台灣永續發展債券

Abstract

本研究通過事件研究法( Event study )，以市場模型( Market model )探討永續發展債券的宣告發行對股票累積報酬率的影響。其次，使用多元迴歸模型將是否為會計師事務所認證、聯合國永續發展目標數量（SDGs）以及債券類別作為自變數並控制了發行人特徵以及債券特徵，以累積異常報酬率作為應變數，探討何種變數會影響市場的反應。最後，本研究使用平均數比較檢定( Mean comparison )檢驗發行人的永續性評分在發行永續發展債券後是否有所改善。 研究結果顯示: (一) 市場對於資金用途單一的綠色債券及社會責任債券有積極回應。(二) 由會計師事務所出具的驗證報告較能取信於市場。(三) 發行人於資金運用計畫書中過度強調SDGs，市場反應趨於負面。(四)市場對於官股比例超過10%的發行人宣告發行永續發展債券反應不佳。(五)資金用途單一的綠色債券及社會責任債券，其發行人在短期及長期內的永續性評分皆有顯著上升。

This study employs the event study methodology to examine the market model issuance announcement returns of green, social, sustainability, and sustainability-linked bonds. In addition, controlling for issuer and bond characteristics, we use the multivariate regression specification to examine the relationship between third-party assurance, alignment with the United Nations Sustainable Development Goals (SDGs), and sustainability bond type and the market model announcement returns. Finally, we examine whether the issuers’ ESG ratings, particularly environmental ones, improve after issuing sustainability bonds. We find that: (1) The market responds positively to green bonds and social bonds issued for a specific purpose. (2) Assurance reports issued by accounting firms enhance market credibility. (3) Excessive emphasis on SDGs＇use of proceeds leads to adverse market reactions. (4) The stock market responds negatively to sustainability bond announcements from issuers with more than 10% government ownership. (5) Issuers of green bonds and social bonds with a single use of proceeds demonstrate significant improvements in their environmental ratings both in the short and long term.