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題名 台灣上市公司 ESG 效率前緣的建構：以 SASB 產業分類為例
Constructing the ESG Efficiency Frontier of Taiwan’s Listed Companies: A Case Study Based on SASB Industry Classification作者 曾敬哲
Tseng, Ching-Che貢獻者 林士貴<br>李宜熹
Lin, Shih-Kuei<br>Lee, Yi-Hsi
曾敬哲
Tseng, Ching-Che關鍵詞 永續投資
負責任投資
ESG 投資
ESG 效率前緣
ESG 評級
產業分析
Sustainable Investing
Responsible Investing
ESG Investing
ESG Efficient Frontier
ESG Ratings
Industry Analysis日期 2025 上傳時間 4-Aug-2025 14:31:45 (UTC+8) 摘要 隨著永續投資成為全球資本市場的重要趨勢，如何在財務報酬與永續表現之間取得最佳平衡，已成為資產配置的重要課題。本研究以 Pedersen et al. (2021) 所提出之 ESG 效率前緣模型為理論基礎，採用「TESG 永續發展解決方案」資料庫評分，實證分析台灣上市 (櫃) 公司在不同 SASB 主產業與子產業分類下，於 ESG 各構面 (環境、社會、治理及整體綜合) 之效率前緣類型。 透過台灣上市 (櫃) 公司彙整 59 個 SASB 子產業資料，實證分析指出「單駝峰型」為最常見的圖型類型，顯示多數產業在 ESG 分數與風險調整後報酬之間存在最適平衡點，特別符合 A 型投資人偏好；而「遞減型」則多集中於高碳排與高轉型成本的產業，如運輸、造紙與金融，對應 M 型投資人之永續取向。研究同時指出 ESG 構面間表現不一，治理構面最穩定，社會構面遞增型最少，環境構面則受限於資料完整性影響最大。本文結果有助於投資人根據其 ESG 偏好選擇適合產業，亦可為資產管理機構與政策制定者提供永續資本市場發展之策略建議。
As sustainable investing becomes a dominant trend in global capital markets, achieving an optimal balance between financial return and ESG performance has become a crucial asset allocation challenge. This study applies the ESG efficiency frontier framework proposed by Pedersen et al. (2021) and utilizes ESG ratings from the TESG Sustainable Development Database to empirically analyze Taiwan’s listed companies across various SASB-defined industries and sub-industries. By constructing ESG-SR efficiency frontiers for four dimensions—Environmental, Social, Governance, and Total ESG—the study classifies the shapes of frontier curves among 59 sub-industries. The results show that "Single-peaked" curves are most common, indicating that many industries exhibit a clear trade-off point between ESG scores and Sharpe ratios, aligning with Type-A investor preferences. In contrast, "Decreasing" patterns appear more frequently in carbon-intensive or high-transition-cost industries, such as transportation, paper, and banking, reflecting Type-M investor preferences. The study also finds that ESG dimension performance varies: governance is most stable, the social dimension shows the fewest increasing patterns, and environmental data suffers from completeness issues. These findings provide a foundation for investors to match their ESG preferences with industry characteristics and offer strategic implications for asset managers and policymakers in building sustainable capital markets.參考文獻 徐郁婷. (2024). TEJ主題資料庫 公司治理與永續研究. TEJ台灣經濟新報. 柳天麟. (2022). SASB產業分類研究. 貨幣觀測與信用評等-ESG專題 Avramov, D., Cheng, S., Lioui, A., & Tarelli, A. (2022). Sustainable investing with ESG rating uncertainty. Journal of Financial Economics, 145(2), 642-664. Giglio, S., Maggiori, M., Stroebel, J., Tan, Z., Utkus, S., and Xu, X. (2023a). Four Facts about ESG Beliefs and Investor Portfolios. NBER, 31114 Global Sustainable Investment Alliance (2021). 2020 Global Sustainable Investment Review. July, 32 pages. Global Sustainable Investment Alliance (2023). 2022 Global Sustainable Investment Review. November, 47 pages. Hacioglu, U., Dincer, H., Yilmaz, M. K., Yüksel, S., Sonko, M., & Delen, D. (2023). Optimizing sustainable industry investment selection: A golden cut-enhanced quantum spherical fuzzy decision-making approach. Applied soft computing, 148, 110853. Horan, S. M., Dimson, E., Emery, C., Blay, K., Yelton, G., & Agarwal, A. (2022). ESG investment outcomes, performance evaluation, and attribution. CFA Institute Research Foundation. Heckman, J. J. (1979). Sample selection bias as a specification error. Econometrica: Journal of the econometric society, 153-161. Markowitz, H. (1952). Modern portfolio theory. Journal of Finance, 7(11), 77-91. Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2021). Sustainable investing in equilibrium. Journal of Financial Economics, 142(2), 550-571. Pedersen, L. H., Fitzgibbons, S., & Pomorski, L. (2021). Responsible investing: The ESG-efficient frontier. Journal of Financial Economics, 142(2), 572-597. Pirani, S. A., & Patil, R. (2024). A Study on Evaluating Determinants of Factors Influencing Environmental Social and Governance (ESG) Investments. Economic Sciences, 20(2), 159-169. Pramitasari, D. A. ESG Investing: Evaluating the Financial Performance of Sustainable Portfolios. Equator Journal of Management and Entrepreneurship (EJME), 12(4), 332-340. Roncalli, T. (2022). Handbook of Sustainable Finance. Université Paris-Saclay. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442. Tobin, J. (1958). Liquidity preference as behavior towards risk. The Review of Economic Studies, 25(2), 65-86. Plagge, J. (2022). Explaining ESG Equity Index Fund Performance. Vanguard Global Head of Active-Passive Portfolio Research. 描述 碩士
國立政治大學
金融學系
112352005資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112352005 資料類型 thesis dc.contributor.advisor 林士貴<br>李宜熹 zh_TW dc.contributor.advisor Lin, Shih-Kuei<br>Lee, Yi-Hsi en_US dc.contributor.author (Authors) 曾敬哲 zh_TW dc.contributor.author (Authors) Tseng, Ching-Che en_US dc.creator (作者) 曾敬哲 zh_TW dc.creator (作者) Tseng, Ching-Che en_US dc.date (日期) 2025 en_US dc.date.accessioned 4-Aug-2025 14:31:45 (UTC+8) - dc.date.available 4-Aug-2025 14:31:45 (UTC+8) - dc.date.issued (上傳時間) 4-Aug-2025 14:31:45 (UTC+8) - dc.identifier (Other Identifiers) G0112352005 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158586 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 112352005 zh_TW dc.description.abstract (摘要) 隨著永續投資成為全球資本市場的重要趨勢，如何在財務報酬與永續表現之間取得最佳平衡，已成為資產配置的重要課題。本研究以 Pedersen et al. (2021) 所提出之 ESG 效率前緣模型為理論基礎，採用「TESG 永續發展解決方案」資料庫評分，實證分析台灣上市 (櫃) 公司在不同 SASB 主產業與子產業分類下，於 ESG 各構面 (環境、社會、治理及整體綜合) 之效率前緣類型。 透過台灣上市 (櫃) 公司彙整 59 個 SASB 子產業資料，實證分析指出「單駝峰型」為最常見的圖型類型，顯示多數產業在 ESG 分數與風險調整後報酬之間存在最適平衡點，特別符合 A 型投資人偏好；而「遞減型」則多集中於高碳排與高轉型成本的產業，如運輸、造紙與金融，對應 M 型投資人之永續取向。研究同時指出 ESG 構面間表現不一，治理構面最穩定，社會構面遞增型最少，環境構面則受限於資料完整性影響最大。本文結果有助於投資人根據其 ESG 偏好選擇適合產業，亦可為資產管理機構與政策制定者提供永續資本市場發展之策略建議。 zh_TW dc.description.abstract (摘要) As sustainable investing becomes a dominant trend in global capital markets, achieving an optimal balance between financial return and ESG performance has become a crucial asset allocation challenge. This study applies the ESG efficiency frontier framework proposed by Pedersen et al. (2021) and utilizes ESG ratings from the TESG Sustainable Development Database to empirically analyze Taiwan’s listed companies across various SASB-defined industries and sub-industries. By constructing ESG-SR efficiency frontiers for four dimensions—Environmental, Social, Governance, and Total ESG—the study classifies the shapes of frontier curves among 59 sub-industries. The results show that "Single-peaked" curves are most common, indicating that many industries exhibit a clear trade-off point between ESG scores and Sharpe ratios, aligning with Type-A investor preferences. In contrast, "Decreasing" patterns appear more frequently in carbon-intensive or high-transition-cost industries, such as transportation, paper, and banking, reflecting Type-M investor preferences. The study also finds that ESG dimension performance varies: governance is most stable, the social dimension shows the fewest increasing patterns, and environmental data suffers from completeness issues. These findings provide a foundation for investors to match their ESG preferences with industry characteristics and offer strategic implications for asset managers and policymakers in building sustainable capital markets. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 5 第三節 研究架構與流程 6 第二章 文獻回顧 7 第一節 ESG 投資相關文獻 7 第二節 ESG 效率前緣相關文獻 8 第三節 文獻回顧小結 10 第三章 研究設計 11 第一節 研究方法 11 第二節 資料來源 17 第四章 實證結果 29 第一節 依照不同 SASB 子產業分析 29 第二節 依照不同 SASB 主產業分析 35 第三節 依照不同 ESG 構面分析 39 第五章 結論與建議 42 參考文獻 44 附錄一：程式碼 46 附錄二：程式輸出圖 53 zh_TW dc.format.extent 8228845 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112352005 en_US dc.subject (關鍵詞) 永續投資 zh_TW dc.subject (關鍵詞) 負責任投資 zh_TW dc.subject (關鍵詞) ESG 投資 zh_TW dc.subject (關鍵詞) ESG 效率前緣 zh_TW dc.subject (關鍵詞) ESG 評級 zh_TW dc.subject (關鍵詞) 產業分析 zh_TW dc.subject (關鍵詞) Sustainable Investing en_US dc.subject (關鍵詞) Responsible Investing en_US dc.subject (關鍵詞) ESG Investing en_US dc.subject (關鍵詞) ESG Efficient Frontier en_US dc.subject (關鍵詞) ESG Ratings en_US dc.subject (關鍵詞) Industry Analysis en_US dc.title (題名) 台灣上市公司 ESG 效率前緣的建構：以 SASB 產業分類為例 zh_TW dc.title (題名) Constructing the ESG Efficiency Frontier of Taiwan’s Listed Companies: A Case Study Based on SASB Industry Classification en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 徐郁婷. (2024). TEJ主題資料庫 公司治理與永續研究. TEJ台灣經濟新報. 柳天麟. (2022). SASB產業分類研究. 貨幣觀測與信用評等-ESG專題 Avramov, D., Cheng, S., Lioui, A., & Tarelli, A. (2022). Sustainable investing with ESG rating uncertainty. Journal of Financial Economics, 145(2), 642-664. Giglio, S., Maggiori, M., Stroebel, J., Tan, Z., Utkus, S., and Xu, X. (2023a). Four Facts about ESG Beliefs and Investor Portfolios. NBER, 31114 Global Sustainable Investment Alliance (2021). 2020 Global Sustainable Investment Review. July, 32 pages. Global Sustainable Investment Alliance (2023). 2022 Global Sustainable Investment Review. November, 47 pages. Hacioglu, U., Dincer, H., Yilmaz, M. K., Yüksel, S., Sonko, M., & Delen, D. (2023). Optimizing sustainable industry investment selection: A golden cut-enhanced quantum spherical fuzzy decision-making approach. Applied soft computing, 148, 110853. Horan, S. M., Dimson, E., Emery, C., Blay, K., Yelton, G., & Agarwal, A. (2022). ESG investment outcomes, performance evaluation, and attribution. CFA Institute Research Foundation. Heckman, J. J. (1979). Sample selection bias as a specification error. Econometrica: Journal of the econometric society, 153-161. Markowitz, H. (1952). Modern portfolio theory. Journal of Finance, 7(11), 77-91. Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2021). Sustainable investing in equilibrium. Journal of Financial Economics, 142(2), 550-571. Pedersen, L. H., Fitzgibbons, S., & Pomorski, L. (2021). Responsible investing: The ESG-efficient frontier. Journal of Financial Economics, 142(2), 572-597. Pirani, S. A., & Patil, R. (2024). A Study on Evaluating Determinants of Factors Influencing Environmental Social and Governance (ESG) Investments. Economic Sciences, 20(2), 159-169. Pramitasari, D. A. ESG Investing: Evaluating the Financial Performance of Sustainable Portfolios. Equator Journal of Management and Entrepreneurship (EJME), 12(4), 332-340. Roncalli, T. (2022). Handbook of Sustainable Finance. Université Paris-Saclay. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442. Tobin, J. (1958). Liquidity preference as behavior towards risk. The Review of Economic Studies, 25(2), 65-86. Plagge, J. (2022). Explaining ESG Equity Index Fund Performance. Vanguard Global Head of Active-Passive Portfolio Research. zh_TW
