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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 1-九月-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. 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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 (作者) 張舜芬 zh_TW dc.contributor.author (作者) 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 1-九月-2023 16:02:06 (UTC+8) - dc.date.available 1-九月-2023 16:02:06 (UTC+8) - dc.date.issued (上傳時間) 1-九月-2023 16:02:06 (UTC+8) - dc.identifier (其他 識別碼) 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? 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