ESG評級與企業股票報酬率關係之探討-以中國大陸上市公司為例

隨著中國大陸宣布實施能耗雙控，ESG在中國大陸雙碳目標主題下扮演越來越重要的角色，然而，目前由於ESG在中國大陸還處於起步階段，擁有規範不完善，投資人不太了解等多方面問題，筆者基於新冠肺炎期間為研究背景，對相關理論進行來收集與整理，運用四因子模型加上ESG作為第五個因子和事件研究法，對新冠肺炎期間，ESG評級較佳的公司是否比評級較差的公司更抗跌的問題展開研究，意圖讓投資者更加了解ESG與公司收益率之間的關係。經過分析之後得出，事件日為2020年1月23日時，事件日發生前的回歸結果都為顯著正相關，事件期時的回歸結果只有在全部樣本中存在顯著負相關，高低分樣本都是不顯著，股價暴跌期結束後的樣本回歸結果都為不顯著。事件日為2020年2月20日時，事件日發生前的回歸結果在高低分樣本中存在顯著正相關，事件期時的回歸結果在全部樣本和高分樣本中存在顯著負相關，低分樣本是不顯著，股價暴跌期結束後的樣本回歸結果都為不顯著。事件日為2020年3月11日時，事件日發生前的回歸結果在都為不顯著，事件期時的回歸結果只有在高分樣本中存在顯著負相關，全部樣本和低分樣本是不顯著，股價暴跌期結束後的樣本回歸結果都為不顯著。本研究得到結果證明，由於許多評分高的公司在新冠肺炎爆發股價暴跌期間處於封城區，無法正常工作，所有導致公司的股價下跌，ESG在中國大陸發展時間尚短，許多評分標準不夠統一，需要政府和評分機構共同努力。該項研究為更進一步發展ESG提出來需求。

關鍵字

股票報酬率；事件研究法；四因子模型

並列摘要

With China announcing the implementation of dual energy consumption controls, ESG is playing an increasingly important role under the theme of China's dual carbon targets. Understanding and other issues, the author based on the research background of the new crown pneumonia period, collected and sorted out relevant theories, and used the Four-Factor Model plus ESG as the fifth factor and Event Study, we conduct research on whether companies with better ESG ratings are more resilient than companies with poorer ratings during the COVID-19 period, with the intention of allowing investors to better understand ESG and companies relationship between returns. After analysis, it is concluded that when the event day is January 23, 2020, the regression results before the event day are all significantly positively correlated, and the regression results during the event period are only significantly negatively correlated in all samples, and the samples with high and low scores are all Not significant, and the sample regression results after the end of the stock price crash period are not significant. When the event day is February 20, 2020, the regression results before the event day have a significant positive correlation among high and low score samples, and the regression results during the event period have a significant negative correlation between all samples and high score samples, and low score samples are Not significant, and the sample regression results after the end of the stock price crash period are not significant. When the event day is March 11, 2020, the regression results before the event day are all insignificant. The regression results during the event period only have a significant negative correlation in the high-scoring samples, and all samples and low-scoring samples are not significant. The sample regression results after the stock price crash period are all insignificant. The results of this study prove that many high-scoring companies were locked down during the stock price plunge during the outbreak of the new crown pneumonia and were unable to work normally, which led to a decline in the company's stock price. The development of ESG in China is still short, and many scoring standards are not uniform. Government and scoring agencies work together. This study raises the need for further ESG development.