企業氣候變遷管理表現與股市反應 —以臺灣與荷蘭進行研究比較

Abstract

此篇研究以企業氣候變遷管理表現與股市為主軸，旨在探討市場對於企業碳揭露計畫(CDP)氣候變遷問卷分數公開揭露之反應，分別以臺灣、荷蘭樣本針對若干異質性面向進行實證分析。此研究發現，針對臺灣股市：(1) 投資人對於初次分數公開揭露時擁有較高分數的公司有相對負向之反應。此外相較外資，本國投資人對於高碳排產業公司的分數初揭露也有較為負向之反應；(2) 當公司擁有較高分數時，於下一年度投資人會對其分數進退步有負向反應；(3)高外資持股比的企業、2020年前的實證結果，分別在低CDP分數、高CDP分數呈現顯著之負向反應。另一方面，荷蘭股市對於企業CDP分數初次揭露、分數進退步則無顯著反應，但在分數分級上，則傾向對於高碳排產業中獲得高分之企業有負向反應，而2020年後的實證結果，亦於獲得高分的企業觀察到股市之負反應。以上研究結果雖於臺灣股市投資人對CDP分數公開揭露之若干面向反應上未能提供一致之結論，但荷蘭股市的研究結果則顯示出投資人擔憂氣候治理與減碳相關措施所帶來的成本。此研究另發現，當金管會發布「公司治理3.0」政策，臺灣股市對於有完整填答CDP問卷並獲得分數揭露之高碳排企業會有正向之反應，或可解釋為投資人將參與CDP氣候變遷問卷回覆視為企業面對ESG資訊揭露相關監管做好較完善準備、擁有較有利條件之表徵。

This study is regarding the performance of corporate climate change management and equity markets, aiming to investigate market reactions to corporate score public disclosure of the Carbon Disclosure Project (CDP) climate change questionnaire in several heterogeneous facets with Taiwanese and Dutch samples respectively. I find that in the Taiwan equity market, (i) investors would have a relatively negative reaction to firms obtaining higher scores in their first score public debut. Also, domestic investors account for the negative reaction to the first score disclosure of high-carbon firms; (ii) when firms obtain higher scores, investors would have negative reactions to their score changes in the next year; (iii) for firms with low scores and higher foreign ownership or firms with high scores before 2020, investors would give relatively negative reactions. On the other side, I do not find significant reactions of the Netherlands equity market to corporate CDP score first disclosure and score changes but a negative reaction to high-score firms either in high-carbon sectors or the time is closer to now. Although these results do not provide unified conclusions in terms of the Taiwan equity market, the results for the Netherlands equity market imply that investors show concerns about the cost firms proactively participating in CDP questionnaire replies may incur due to climate management measures. Besides, I also find a positive equity market reaction to high-carbon sector firms’ complete CDP participation and score disclosure when Corporate Governance 3.0 was announced in Taiwan, which may suggest that investors regard firms’ CDP participation as evidence of good preparation and an advantage when facing regulation concerning ESG information disclosure.