ESG因子與公司財務績效之探討

A Study of ESG Factors and Corporate Financial Performance

陳立瑩(Li-Ying Chen)

指導教授 ： 李志偉

國立臺北商業大學/財經學院/財務金融系（所）/碩士(2022年)

摘要

隨著企業社會責任觀念被社會各界重視，本研究將探討ESG因子對公司財務績效及信用風險之影響，以資產報酬率(Return on assets，簡稱ROA)作為公司財務績效指標，信用評等分數作為信用風險指標。研究樣本使用2016至2020年Bloomberg ESG Score資料庫之ESG因子評等分數，以各產業中美國、日本及台灣各一家企業為研究對象，金融產業除外。
本研究採用Kim and Li (2021)的方法建構研究模型，並透過縱橫資料迴歸(Panel Data Regression)分析方法進行實證分析。實證結果發現，總體經濟較差時，ESG與資產報酬率(ROA)之間無顯著關係，推論因投入ESG會產生成本支出，故不僅無法提升公司財務績效，反而可能產生反效果。
此外，在三個因子中，以公司治理因子與財務績效呈現最顯著正相關，不管景氣好壞，良好的公司治理皆會提升公司財務績效。另一方面，ESG對信用評等的影響亦是無顯著關係，這是因為信用評等與ESG評等標準所重視的項目不盡相同，因此並非所有ESG因子皆對信用評等產生影響。

關鍵字

企業社會責任 ； ESG ； 財務績效 ； 信用風險 ； 縱橫資料迴歸

並列摘要

Corporate social responsibility (CSR) has become a trendy issue in academic and practical discussion. This study explores the impact of ESG factors and credit risk on the corporate financial performance. We use return on assets (ROA) as a corporate financial performance indicator and credit rating score as a credit risk indicator. The ESG factor rating scores are collected from Bloomberg ESG Score database from 2016 to 2020. In this study, sample firms are selected from regions in the United States, Japan, and Taiwan and one firm for each region in industries, except for the financial industry.
This study follows the methodology of Kim and Li (2021), which constructs multivariate models and conducts empirical analysis through the panel data regression. The result shows that there is no significant direct relationship between ESG and ROA. We imply that this result is affected by economic cycles. For example, during the recession, firms engaging in ESG business are not able to improve the company's financial performance, or it may have the opposite effect instead.
In addition, among different ESG factors, corporate governance also has significant positive impact on corporate financial performance. Good corporate governance will accelerate the company's financial performance whether the economy is in a better or worse situation. On the other hand, the impact of ESG on credit rating is not significant because credit rating and ESG rating standards focus on different items. Accordingly, not all ESG factors have an impact on credit rating.

並列關鍵字

Corporate Social Responsibility ； ESG ； Financial performance ； Credit risk ； Panel Data Regression

參考文獻

Albuquerque, R., Koskinen, Y., and Zhang, C. (2019). "Corporate social responsibility and firm risk: Theory and empirical evidence." Management Science, 65(10), 4451-4469.

Aslan, A., Poppe, L., and Posch, P. (2021). "Are sustainable companies more likely to default? Evidence from the dynamics between credit and ESG ratings." Sustainability, 13(15), 8568.

Attig, N., El Ghoul, S., Guedhami, O., and Suh, J. (2013). "Corporate social responsibility and credit ratings." Journal of business ethics, 117(4), 679-694.

Barth, F., Hübel, B., and Scholz, H. (2022). "ESG and corporate credit spreads." The Journal of Risk Finance.

Boubaker, S., Cellier, A., Manita, R., and Saeed, A. (2020). "Does corporate social responsibility reduce financial distress risk? " Economic Modelling, 91, 835-851.