環保違規事件與機構投資人持股關係

Abstract

本研究利用台灣經濟新報資料庫(TEJ)與環境部列管污染源資料，採用事件研究法(Event Study)之市場模型(Market Model)，實證檢視企業環保違規對股東財富的影響，並進一步探討機構投資人是否因關注 ESG(環境 Environmental、社會Social、公司治理 Governance)議題，於企業發生環保違規事件後調整其持股。 本研究主張，環保違規將引發市場顯著的負向反應，且若違規事件伴隨行政訴願，其負面影響更為明顯。此外，此類違規亦可能促使機構投資人——特別是對環境風險較為敏感的外國機構投資人——減少其持股部位。 實證結果顯示，市場對於環保違規事件發生呈現負向反應，但對後續的裁罰結果則無顯著反應。值得注意的是，若違規事件涉及行政訴願，其累積異常報酬(Cumulative Abnormal Returns, CAR)呈現更顯著的負向變化。進一步分析亦發現，相較於本國機構投資人，外國機構投資人對此類事件的反應更為敏感，其持股變化與累積異常報酬呈正相關，且在環保違規事件發生後有明顯減少持股的行為，顯示其對環境風險的關注程度較高。 本研究揭示外國與本國機構投資人在面對環境風險時反應上的差異，為臺灣資本市場中 ESG 議題的實證研究提供重要貢獻。

This study uses data from the Taiwan Economic Journal (TEJ) and the Ministry of Environment’s registry of regulated pollution sources to empirically examine the impact of corporate environmental violations on shareholder wealth, employing the event study methodology. This study further examines whether institutional investors adjust their shareholdings in response to environmental violations, motivated by concerns over Environmental, Social, and Governance (ESG) factors. The study argues that environmental violations trigger significant negative market reactions, with more pronounced effects observed when administrative appeals accompany the violations. Moreover, such violations lead institutional investors —particularly foreign institutional investors, who exhibit heightened sensitivity to environmental risks—to reduce their shareholdings. The empirical results suggest a negative market response to the announcement of environmental violations, with no significant reaction to the subsequent announcement of penalties. Notably, violations accompanied by administrative appeals are associated with significantly more negative abnormal returns. Furthermore, foreign institutional investors react more strongly than domestic investors, as evidenced by a more positive correlation between changes in their holdings and cumulative abnormal returns (CAR), along with a tendency to reduce their shareholdings following environmental violations. This study contributes to the ESG literature in Taiwan’s capital market by highlighting the differentiated investment relevance of environmental risks for foreign and domestic institutional investors.