ESG 報告書文本分析與 ESG 評價在估值方面的應用：來自 S&P500 公司的證據

Abstract

本研究將ESG報告書之質性資訊加以量化，旨在探討ESG報告書之文本揭露與企業價值之間的關聯，並進一步檢驗揭露語氣是否能提供客觀第三方ESG 績效評價以外之增量資訊，以及探究兩者在影響企業價值時的交互調節作用。本研究使用Loughran和McDonald專門為金融領域設計之情緒字典，對企業ESG報告書進行情緒分析。 實證結果顯示，ESG報告書之揭露語氣具價值攸關性，且存在顯著的不對稱現象，單獨之正向語氣與企業價值缺乏顯著的關聯，而負向語氣則與企業價值呈顯著負相關，顯示負向語氣能有效反映已發生的經濟實質。在納入客觀第三方評價後，正向語氣之增額資訊價值才得以顯現；相對地，負向語氣本身即可主導其與企業價值之關聯。此外，交互作用分析顯示，客觀ESG評價對文本語氣具備顯著的調節效應，當第三方評價愈高時，正向語氣的邊際效果隨之減弱，卻會強化負向語氣對企業價值的負面影響。 歸納上述實證結果，ESG報告書之敘述性揭露能捕捉企業當期之經濟實質，且其資訊內涵與客觀第三方ESG評價並非完全重疊。因此，企業永續資訊之資訊內涵不僅存在於結構化績效指標，亦存在於管理階層之文字揭露內容。未來監管機構仍應持續推動標準化敘事揭露架構，以提升ESG資訊品質並降低漂綠風險。

This study investigates how textual characteristics in sustainability reports impacts firm value and interacts with objective ESG ratings, using the Loughran and McDonald sentiment dictionary. Empirical results reveal an asymmetric in disclosure tone: standalone positive tone lacks value-relevance, negative tone significantly associated with firm value, demonstrating that negative language effectively reflects the ESG substance realized during the period. Once objective ratings are incorporated, the value of positive tone emerges, whereas negative tone exhibits dominance. Furthermore, interaction term indicates that objective ESG ratings exert a significant moderating effect on disclosure tone. As ESG ratings increase, the marginal effect of positive tone diminishes, whereas the negative impact of negative tone on firm value is amplified. Narrative disclosures in ESG reports capture a firm's sustainable substance, and their disclosure does not completely overlap with objective third-party ESG ratings. Therefore, the informational value of corporate sustainability exists not only in structured performance metrics but also within the textual narratives disclosed by management. Looking forward, regulators should continue to promote standardized narrative disclosure frameworks to enhance the quality of ESG information and mitigate greenwashing risks.