危機下的市場反應：ESG 是否具有定價優勢？

Abstract

本 文 使 用 2023 年 企 業 ESG 評 等 與 財 務 資 料， 採 用 差 異 中 的 差 異 法（Difference-in-Differences, DID），分析 2024 年市場危機期間 ESG（Environmental,Social, and Governance）表現對系統性風險變化的影響。統計結果顯示，在市場不確定性劇烈上升期間，ESG 表現良好的企業，其 β 值上升程度較控制組低 0.011，呈現相對較低的系統性風險。此結果在納入不同控制變數與替代控制組定義後依然穩健，支持 ESG 表現可能具有風險緩衝效果。我們進一步以 Jensen’s Alpha 評估整年度超額報酬時發現，ESG 表現良好的企業 α 反而較低，顯示市場可能依循CAPM 定價邏輯，將預期報酬反映其所承擔的市場風險，使企業可以取得更有利的資金成本條件。本研究從風險與報酬的角度討論 ESG 對企業定價的可能影響，提供投資人與企業策略制定者參考。

In this paper, we use 2023 corporate ESG (Environmental, Social, and Governance) ratings and financial data to apply a Difference-in-Differences (DID) approach to analyze how ESG performance influences changes in systematic risk during the 2024 market crisis. The empirical results show that during a period of heightened market uncertainty, firms with stronger ESG performance experienced a significantly smaller increase in leveraged β—on average 0.011 lower than the control group—indicating lower exposure to systematic risk. This result remains robust after including various control variables and alternative definitions of the control group, supporting the view that ESG performance may provide a risk-buffering effect. Further analysis using Jensen’s Alpha to evaluate annual excess returns shows that firms with stronger ESG performance tend to have lower α, suggesting that the market may follow the pricing logic of the CAPM, in which expected returns reflect the level of systematic risk borne by the firm, thereby enabling such firms to obtain more favorable financing conditions. This study discusses the potential pricing implications of ESG from both risk and return perspectives, offering insights for investors and corporate decision-makers.