個股報酬不確定性對投資 ESG 股票報酬之影響

Abstract

本文分析了過往ESG評比對股票報酬影響的文獻，探討當個股報酬不確定性不存在時，有ESG偏好的機構投資人會為了非金錢收益而持有ESG評比優良的股票，進而導致ESG 與 異常報酬存在負向關係。相反的，當不確定性高時， 此關係則不清晰。本文利用主要評比機構的 ESG 評比的平均數作為解釋變數，並分別以股價報酬率標準差、殘差標準差作為個股報酬不確定性，探討當這些不確定性低時，ESG評比與股票報酬之間的影響。本文使用了時間序列分析方法以及Fama-Macbeth 迴歸。 在以上基礎之下，本文更進一步分析ESG評比的三個成分：E、S、G三項分數，研究三項分數是否存在某種關鍵因素，研究三個成分在存在個股報酬不確定性下對投資 ESG 股票報酬的影響。最後研究結果顯示，當個股報酬不確定性存在時，ESG評比與股票報酬之間並無明顯關係，顯示投資人並未將個股報酬不確定性納入其投資決策當中。

This paper analyzes the literature on the impact of past ESG ratings on stock returns. It explores the scenario where, in the absence of stock return uncertainty, institutional investors with a preference for ESG ratings hold highly rated ESG stocks for non-monetary benefits, leading to a negative relationship between ESG ratings and abnormal returns. Conversely, when uncertainty is high, this relationship is unclear. The study uses the average ESG ratings from major rating agencies as explanatory variables and employs the standard deviation of stock returns and residuals as measures of stock return uncertainty to examine the impact of ESG ratings on stock returns under low uncertainty. The methodology includes time series analysis and Fama-Macbeth regression. Building on this, the paper further analyzes the three components of ESG ratings: Environmental (E), Social (S), and Governance (G) scores, investigating whether any of these components serve as key factors and how they impact the returns on ESG investments under stock return uncertainty. The final results indicate that when stock return uncertainty exists, there is no significant relationship between ESG ratings and stock returns, suggesting that investors do not incorporate stock return uncertainty into their investment decisions.