MD&A中的ESG揭露與盈餘持續性：基於FinBERT-ESG之實證結果

Abstract

本研究探討財務報表管理層討論與分析中ESG揭露數的決定因素，以及這些揭露與財務績效和盈餘持續性之間的關聯，基於1999年至2020年間美國市場上的52,064家公司的年度觀察樣本，並使用FinBERT-ESG模型來萃取ESG相關訊息。實證結果顯示，ESG揭露數與股利、市值與帳面價值比率、資本支出和公司員工人數呈正相關，而與槓桿比率、業務波動性和特別損益呈負相關。有趣的是，無論是盈利公司還是虧損公司，都更傾向於揭露更多ESG訊息，但後者可能出於轉移注意力之策略，此外，研究亦發現ESG揭露數與盈餘持續性呈負相關，而與ESG揭露和獲利能力之交乘項呈現正相關，這表明ESG揭露為獲利能力較強的公司帶來更高的盈餘持續性。

This paper presents an empirical analysis examining the determinants of ESG disclosures and their relationship with financial performance and earnings persistence. The study utilizes a dataset of 52,064 firm-year observations from the US market spanning 1999 to 2020, employing FinBERT-ESG to extract ESG sentences and quantify ESG disclosures. The results reveal positive associations between ESG disclosures and dividends, market-to-book ratio, capital expenditure, and number of employees, while negative relationships are observed with leverage, business volatility, and special events. Notably, both profitable firms and loss-making firms disclose more ESG information, with the latter potentially using ESG disclosures as a diversionary tactic. Additionally, a negative correlation is observed between ESG disclosures and earnings persistence, while a positive connection is identified in the interaction of ESG disclosures and profitability, suggesting that firms with more ESG disclosures exhibit higher earnings persistence, particularly if they are profitable.