.3.2 Models for the Informative Difference between ESG and SASB 343.3.3 Models for the Effect of ESG / SASB under COVID Waves 344. Empirical Results 374.1 Descriptive Statistics 374.2 The Effect of ESG on Firm Risks 384.2.1 ESG and Financial Risks 384.2.2 ESG and Stock Price Crash Risks 394.2.3 ESG and Financial Constraints 404.3 The Effect of SASB on Firm Risks 414.3.1 SASB and Financial Risks 414.3.2 SASB and Stock Price Crash Risks 424.3.3 SASB and Financial Constraints 424.4 The Informativeness Difference between ESG and SASB 434.5 The Effect of ESG and SASB on Firm Risks under COVID Waves 444.5.1 ESG and Financial Risks 454.5.2 ESG and Stock Price Crash Risks 464.5.3 ESG and Financial Constraints 474.5.4 SASB and Financial Risks 474.5.5 SASB and Stock Price Crash Risks 484.5.6 SASB and Financial Constraints 495. Robustness 505.1 Endogeneity 505.2 Alternative Measurement of ESG Performance 505.3 Alternative Industry Classification 515.4 Alternative Analyses: Tech vs. Non-Tech Industries 526. Conclusions, Limitations and Discussion 53References 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/#G0103357501 en_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) ESG zh_TW dc.subject (關鍵詞) SASB zh_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 performance en_US dc.subject (關鍵詞) ESG disclosure en_US dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) SASB en_US dc.subject (關鍵詞) Materiality en_US dc.subject (關鍵詞) Firm risk en_US dc.subject (關鍵詞) Idiosyncratic risk en_US dc.subject (關鍵詞) Systematic risk en_US dc.subject (關鍵詞) Total risk en_US dc.subject (關鍵詞) Stock price crash risk en_US dc.subject (關鍵詞) Downside risk en_US dc.subject (關鍵詞) Financial constraint en_US dc.subject (關鍵詞) COVID-19 en_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 Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Aguilera, R., Rupp, D., Williams, C., & Ganapathi, J. (2007). Putting the S back in corporate social responsibility: A multilevel theory of social change in organizations. Academy of Management Review, 32, 836-863.Albuquerque, R., Koskinen, Y., & Zhang, C. (2019). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science, 65, 4451-4469.Al-Tuwaijri, S. A., Christensen, T. E., & Hughes, K. E. (2004). The relations among environmental disclosure, environmental performance, and economic performance: A simultaneous equations approach. Accounting, Organizations and Society, 29, 447-471.Attig, N., Boubakri, N., El Ghoul, S., & Guedhami, O. (2016). Firm internationalization and corporate social responsibility. Journal of Business Ethics, 134, 171-197.Bae, K., Ghoul, S. L., Guedhami, O., Kwok, C. Y. C., & Zheng, Y. (2019). Does corporate social responsibility reduce the costs of high leverage? Evidence from capital structure and product market interactions. Journal of Banking and Finance, 100, 135-150.Bae, J. C., Yang, X., & Kim, M. I. (2021). ESG and stock price crash risk: Role of financial constraints. Asia-Pacific Journal of Financial Studies, 50, 556-581.Bansal, P. & Roth, K. (2000). Why companies go green: A Model of ecological responsiveness. The Academy of Management Journal, 43, 717-736.Barnett, M., & Salomon, R. (2006). Beyond Dichotomy: The curvilinear relationship between social responsibility and financial performance. Strategic Management Journal, 27, 1101-1122.Baron, D., Harjoto, M., & Jo, H. (2011). The economics and politics of corporate social performance. Business and Politics, 13, 1-46.Bauer, R., Koedijk, K., & Otten, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking and Finance, 29, 1751-1767.BBC NEWS World Service. (2022). Is sustainable finance just greenwash? Retrieved from https://www.bbc.co.uk/programmes/w3ct1jq1Becchetti, L., Ciciretti, R., & Hasan, I. (2015). Corporate social responsibility, stakeholder risk, and idiosyncratic volatility. Journal of Corporate Finance, 35, 297- 309.B´enabou, R., & Tirole, J. (2010). Individual and corporate social responsibility. Economica, 77, 1–19.Benlemlih, M., Shaukat, A., Qiu, Y., & Trojanowski, G. (2018). Environmental and social disclosures and firm risk. Journal of Business Ethics, 152, 613-626.Ben-Nasra, H., & Ghouma, H. (2018). Employee welfare and stock price crash risk. Journal of Corporate Finance, 48, 700-725.Benson, K. L., & Humphrey, J. E. (2008). Socially responsible investment funds: Investor reaction to current and past returns. Journal of Banking and Finance, 32, 1850-1859.Berle, A., & Means, G. (1932). The modern corporation and private property (Revised ed.). New Brunswick: Transaction Publishers.Beurden, P., & Gossling, T. (2008). The worth of values—A literature review on the relation between corporate social and financial performance. Journal of Business Ethics, 82, 407-424.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.pdfBouslah, K., Kryzanowski, L., & M’Zali, B. (2013). The impact of the dimensions of social performance on firm risk. Journal of Banking and Finance, 37, 1258-1273.Bouslah, K., Kryzanowski, L., & M’Zali, B. (2018). Social performance and firm risk: Impact of the financial crisis. Journal of Business Ethics, 149, 643-669.Boutin-Dufresne, F., & Savaria, P. (2004). Corporate social responsibility and financial risk. The Journal of Investing, 13, 57-66.Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35, 97-116.Broadstock, D. C., Chan, K., Cheng, L. T. W., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance Research Letters, 38, 101716.Bruna, M. G., Dang, R., Ammari, A., Houanti, L. (2021). The effect of board gender diversity on corporate social performance: An instrumental variable quantile regression approach, Finance Research Letters, 40, 101734.Cai, Y., Jo, H., & Pan, C. (2012). Doing well while doing bad? CSR in controversial industry sectors. Journal of Business Ethics, 108, 467-480.Campbell, J. (2007). Why would corporations behave in socially responsible ways? An institutional theory of corporate social responsibility. Academy of Management Review, 32, 946-967.Capelle-Blancard, G., & Monjoin, S. (2014). The performance of socially responsible funds: Does the screening process matter? European Financial Management 20, 494-520.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.Chava, S. (2014). Environmental externalities and cost of capital. Management Science, 60, 2223-2247.Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics, 61, 345-381.Chen, X., & Scholtens, B. (2018). The urge to act: A comparison of active and passive socially responsible investment funds in the United States. Corporate Social Responsibility and Environmental Management, 25, 1154-1173.Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35, 1-23.Chiaramonte, L., Dreassi, A., Girardone, C., & Piserà, S. (2022). Do ESG strategies enhance bank stability during financial turmoil? Evidence from Europe. The European Journal of Finance, 28, 1173-1211.Choi, J., & Wang, H. (2009). Stakeholder relations and the persistence of corporate financial performance. Strategic Management Journal, 30, 895-907.Clarkson, P. M., Li, Y., Richardson, G. D., & Vasvari, F. P. (2011). Does it really pay to be green? Determinants and consequences of proactive environmental strategies. Journal of Accounting and Public Policy, 30, 122-144.Consolandi, C., Eccles, R. G., & Gabbi, G. (2022). How material is a material issue? Stock returns and the financial relevance and financial intensity of ESG materiality. Journal of Sustainable Finance and Investment, 12, 1045-1068.Derwall, J., Koedijk, K., & Horst, J. T. (2011). A tale of values-driven and profit-seeking social investors, Journal of Banking and Finance, 35, 2137-2147.Dhaliwal, D., Li, O., Tsang, A., & Yang, Y. (2011). Voluntary nonfinancial disclosure and the cost of equity capital: The initiations of corporate social responsibility reporting. The Accounting Review, 86, 59-100.Dimson, E. (1979). Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics, 7, 197-226.Diamond, D. W., & Verrecchia, R. E. (1991). Disclosure, liquidity, and the cost of capital. The Journal of Finance, 46, 1325-1359.Dowell, G., Hart, S., & Yeung, B. (2000). Do corporate global environmental standards create or destroy market value? Management Science, 46, 1059-1074.Duan, Y., Hu, G., & McLean, R. D. (2010). Costly arbitrage and idiosyncratic risk: Evidence from short-sellers. Journal of Financial Intermediation, 19, 564-579.Eccles, R. G., & Klimenko, S. (2019). The investor revolution. Harvard Business Review. Retrieved from https://hbr.org/2019/05/the-investor-revolutionEichholtz, P., Kok, N., & Quigley, J. M. (2010). Doing well by doing good? Green office Buildings. The American Economic Review, 100, 2492-2509.El Ghoul, S., Guedhami, O., Kwok, C., & Mishra, D. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking and Finance, 35, 2388-2406.El Ghoul, S., & Karoui, A. (2017). Does corporate social responsibility affect mutual fund performance and flows? Journal of Banking and Finance, 77, 53-63.Fatemi, A., Glaum, M. & Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global Finance Journal, 28, 45-64.Feng, J., Goodell, J. W., & Shen, D. (2022). ESG rating and stock price crash risk: Evidence from China. Finance Research Letters, 46, 102476.Ferrell, A., Liang, H., & Renneboog, L. (2016). Socially responsible firms. Journal of Financial Economics, 122, 585-606.Financial Stability Board. (2021). Task Force on Climate-related Financial Disclosures 2021 Status Report. FSB.org, Retrieved from https://www.fsb.org/wp-content/uploads/P141021-1.pdfFriede, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: Aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance and Investment, 5, 210-233.Frynas, J. (2005). The false developmental promise of corporate social responsibility: Evidence from multinational oil companies. International Affairs, 81, 581-598.Giese, G., Lee, L., Melas, D., Nagy, Z., & Nishikawa, L. (2019). Foundations of ESG investing: How ESG affects equity valuation, risk, and performance. The Journal of Portfolio Management, 45, 69-83.Gillan, S., Koch, A., Starks, L. (2021). Firms and social responsibility: A review of ESG and CSR research in corporate finance. Journal of Corporate Finance, 66, 101889.Global Sustainable Investment Alliance. (2021). Global sustainable investment review 2020, Retrieved from https://www.gsi-alliance.org/wp-content/uploads/2021/08/GSIR-20201.pdfGodfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. Academy of Management Review, 30, 777-798.Godfrey, P. C., Merrill, C., & Hansen, J. (2009). The relationship between corporate social responsibility and shareholder value: An empirical test of the risk management hypothesis. Strategic Management Journal, 30, 425-445.Goss, A., & Roberts, G. (2011). The impact of corporate social responsibility on the cost of bank loan. Journal of Banking and Finance, 35, 1794-1810.Greenberg, K. (2021). Pollution and working conditions top ESG investor concerns. Investopedia.com, Retrieved from https://www.investopedia.com/pollution-and-working-conditions-top-esg-investor-concerns-5193407Grewal, J., Hauptmann., C., & Serafeim, G. (2021). Material sustainability information and stock price informativeness. Journal of Business Ethics, 171, 513-544.Hackston, D., & Milne, M. J. (1996). Some determinants of social and environmental disclosures in New Zealand companies. Accounting, Auditing and Accountability Journal, 9, 77-108.Hadlock, C. J., & Pierce, J. R. (2010). New evidence on measuring financial constraints: Moving beyond the KZ index. The Review of Financial Studies, 23, 1909-1940.Hamilton, S., Jo, H., & Statman, M. (1993). Doing well while doing good? The investment performance of socially responsible mutual funds. Financial Analysts Journal, 49, 62-66.Hart, S. L. (1995). A natural-resource-based view of the firm. Academy of Management Review, 20, 986-1014.Hasseldine, J., Salama, A., & Toms, J. S. (2005). Quantity versus quality: The impact of environmental disclosures on the reputations of UK plcs. The British Accounting Review, 37, 231-248.Heal, G. (2005). Corporate social responsibility: An economic and financial framework. Geneva Papers, 30, 387-409.Hemingway, C. A., & Maclagan, P. W. (2004). Managers’ personal values as drivers of corporate social responsibility. Journal of Business Ethics, 50, 33-44.Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019). Integrating ESG in portfolio construction. The Journal of Portfolio Management, 45, 67-81.Hillman, A., & Keim, G. (2001). Shareholder value, stakeholder management and social issues: What’s the bottom line? Strategic Management Journal, 22, 125-139.Hoepner, A. G., Oikonomou, I., Sautner, Z., Starks, L. T., & Zhou, X. (2020). ESG shareholder engagement and downside risk. European Corporate Governance Institute, Working paper.Hong, H., & Kacperczyk, M. (2009). The price of sin: The effects of social norms on markets. Journal of Financial Economics, 93, 15-36.Hong, H., Kubik, J. D., & Scheinkman, J. A. (2012). Financial constraints on corporate goodness. National Bureau of Economic Research, Working paper.Humphrey, J. E., Lee, D. D., & Shen, Y. (2012). Does it cost to be sustainable? Journal of Corporate Finance, 18, 626-639.Humphrey, J. E., & Li, Y. (2021). Who goes green: Reducing mutual fund emissions and its consequences. Journal of Banking and Finance, 126, 106098.Huselid, M. A. (1995). The impact of human resource management practices on turnover, productivity, and corporate financial performance. The Academy of Management Journal, 38, 635-672.Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics, 94, 67-86.Jo, H., & Harjoto, M. (2011). Corporate governance and firm value: The impact of corporate social responsibility. Journal of Business Ethics, 103, 351-383.Jo, H., & Harjoto, M. (2012). The causal effect of corporate governance on corporate social responsibility. Journal of Business Ethics, 106, 53-72.Jo, H., & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics, 110, 441-456.Jones, T. (1995). Instrumental stakeholder theory: A synthesis of ethics and economics. Academy of Management Review, 20, 404-437.Kaplan, S. N., & Zingales, L. (1997). Do investment-cash flow sensitivities provide useful measures of financing constraints? The Quarterly Journal of Economics, 112, 169-215.Kaya, I. (2016). The mandatory social and environmental reporting: Evidence from France. Procedia- Social and Behavioral Sciences, 229, 206-213.Kim, K. A., & Rhee S. G. (1997). Price limit performance: Evidence from the Tokyo Stock Exchange. The Journal of Finance, 52, 885-901.Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: First evidence on materiality. The Accounting Review, 91, 1697-1724.Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking and Finance, 43, 1-13.Kotsantonis, S., & Bufalari, V. (2019). Do sustainable banks outperform? Driving value creation through ESG practices. Deloitte.com, Retrieved from https://www2.deloitte.com/content/dam/Deloitte/lu/Documents/financial-services/Banking/lu-do-sustainable-banks-outperform-driving-value-creation-through-ESG-practices-report-digital.pdfKPMG International. (2022). Big shifts, small steps: Survey of sustainability reporting 2022. KPMG.com, Retrieved from https://assets.kpmg/content/dam/kpmg/xx/pdf/2022/10/ssr-small-steps-big-shifts.pdfLee, D. D., & Faff, R. W. (2009). Corporate sustainability performance and idiosyncratic risk: A global perspective. The Financial Review, 44, 213-237.Leite, P., & Cortez, M. C. (2015). Performance of European socially responsible funds during market crisis: Evidence from France. International Review of Financial Analysis, 40, 132-141.Lewellen, J. (1999). The time-series relations among expected return, risk, and book-to-market. Journal of Financial Economics, 54, 5-43.Li, K., Liu, X., Mai, F., & Zhang, T. (2021). The role of corporate culture in bad times: Evidence from the COVID-19 pandemic. Journal of Financial and Quantitative Analysis, 56, 2545-2583.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, 1785-1824.Mackey, A., Mackey, T., & Barney, J. (2007). Corporate social responsibility and firm performance: Investor preferences and corporate strategies. Academy of Management Review, 32, 817-835.Madison, N., & Schiehll, E. (2021). The effect of financial materiality on ESG performance assessment. Sustainability, 13, 3652.Makni, R., Francoeur, C., & Bellavance, F. (2009). Causality between corporate social performance and financial performance: Evidence from Canadian firms. Journal of Business Ethics, 89, 409-422.Margolis, J., & Walsh, J. (2003). Misery loves companies: Rethinking social initiatives by business. Administrative Science Quarterly, 48, 268-305.McGuire, J. B., Sundgren, A., & Schneeweis, T. (1988). Corporate social responsibility and firm financial performance. The Academy of Management Journal, 31, 854-872.McWilliams, A., & Siegel, D. (2001). Corporate social responsibility: A theory of the firm perspective. Academy of Management Review, 26, 117-127.Moyen, N., & Platikanov, S. (2013). Investment and financing constraints. Journal of Accounting and Finance, 13, 29-50.Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34, 768-783.Nazir, M., Akbar, M., Akbar, A. Poulovo, P., Hussain, A., & Qureshi, M. A. (2022). The nexus between corporate environment, social, and governance performance and cost of capital: Evidence from top global tech leaders. Environmental Science and Pollution Research, 29, 22623-22636.Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking and Finance, 48, 180-193.Oikonomou, I., Brooks, C., & Pavelin, S. (2012). The impact of corporate social performance on financial risk and utility: A longitudinal analysis. Financial Management, 41, 483-515.Orens, R., Aerts, W., & Cormier, D. (2010). Web-based non-financial disclosure and cost of finance. Journal of Business Finance and Accounting, 37, 1057-1093.Orlitzky, M., Schmidt, F., & Rynes, S. (2003). Corporate social and financial performance: A meta analysis. Organizational Studies, 24, 403-441.Patten, D. M. (1991). Exposure, legitimacy, and social disclosure. Journal of Accounting and Public Policy, 10, 297-308.Porter, M., & Kramer, M. (2002). The competitive advantage of corporate philanthropy. Harvard Business Review, 80, 56-69.Porter, M., & Kramer, M. (2011). The Big Idea: Creating shared value. Harvard Business Review, 89, 62-77.Qiu, Y., Shaukat, A., & Tharyan, R. (2016). Environmental and social disclosures: Link with corporate financial performance. The British Accounting Review, 48, 102-116.Renneboog, L., Horst, J. T., & Zhang, C. (2008a). The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of Corporate Finance, 14, 302-322.Renneboog, L., Horst, J. T., & Zhang, C. (2008b). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking and Finance, 32, 1723-1742.Riedl, A., & Smeets, P. (2017). Why do investors hold socially responsible mutual funds? The Journal of Finance, 72, 2505-2550.Ross, S., Westerfield, R., & Jordan, B. (2010). Fundamentals of corporate finance (9th ed.). Boston: McGraw-Hill Irwin.Salama, A., Anderson, K., & Toms, J. S. (2011). Does community and environmental responsibility affect firm risk: Evidence from UK panel data 1994-2006. Business Ethics: A European Review, 20, 192-204.Sustainability Accounting Standards Board. (2021). Materiality Map Screenshot. SASB.org, Retrieved from https://sasb.org/wp-content/uploads/2021/11/MMap-2021.pngSustainability Accounting Standards Board. (2014a). Commercial banks research brief. SASB.org, Retrieved from https://www.sasb.org/wp-content/uploads/2019/08/SASB_Commercial_Banks_Brief.pdfSustainability Accounting Standards Board. (2014b). Semiconductors research brief. SASB.org, Retrieved from https://www.sasb.org/wp-content/uploads/2019/08/SASB_Semiconductors_Brief.pdfSustainability Accounting Standards Board. (2018). SASB’s sustainable industry classification system (SICS). SASB.org, Retrieved from https://www.sasb.org/wp-content/uploads/2018/11/SICS-Industry-List.pdfSchiehll, E., & Kolahgar, S. (2021). Financial materiality in the informativeness of sustainability reporting. Business Strategy and the Environment, 30, 840-855.Sharfman, M. P., & Fernando, C. S. (2008). Environmental risk management and the cost of capital. Strategic Management Journal, 29, 569-592.Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19, 425-442.Shaukat, A., Qiu, Y., & Trojanowski, G. (2016). Board attributes, CSR strategy and corporate environmental and social performance in the UK. Journal of Business Ethics, 135, 569-585.Stapleton, R. C., & Subrahmanyam, M. G. (1983). The market model and capital asset pricing theory: A Note. The Journal of Finance, 38, 1637-1642.Thygesen, T. (2019). Everyone is talking about ESG: What is it and why should it matter to you? Forbes.com. Retrieved from https://www.forbes.com/sites/tinethygesen/2019/11/08/everyone-is-talking-about-esgwhat-is-it-and-why-should-it-matter-to-you/?sh=5854e47632e9.Toms, J. S. (2002). Firm resources, quality signals and the determinants of corporate environmental reputation: Some UK evidence. The British Accounting Review, 34, 257-282.Utz, S., & Wimmer, M. (2014). Are they any good at all? A financial and ethical analysis of socially responsible mutual funds. Journal of Asset Management, 15, 72-82.van Heijningen, K. (2019). The impact of ESG factor materiality on stock performance of firms. Rotterdam School of Management, Erasmus University, Working paper.Waddock, S., & Graves, S. (1997). The corporate social performance- financial performance link. Strategic Management Journal, 18, 303-319.Whited, T. M., & Wu, G. (2006). Financial constraints risk. The Review of Financial Studies, 19, 531-559.Zhang, D. (2022). Are firms motivated to greenwash by financial constraints? Evidence from global firms’ data. Journal of International Financial Management and Accounting, 33, 459-479. zh_TW
