ESG評級與股票報酬績效之關聯

近年來氣候變遷對全球環境造成劇烈的影響，嚴重地危害全人類與動植物的生存，迫使各國開始呼籲人們需重視永續議題，因此環境保護、社會責任與公司治理(ESG)的概念，漸漸成為企業與投資人所關切。然而企業在努力執行ESG的經營策略時，是否會真正地為企業帶來更好的股價績效？此為企業經理人與投資人的關鍵問題。因此本研究將探討ESG表現優良之企業族群在股價超額報酬、波動度以及風險調整後的報酬上，是否會優於ESG表現落後之族群，並分析其可能的原因。研究結果發現，ESG領先族群僅在波動度上顯著的低於ESG落後族群；在超額報酬整體來說兩族群的優劣並不明顯，甚至於2019年落後族群顯著較優；至於風險調整後的報酬上也沒有足夠的證據顯示領先族群優於落後族群。

關鍵字

股票表現； ESG評鑑； Alpha ；波動率；夏普比率

並列摘要

In recent years, climate change has had a severe impact on the global environment, posing serious threats to the survivals of all humans, animals and plants. Countries are forced to call on people to pay attention to sustainable issues. As a result, the concepts of environment, social, and governance (ESG) have gradually become important topics for both businesses and investors. However, when companies strive to implement ESG business strategies, will they really bring better stock performance to the companies? This is a key question for business managers and investors. Therefore, this study will explore whether the group of companies with good ESG performance is better than the group with poor ESG performance in terms of excess return, volatility, and risk-adjusted return, and analyze the possible reasons. The study indicates that the ESG leader group only showed significantly outperformed than laggard group in terms of volatility. However, for the excess returns, the differences between leader group and laggard is not evident, and in 2019, the laggard group even showed a better performance. Moreover, there is insufficient evidence to suggest that the leader group is superior to the laggard in terms of risk-adjusted returns.