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題名 企業ESG表現對股價之影響—調節式中介效果分析
A Moderated Mediation Analysis of the Relationship between Corporate ESG Performance and Stock Prices作者 廖安婕
Liao, An-Jie貢獻者 吳文傑
Wu, Wen-Chieh
廖安婕
Liao, An-Jie關鍵詞 ESG
股價
法人持股比例
獲利性
調節式中介效果
ESG
Stock price
Institutional holding
Profitability
Moderated mediation effect日期 2024 上傳時間 5-Aug-2024 14:45:58 (UTC+8) 摘要 永續議題儼然為當前趨勢之一，政策、市場與企業等逐漸投入轉型，企業ESG表現之重要性也逐漸受到認可，越來越多投資人開始將其納入投資決策考量，惟ESG表現是否真正影響股價尚未獲得定論。 本研究採用2016年至2023年台灣上市櫃企業資料，透過數據實證ESG表現與股價之關聯，研究方法採用中介與調節模型，旨在探討ESG表現對股價間接影響之可能性。研究發現，作為中介變數之法人持股比例與作為調節變數之獲利性皆於模型中雙雙發揮作用，企業ESG表現對股價具有直接與間接效果，整體而言與股價之關聯為正相關。 另外，透過門檻迴歸模型發現ESG表現存在門檻值，當ESG表現達到門檻值水平後，股價上升之幅度更為顯著，亦於研究中發現門檻值大小與產業特性相關，低汙染產業達到較低之門檻值即可進一步提升股價，顯示投資人對於產業轉型之重視，符合當前投資趨勢。
Sustainability issues have become one of the current trends, with policies, markets, and companies gradually committing to transformation. The importance of ESG (Environmental, Social, and Governance) performance is increasingly recognized, and more and more investors take it into their investment decisions. However, it remains inconclusive whether ESG performance truly affects stock prices. This study utilizes data from publicly listed companies in Taiwan from 2016 to 2023 to empirically examine the relationship between ESG performance and stock prices. Employing mediation and moderation models, this research aims to explore the potential indirect effects of ESG performance on stock prices. The findings reveal that institutional holding as a mediating variable and profitability as a moderating variable both play significant roles in the models. Corporate ESG performance exhibits both direct and indirect effects on stock prices, and overall, the relationship is positively correlated. Furthermore, the threshold regression model indicates the existence of a threshold value for ESG performance. Once ESG performance reaches this threshold level, the increase in stock prices becomes more pronounced. Additionally, the study finds that the threshold value is related to industry characteristics, with low-pollution industries achieving significant stock price increases under the lower threshold values. This indicates investors' emphasis on industrial transformation, aligning with current investment trends.參考文獻 中文文獻 1. 王昱隆 (2023)，ESG、法人持股與公司價值關聯性之實證研究，中國科技大學企業管理系碩士在職專班碩士論文。 2. 吳侑丞 (2022)，ESG 宣告對臺灣上市企業股價的影響，亞洲大學財務金融學系碩士在職專班碩士論文。 3. 洪兆龍 (2016)，台灣上市公司獲利與三大法人持股之關聯性，銘傳大學財務金融學系碩士在職專班碩士論文。 4. 陳宥豪 (2021)，台灣股市三大法人持股比例變動對股價報酬率之影響，中正大學財務金融系研究所碩士論文。 5. 陶君 (2023)，ESG 表現對上市公司股價變動的影響研究，上海工程技術大學管理學院。 6. 楊炎杰 (1997)，我國上市公司獲利能力指標與股價變動之研究，政治大學會計研究所碩士論文。 7. 廖苡安 (2022)，ESG、機構投資人持股及公司績效之關聯性，東吳大學國際經營與貿易研究所碩士論文。 8. 劉家輝 (2009)，資訊揭露、三大法人持股與公司經營績效之關聯性研究，台北大學企業管理學系碩士論文。 9. 歐秀琴 (2009)，公司獲利能力的不確定性對股價影響之研究，中正大學財務金融所碩士論文。 10. 蘇佳寶 (2023)，企業 ESG 評分對於其股票波動度影響之探討，臺灣師範大學管理研究所碩士論文。 英文文獻 1. Allen, F., Hao, L., and Luc, R. (2016), “Socially responsible firms”, Journal of Financial Economics, Vol. 122, Issue 3, pp. 585-606. 2. Ali, B., Cagatay, M., and Ezgi, K. (2017), “Relationship between profitability ratios and stock prices: an empirical analysis on BIST-100”, PressAcademia Procedia(PAP), Vol.6, pp.1-10. 3. Brian, L. and Vahap, B. U. (2023), “Does ESG matter to investors? ESG scores and the stock price response to new information”, Global Finance Journal, Vol. 57, Article 100851. 4. Chih-Wen, M., and Wen-Chieh, W. (2019), “Moderated mediation effects of corporate social responsibility performance on tax avoidance: evidence from China”, Asia-Pacific Journal of Accounting & Economics, vol. 26, issue 1-2, pp.90-107. 5. Ebrahim, B. (2023), “The role of ESG ranking in retail and institutional investors' attention and trading behavior”, Finance Research Letters, Vol. 58, Part C, Article 104462. 6. Hu, W., Hong, S., and Shouwei, L. (2023), “ESG performance and stock price fragility”, Finance Research Letters, Vol. 56. Article 104101. 7. Hao, J. (2010), “Institutional investors, intangible information, and the book-to-market effect”, Journal of Financial Economics, Vol. 96, pp. 98-126. 8. John, M. G., Jeffrey, H. H., and Selim, T. (2003), “The Dynamics of Institutional and Individual Trading”, The Journal of Finance, Vol. 58, pp. 2285-2320. 9. Jeffrey, R. E., and Lisa, S. L. (2007), “Methods for integrating moderation and mediation: A general analytical framework using moderated path analysis.”, Psychological Methods, Vol.12, pp. 1–22. 10. Jianguo, C., Lloyd B., and Dar-Hsin, C. (2008), “Does Institutional Ownership Create Values? The New Zealand Case”, Quarterly Journal of Finance and Accounting, Vol. 47, No. 4, pp.109-124. 11. John, P. (2009), “The Challenge of Measuring Financial Impacts From Investments in Corporate Social Performance”, Journal of Management Southern Management Association, Vol.35, pp. 1518-1541. 12. Junyao, C., Qing, L., and Youyu, Y. (2022), “The Impact of Institutional Investors on Firm Performance: Evidence from China”, International Journal of Finance & Economics, Vol.26, pp. 290-309. 13. Lasse, H., P., Shaun, F., and Lukasz, P. (2020), “Responsible investing: The ESG-efficient frontier”, Journal of Financial Economics, Vol. 142, Issue 2, pp. 572-597. 14. Mark, F., Bruce, K., and Camilla, S. (2012), “Sustainable Investing: Establishing Long-Term Value and Performance”, SSRN Electronic Journal, ssrn.2222740. 15. Maretno, H., Hoje, J., and Yongtae, K. (2017), “Is Institutional Ownership Related to Corporate Social Responsibility?”, Journal of Business Ethics, Vol. 146, No. 1, pp. 77-109. 16. Mahmut, A., Güzhan, G., and Korkmaz, E. (2022), “Impact of ESG performance on firm value and profitability”, Borsa Istanbul Review, Vol. 22, Supplement 2, pp. S119-S127. 17. Md, S., Md, S. A., and Md, S. I. (2022), “Do all institutional investors care about corporate carbon emissions?”, Energy Economics, Vol. 115, Article 106376. 18. Philipp, K. (2015), “Corporate goodness and shareholder wealth”, Journal of Financial Economics, Vol. 115, Issue 2, pp. 304-329. 19. Putri, K. D. L., and Deni, A. (2020), “The Effect of Profitability on Share Prices Through Capital Structure as an Intervening Variable in Indonesia’s Automotive Sectors Listed Companies”, Proceedings of the International Conference on Strategic Issues of Economics, Business and, Education (ICoSIEBE 2020), Vol. 163, aebmr.k.210220.025. 20. Savva, S. and Binam, G. (2021), “When ESG meets AAA: The effect of ESG rating changes on stock returns”, Finance Research Letters, Vol. 46, Part A, Article 102302. 21. Xiao-Na, Y., Jing-Ping, L., and Chi-Wei, S. (2023), “How does ESG performance affect stock returns? Empirical evidence from listed companies in China”, Heliyon, Vol. 9, Issue 5, e16320. 22. Yijing, W., and Guido, B. (2015), “The Impact of Four Types of Corporate Social Performance on Reputation and Financial Performance”, Journal of Business Ethics, Vol. 131, issue 2, pp. 337-359. 網路資源 1. PwC (2023)，2023 全球投資人調查報告。檢自： https://www.pwc.tw/zh/publications/global-insights/global-investor-survey-2023.html 2. Schroders (2022)，2022 年全球投資人大調查。檢自： https://www.schroders.com/zh-tw/tw/individual/global-investor-study-2022/sustainability-hub/ 描述 碩士
國立政治大學
財政學系
111255023資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111255023 資料類型 thesis dc.contributor.advisor 吳文傑 zh_TW dc.contributor.advisor Wu, Wen-Chieh en_US dc.contributor.author (Authors) 廖安婕 zh_TW dc.contributor.author (Authors) Liao, An-Jie en_US dc.creator (作者) 廖安婕 zh_TW dc.creator (作者) Liao, An-Jie en_US dc.date (日期) 2024 en_US dc.date.accessioned 5-Aug-2024 14:45:58 (UTC+8) - dc.date.available 5-Aug-2024 14:45:58 (UTC+8) - dc.date.issued (上傳時間) 5-Aug-2024 14:45:58 (UTC+8) - dc.identifier (Other Identifiers) G0111255023 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152911 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財政學系 zh_TW dc.description (描述) 111255023 zh_TW dc.description.abstract (摘要) 永續議題儼然為當前趨勢之一，政策、市場與企業等逐漸投入轉型，企業ESG表現之重要性也逐漸受到認可，越來越多投資人開始將其納入投資決策考量，惟ESG表現是否真正影響股價尚未獲得定論。 本研究採用2016年至2023年台灣上市櫃企業資料，透過數據實證ESG表現與股價之關聯，研究方法採用中介與調節模型，旨在探討ESG表現對股價間接影響之可能性。研究發現，作為中介變數之法人持股比例與作為調節變數之獲利性皆於模型中雙雙發揮作用，企業ESG表現對股價具有直接與間接效果，整體而言與股價之關聯為正相關。 另外，透過門檻迴歸模型發現ESG表現存在門檻值，當ESG表現達到門檻值水平後，股價上升之幅度更為顯著，亦於研究中發現門檻值大小與產業特性相關，低汙染產業達到較低之門檻值即可進一步提升股價，顯示投資人對於產業轉型之重視，符合當前投資趨勢。 zh_TW dc.description.abstract (摘要) Sustainability issues have become one of the current trends, with policies, markets, and companies gradually committing to transformation. The importance of ESG (Environmental, Social, and Governance) performance is increasingly recognized, and more and more investors take it into their investment decisions. However, it remains inconclusive whether ESG performance truly affects stock prices. This study utilizes data from publicly listed companies in Taiwan from 2016 to 2023 to empirically examine the relationship between ESG performance and stock prices. Employing mediation and moderation models, this research aims to explore the potential indirect effects of ESG performance on stock prices. The findings reveal that institutional holding as a mediating variable and profitability as a moderating variable both play significant roles in the models. Corporate ESG performance exhibits both direct and indirect effects on stock prices, and overall, the relationship is positively correlated. Furthermore, the threshold regression model indicates the existence of a threshold value for ESG performance. Once ESG performance reaches this threshold level, the increase in stock prices becomes more pronounced. Additionally, the study finds that the threshold value is related to industry characteristics, with low-pollution industries achieving significant stock price increases under the lower threshold values. This indicates investors' emphasis on industrial transformation, aligning with current investment trends. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究動機與研究問題 1 第二節 方法與限制 5 第三節 研究架構 6 第二章 文獻回顧 7 第一節 企業ESG表現與股價之關聯 7 第二節 企業ESG表現與獲利性之關聯 8 第三節 企業ESG表現與法人持股之關聯 9 第四節 獲利性與法人持股之關聯 10 第五節 獲利性與股價之關聯 10 第六節 法人持股與股價之關聯 11 第七節 中介效果相關研究 12 第三章 研究方法 14 第一節 假說 14 第二節 模型簡介 17 第四章 樣本與變數 24 第一節 變數定義 24 第二節 研究樣本與來源說明 29 第三節 敘述性統計 30 第五章 實證分析 32 第一節 調節式中介效果 32 第二節 調節式中介效果落後期檢測 48 第三節 門檻迴歸分析 59 第六章 結論與建議 66 第一節 結論 66 第二節 研究限制與建議 69 參考文獻 70 zh_TW dc.format.extent 3616947 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111255023 en_US dc.subject (關鍵詞) ESG zh_TW dc.subject (關鍵詞) 股價 zh_TW dc.subject (關鍵詞) 法人持股比例 zh_TW dc.subject (關鍵詞) 獲利性 zh_TW dc.subject (關鍵詞) 調節式中介效果 zh_TW dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) Stock price en_US dc.subject (關鍵詞) Institutional holding en_US dc.subject (關鍵詞) Profitability en_US dc.subject (關鍵詞) Moderated mediation effect en_US dc.title (題名) 企業ESG表現對股價之影響—調節式中介效果分析 zh_TW dc.title (題名) A Moderated Mediation Analysis of the Relationship between Corporate ESG Performance and Stock Prices en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文文獻 1. 王昱隆 (2023)，ESG、法人持股與公司價值關聯性之實證研究，中國科技大學企業管理系碩士在職專班碩士論文。 2. 吳侑丞 (2022)，ESG 宣告對臺灣上市企業股價的影響，亞洲大學財務金融學系碩士在職專班碩士論文。 3. 洪兆龍 (2016)，台灣上市公司獲利與三大法人持股之關聯性，銘傳大學財務金融學系碩士在職專班碩士論文。 4. 陳宥豪 (2021)，台灣股市三大法人持股比例變動對股價報酬率之影響，中正大學財務金融系研究所碩士論文。 5. 陶君 (2023)，ESG 表現對上市公司股價變動的影響研究，上海工程技術大學管理學院。 6. 楊炎杰 (1997)，我國上市公司獲利能力指標與股價變動之研究，政治大學會計研究所碩士論文。 7. 廖苡安 (2022)，ESG、機構投資人持股及公司績效之關聯性，東吳大學國際經營與貿易研究所碩士論文。 8. 劉家輝 (2009)，資訊揭露、三大法人持股與公司經營績效之關聯性研究，台北大學企業管理學系碩士論文。 9. 歐秀琴 (2009)，公司獲利能力的不確定性對股價影響之研究，中正大學財務金融所碩士論文。 10. 蘇佳寶 (2023)，企業 ESG 評分對於其股票波動度影響之探討，臺灣師範大學管理研究所碩士論文。 英文文獻 1. Allen, F., Hao, L., and Luc, R. (2016), “Socially responsible firms”, Journal of Financial Economics, Vol. 122, Issue 3, pp. 585-606. 2. Ali, B., Cagatay, M., and Ezgi, K. (2017), “Relationship between profitability ratios and stock prices: an empirical analysis on BIST-100”, PressAcademia Procedia(PAP), Vol.6, pp.1-10. 3. Brian, L. and Vahap, B. U. (2023), “Does ESG matter to investors? ESG scores and the stock price response to new information”, Global Finance Journal, Vol. 57, Article 100851. 4. Chih-Wen, M., and Wen-Chieh, W. (2019), “Moderated mediation effects of corporate social responsibility performance on tax avoidance: evidence from China”, Asia-Pacific Journal of Accounting & Economics, vol. 26, issue 1-2, pp.90-107. 5. Ebrahim, B. (2023), “The role of ESG ranking in retail and institutional investors' attention and trading behavior”, Finance Research Letters, Vol. 58, Part C, Article 104462. 6. Hu, W., Hong, S., and Shouwei, L. (2023), “ESG performance and stock price fragility”, Finance Research Letters, Vol. 56. Article 104101. 7. Hao, J. (2010), “Institutional investors, intangible information, and the book-to-market effect”, Journal of Financial Economics, Vol. 96, pp. 98-126. 8. John, M. G., Jeffrey, H. H., and Selim, T. (2003), “The Dynamics of Institutional and Individual Trading”, The Journal of Finance, Vol. 58, pp. 2285-2320. 9. Jeffrey, R. E., and Lisa, S. L. (2007), “Methods for integrating moderation and mediation: A general analytical framework using moderated path analysis.”, Psychological Methods, Vol.12, pp. 1–22. 10. Jianguo, C., Lloyd B., and Dar-Hsin, C. (2008), “Does Institutional Ownership Create Values? The New Zealand Case”, Quarterly Journal of Finance and Accounting, Vol. 47, No. 4, pp.109-124. 11. John, P. (2009), “The Challenge of Measuring Financial Impacts From Investments in Corporate Social Performance”, Journal of Management Southern Management Association, Vol.35, pp. 1518-1541. 12. Junyao, C., Qing, L., and Youyu, Y. (2022), “The Impact of Institutional Investors on Firm Performance: Evidence from China”, International Journal of Finance & Economics, Vol.26, pp. 290-309. 13. Lasse, H., P., Shaun, F., and Lukasz, P. (2020), “Responsible investing: The ESG-efficient frontier”, Journal of Financial Economics, Vol. 142, Issue 2, pp. 572-597. 14. Mark, F., Bruce, K., and Camilla, S. (2012), “Sustainable Investing: Establishing Long-Term Value and Performance”, SSRN Electronic Journal, ssrn.2222740. 15. Maretno, H., Hoje, J., and Yongtae, K. (2017), “Is Institutional Ownership Related to Corporate Social Responsibility?”, Journal of Business Ethics, Vol. 146, No. 1, pp. 77-109. 16. Mahmut, A., Güzhan, G., and Korkmaz, E. (2022), “Impact of ESG performance on firm value and profitability”, Borsa Istanbul Review, Vol. 22, Supplement 2, pp. S119-S127. 17. Md, S., Md, S. A., and Md, S. I. (2022), “Do all institutional investors care about corporate carbon emissions?”, Energy Economics, Vol. 115, Article 106376. 18. Philipp, K. (2015), “Corporate goodness and shareholder wealth”, Journal of Financial Economics, Vol. 115, Issue 2, pp. 304-329. 19. Putri, K. D. L., and Deni, A. (2020), “The Effect of Profitability on Share Prices Through Capital Structure as an Intervening Variable in Indonesia’s Automotive Sectors Listed Companies”, Proceedings of the International Conference on Strategic Issues of Economics, Business and, Education (ICoSIEBE 2020), Vol. 163, aebmr.k.210220.025. 20. Savva, S. and Binam, G. (2021), “When ESG meets AAA: The effect of ESG rating changes on stock returns”, Finance Research Letters, Vol. 46, Part A, Article 102302. 21. Xiao-Na, Y., Jing-Ping, L., and Chi-Wei, S. (2023), “How does ESG performance affect stock returns? Empirical evidence from listed companies in China”, Heliyon, Vol. 9, Issue 5, e16320. 22. Yijing, W., and Guido, B. (2015), “The Impact of Four Types of Corporate Social Performance on Reputation and Financial Performance”, Journal of Business Ethics, Vol. 131, issue 2, pp. 337-359. 網路資源 1. PwC (2023)，2023 全球投資人調查報告。檢自： https://www.pwc.tw/zh/publications/global-insights/global-investor-survey-2023.html 2. Schroders (2022)，2022 年全球投資人大調查。檢自： https://www.schroders.com/zh-tw/tw/individual/global-investor-study-2022/sustainability-hub/ zh_TW
