本研究主要探討我國企業被納入 FTSE4Good TIP Taiwan ESG 指數成分股後,相較於未被納入成分股之企業,是否會因機構投資人的盡職治理投資,使企業後續年度產生更佳的 ESG 績效。又相較於被納入非屬ESG議題之 MSCI Taiwan 指數成分股之企業,此ESG指數成分股之機構投資人是否更善盡盡職治理之責呢?本研究以2017年至2021年期間臺灣證券交易所非金融類之上市上櫃企業為研究樣本,共計有 8,486 個觀察值。經由全體樣本及配對樣本之多元迴歸分析實證結果顯示,相較於未被納入FTSE4Good TIP Taiwan ESG 指數成分股之企業,被納入成分股之企業,於納入後之第一年雖未有顯著影響甚而略有惡化,然於後續第二年至四年,確實可顯著改善成分股企業之ESG 績效,盡職治理投資效果至少維持三年之久;此外,本研究發現唯有前期ESG表現不佳之指數成分股,納入成分股後ESG 績效才能有顯著的改善;且此ESG績效的改善,主要源自於「社會」構面績效的改善。最後,本研究發現與被納入MSCI成分股相較,追蹤FTSE4Good TIP Taiwan ESG 指數之機構投資人,於ESG績效改善方面,確實有較為顯著的盡職治理投資效果。
This study investigates whether the inclusion of Taiwan firms in the FTSE4Good TIP Taiwan ESG Index results in better ESG performance in subsequent years due to institutional investors' stewardship compared to firms not included in the index. Are the institutional investors of this ESG index constituent more responsible for stewardship than those of non-ESG constituents of the MSCI Taiwan Index? A total of 8,486 observations were collected from a sample of non-financial listed firms on the Taiwan Stock Exchange between 2017 and 2021. The results of the multivariate regression analysis of the full sample and the matched sample show that, compared with the firms not included in the FTSE4Good TIP Taiwan ESG Index, those included in the index have no significant impact or even a slight worse effect in the first year after inclusion, but the ESG performance of the constituents can be significantly improved in the second to fourth years after inclusion, and the effect of stewardship can be maintained for at least three years. In addition, we find that only the constituents of the index with poor ESG performance in the previous period can significantly improve their ESG performance after being included in the index, and this improvement in ESG performance is mainly due to the improvement in the "social" component. Finally, we also find that institutional investors tracking the FTSE4Good TIP Taiwan ESG Index has a more significant stewardship effect on ESG performance than those included in MSCI.