臺灣企業ESG評級於COVID期間報酬績效關聯探討

Abstract

近年來ESG投資浪潮興起，永續成為新時代顯學，政府、企業乃至人民皆在呼籲綠色作為。然而，越是備受關注與推崇的議題，越不禁令人質疑永續是真正 被重視，抑或是投資人找尋到的新的投機標的。 本研究的主要目的係探討臺灣企業ESG作為與財務表現的相關性，樣本包含來自1705間臺灣上市櫃公司，利用其ESG評級與股價季報酬率作為研究變數。於樣本期間的選擇上，本文主要以COVID期間作為參考，並考量到臺灣本土市 場和全球股市在新冠疫情期間所受到影響的時段不同，為更符合臺灣實際情況，選擇使用衛福部宣布的「新冠疫情第三級警戒」期間以及解除警戒後作為樣本選擇期間，因此使用之資料主要採自2020~2023年，數據皆來自TEJ，同時參照過往文獻，加入相關財務指標作為控制變數，並依據研究期間建立兩假說，以提升模型的完整性。

In recent years, there has been a rise in the wave of ESG investments, and sustainability has become a prominent issue in the new era. Governments, corporations, and even individuals are calling for a greener approach. However, the more attention and admiration a topic receives, the more it raises doubts about whether sustainability is genuinely being prioritized or if it has become a new target for investors seeking opportunities. The main objective of this study is to explore the relationship between ESG practices and financial performance in Taiwanese companies. The sample consists of 1,705 listed and over-the-counter companies in Taiwan, using their ESG ratings and quarterly stock returns as research variables. In selecting the sample period, this study primarily references the COVID-19 period. Taking into consideration the different impacts on the domestic market and the global stock market during the COVID-19 pandemic, the sample period chosen aims to better reflect the actual situation in Taiwan. The selected sample period includes the period of the "third-level alert" declared by the Ministry of Health and Welfare and the period after the alert was lifted. The data used in this study mainly covers the years 2020 to 2023 and is obtained from TEJ. In addition, relevant financial indicators are included as control variables based on previous literature. Two hypotheses are formulated based on the research period to enhance the comprehensiveness of the model.