納入ESG指數股票型基金企業之績效探討

我國金管會為了提高資訊透明度，促進企業永續經營，強制我國上市櫃公司於2022年起編制永續報告書。為了驗證該政策之有效性，因此本研究以2021年和2022年為樣本期間，將納入ESGETF之企業與未納入ESGETF之企業進行1:1配對，探討在政策後納入ESG指數股票型基金企業與企業績效之關聯。並將企業績效分為財務績效、非財務績效、市場績效；財務績效分別有資產報酬率(ROA)、股東權益報酬率(ROE)，非財務績效有ESG風險評級(ESGSCORE)，市場績效則有Tobin’s Q。實證結果發現: 財務績效(ROA、ROE)和ESG指數股票型基金與年度變數(YEAR)之交乘項為顯著正相關，表示在政策執行後，納入ESGETF之企業其獲利能力有因此提高；非財務績效(ESGSCORE)則和ESG指數股票型基金與年度變數(YEAR)之交乘項為不顯著，表示在政策執行後，對於納入ESGETF之企業其風險沒有影響。市場績效(Tobin’s Q)則和ESG指數股票型基金與年度變數(YEAR)之交乘項為不顯著，表示在政策執行後，對於納入ESGETF之企業其公司價值沒有影響。

關鍵字

強制編制永續報告書； ESG風險評分； ESG指數股票型基金

並列摘要

In order to enhance information transparency and promote corporate sustainability, the FSC has mandated companies in Taiwan to compile sustainability reports starting from 2022. In order to verify the effectiveness of this policy, this study examines the correlation between ESG index equity fund companies and corporate performance after the policy by matching 1:1 the companies included in the ESGETF with those not included in the ESGETF during the sample periods of 2021 and 2022. The firms are categorized into financial, non-financial, and market performance; ROA and ROE for financial performance, ESGSCORE for non-financial performance, and Tobin's Q for market performance. The results of the empirical study show that financial performance (ROA, ROE) and ESG-indexed equity funds are related to the annual variation of the ESG index. The cross-multiplication of financial performance (ROA, ROE) and ESG-indexed equity funds with yearly variables (YEAR) is significantly positive, which indicates that the profitability of firms included in the ESGETF is improved after the implementation of the policy, while the cross-multiplication of ESG-indexed equity funds with YEAR is insignificant, which indicates that there is no effect of risk on the firms included in the ESGETF after the implementation of the policy. This means that after the implementation of the policy, there will be no impact on the risk of the companies included in the ESG ETF. The cross multiplication of Tobin's Q and ESG Index Equity Fund with YEAR is insignificant, indicating that there is no impact on the firm value of the companies included in the ESGETF after the implementation of the policy.