企業社會責任、財務績效與股價報酬：基於臺灣上市公司與追蹤資料模型的研究

Abstract

本研究以2010年至2020年臺灣88家上市公司的平衡型追蹤資料為樣本，檢測企業社會責任績效對財務 績效與股價報酬的影響。本文使用Refinitiv資料庫，以ESG績效、環境保護績效、社會責任績效與公司治理績效作為企業社會責任績效的衡量變數。本文發現：（1）當期的ESG績效、環境保護績效與社會責任績效會負面影響資產報酬率、權益報酬率與公司價值；（2）當期的ESG績效、環境保護績效、社會責任績效與公司治理績效對股價報酬率沒有影響；（3）落後一期的ESG績效會正面影響權益報酬率；（4）落後一期的社會責任績效會正面影響資產報酬率與權益報酬率；（5）落後一期的ESG績效、環境保護績效、社會責任績效與公司治理績效對公司價值與股價報酬率沒有影響。

This study examines the impact of corporate social responsibility performance on financial performance and stock returns, using balanced panel data of 88 Taiwan listed companies from 2010 to 2020 as a sample. This study uses the Refinitiv database to take ESG performance, environmental protection performance, social responsibility performance, and corporate governance performance as measurement variables for corporate social responsibility performance. Findings of this study are as follows: (1) Current ESG performance, environmental protection performance, and social responsibility performance have negative effect on return on assets, return on equity, and company value; (2) Current ESG performance, environmental protection performance, social responsibility performance, and corporate governance performance have no effect on stock returns; (3) One period lagged ESG performance has positive effect on return on equity; (4) One period lagged social responsibility performance has positive effect on return on assets and return on equity; (5) One period lagged ESG performance, environmental protection performance, social responsibility performance, and corporate governance performance have no effect on firm value and stock returns.