永續性發展投入與股價崩盤風險之關係

Abstract

本研究旨在探討永續性發展投入與股價崩盤風險之關係，股價崩盤風險起因於市場中的資訊不對稱，如果市場參與者無法獲取完整和準確的資訊，將使投資者難以準確評估風險，且壞消息若囤積到一定程度爆發則會導致股價崩盤。而永續性發展之投入則能帶來更多資訊的揭露，對於市場來說是一項重要的指標，可以避免過於資訊不對稱之情形而做出不良的投資判斷。為了評估永續性發展投入的表現，本研究使用了TESG永續發展指標資料庫中的ESG分數作為衡量標準。同時，採用過去文獻中用以評估股價崩盤風險的方法進行分析。 研究結果支持了永續性發展投入降低股價崩盤風險的觀點，即使在考慮內生性問題後，結果仍然保持一致。進一步根據公司治理效率將樣本公司分組，結果顯示公司治理效率較低的公司在永續性發展投入對於股價崩盤風險的抑制效果更為顯著。同時，以永續報告書是否經第三方認證作為分組標準，結果顯示未經第三方驗證的公司相較於經第三方驗證的公司在永續性發展投入對股價崩盤風險的抑制效果更為顯著。這兩個結果表明，對於資訊揭露較低的公司，永續性發展投入帶來的資訊量更能有效抑制股價崩盤風險。最後，本研究透過探討永續性發展投入與股價崩盤風險的關係，為台灣市場的投資人提供更多風險評估的參考，有望將其納入投資組合。

This research aims to investigate the relationship between sustainable development investment and stock price crash risk. The phenomenon of stock price crash risk arises from information asymmetry in the market. When market participants cannot access complete and accurate information, investors find it challenging to assess risks accurately. Furthermore, the accumulation of adverse news, if reaching a certain threshold, can trigger a stock price crash. Sustainable development investment is posited to bring about increased information disclosure, serving as a crucial indicator for the market. This can mitigate situations of excessive information asymmetry, preventing investors from making poor investment judgements. To measure the performance of sustainable development investment, this study utilizes ESG scores from the TESG Sustainable Development Indicator Database. The analysis is conducted based on methodologies established in past literature for assessing stock price crash risk. The results support the viewpoint that sustainable development investment can reduce stock price crash risk, and this conclusion holds even after considering endogeneity issues. Further categorizing sample companies based on corporate governance efficiency reveals that companies with lower governance efficiency exhibit a more pronounced reduction in stock price crash risk through sustainable development investment compared to those with higher efficiency. Similarly, when categorizing companies based on whether their sustainability reports are third-party certified, the study finds that companies without third-party verification experience a more significant reduction in stock price crash risk through sustainable development investment compared to certified counterparts. Both results suggest that for companies with initially lower information disclosure levels, sustainable development investment brings about a more substantial information impact in mitigating stock price crash risk. In conclusion, this study, by exploring the relationship between sustainable development investment and stock price crash risk, provides Taiwanese market investors with additional reference points for risk assessment, offering insights into potential portfolio inclusion.