ESG主題ETF與ESG連結薪酬關聯性之探討

Abstract

隨著ESG（環境、社會與公司治理）主題投資逐漸成為全球資本市場趨勢，ESG主題ETF亦成為投資人重要的永續投資工具。過往文獻指出，從ESG ETF被剔除，可能影響企業資本成本、股價波動與聲譽，使企業對是否能維持成分股資格更加重視。為展現永續承諾，企業除提升ESG評等表現外，亦可能採行內部制度工具作為回應，其中「ESG連結薪酬（ESG-linked Pay）」即為企業近年導入之策略性激勵機制。 本研究以2017年至2022年美國上市櫃公司為樣本，探討企業在被納入ESG ETF後，是否於次一年度更可能採行ESG連結薪酬制度。實證結果顯示企業在被納入ESG ETF後，隔年導入ESG連結薪酬之機率顯著提升，即使控制企業自身ESG評等後，ETF納入效果仍具穩健之正向關聯；本研究額外測試結果亦顯示，企業於遭ESG ETF剔除時，短期窗口內股價普遍出現顯著負向異常報酬，反映市場對剔除事件具有明確之負面認知。此一結果進一步支持企業可能出於「避免被剃除」之誘因，而導入ESG薪酬制度作為制度性回應。本研究發現顯示ESG ETF納入事件對企業內部治理制度可能存在間接塑造效果，企業導入ESG連結薪酬制度可能源自於維持成分股資格之策略考量，而非僅因ESG評等較高所致。

As sustainable investing gains prominence globally, Environmental, Social, and Governance (ESG) themed exchange-traded funds (ETFs) have become essential instruments for investors. Previous literature indicates that exclusion from ESG ETFs can adversely affect a firm's cost of capital, stock price volatility, and reputation. Consequently, firms increasingly prioritize maintaining their constituent status within these ESG-focused funds. To demonstrate their sustainability commitments, companies not only strive to enhance their ESG ratings but also implement internal governance practices, such as ESG-linked compensation systems, as strategic responses. This study investigates whether inclusion in ESG ETFs prompts U.S.-listed firms to adopt ESG-linked executive pay in the subsequent fiscal year. Utilizing data from 2017 to 2022, the empirical findings indicate that companies recently included in ESG ETFs have a significantly higher likelihood of introducing ESG-linked remuneration in the following year. Importantly, this relationship remains robust even after controlling for firms' individual ESG ratings. Additionally, event-study analyses provide further insights, revealing that firms removed from ESG ETFs experience significant negative cumulative abnormal returns within a short event window, signaling clear market disapproval of such exclusions. These findings further reinforce the notion that companies strategically adopt ESG-linked pay schemes to mitigate the risk of ETF exclusion. Overall, the results of this research highlight the indirect influence that ESG ETF inclusion exerts on corporate governance practices. The adoption of ESG-linked executive compensation appears driven by strategic motivations to maintain constituent status within ESG ETFs, rather than solely reflecting superior ESG ratings. These findings enrich our understanding of the interplay between sustainable investment trends and corporate governance practices, providing valuable implications for future research and managerial strategies.