ESG 投資關注的是企業股票表現的非金融資訊，包含了環境保護(E)、社會責任 (S)、公司治理(G)這三項維度。近年來在全球有大量資金湧入 ESG 相關投資， 投資人對 ESG 的關注成為企業持續優化 ESG 績效、提高 ESG 披露水平的動力 來源。那些在 ESG 領域有所成就的企業通常更容易贏得投資人的良好觀感，有 助於建立一種無形的聲譽資產，成為投資人做決策時的直覺來源。因此，本研 究主要探討了光環、尖角、黑馬這三種基於投資人直覺的心理偏誤在美國股市 中的顯現，以剖析當企業出現意外消息時投資人觀感如何影響其決策行為。
為了探究這一問題，一個實證框架被設計出來——以 2012 第三季度至 2020 年 第一季度在紐約證券交易所(NYSE)上市的所有普通股為樣本，以企業歷年 的 ESG 分數作為投資人觀感的衡量指標，將季度盈餘公告作為意外事件，並觀 察盈餘公告後 60 天內的股價異常波動。研究結果證實了股票市場很可能具有尖 角效應，光環效應則在市場即時反應之後的股價修正期出現(僅當意外消息為 非常好的消息時)。因此建議在收益公告日短期內(前後三天內)採取多空頭 策略，ESG 低分(高分)股票可以獲得 5.2877%(4.9889%)的顯著溢價。而 ESG 高分股票的優勢在於更長期間內的多空頭交易，在收益公告後 45 天、60 天內可以分別獲得 2.0531%和 2.2797%的顯著溢價。

ESG Investment focuses on non-financial information on corporate stock performance, including three dimensions of Environmental Protection (E), Social Responsibility (S) and Corporate Governance (G). In recent years, a large number of funds have poured into ESG related investments worldwide, and investors' attention to ESG has become the driving force for companies to continuously optimize ESG performance and improve the ESG disclosure level. Companies that have better ESG performance are often more likely to make a good impression among investors, becoming the source of intuition for investors making decisions. Therefore, this paper mainly discusses the appearance of three psychological errors based on investors' intuition, namely Halo, Horn and Dark horse effect.
To explore this question, an empirical framework was designed -- taking a sample of all common shares listed on the New York Stock Exchange (NYSE) between Q3 2012 and Q1 2020, using a firm's ESG score over those years as a measure of investor impression, quarterly earning announcements as surprise events, then watch for abnormal returns within 60 days of announcement day. The results confirm that the stock market has the horn effect under the immediate reaction, the halo effect occurs following the immediate market reaction (only when unexpected news turns out to be very good news). Therefore, it is recommended to adopt a long-short strategy for ESG stocks in the short term (within three days before and after the earnings announcement), stocks with low ESG scores (high ones) can gain a significant premium of 5.2877% (4.9889%). The advantage of high-scoring ESG stocks is that they can gain over a longer period, with significant premiums of 2.0531% and 2.2797% within 45 and 60 days of earnings announcements, respectively.

第一章 緒論.............................................7

第二章 文獻回顧與假說發展...............................10
第一節 ESG 分數與企業價值的關聯性....................... 10
第二節 投資人處理 ESG 資訊時存在心理偏誤 ............... 11

第三章 樣本選擇與研究方法...............................14
第一節 樣本及數據來源 ................................. 14
第二節 變量構建........................................ 14
第三節 構建多元回歸模型................................. 17

第四章 實證結果 ....................................... 19
第一節 描述統計........................................ 19
第二節 ESG 和 SUE 投組表現 ............................ 22
第三節 CAR 的多元回歸分析結果 .......................... 27
第四節 穩健性測試 ..................................... 30

第五章 結論.............................................34

參考文獻 .............................................. 37

Aupperle Kenneth E, Archie B Carroll, John D Hatfield, (1985). An empirical examination of the relationship between corporate social responsibility and profitability. Academy of management Journal, 28(2), 446-463.
Baker H Kent, John R Nofsinger, (2002). Psychological biases of investors. Financial services review, 11(2), 97.
Ball Ray, Philip Brown, (1968). An empirical evaluation of accounting income numbers. Journal of accounting research, 159-178.
Barnett Michael L, Robert M Salomon, (2012). Does it pay to be really good? Addressing the shape of the relationship between social and financial performance. Strategic Management Journal, 33(11), 1304-1320.
Boehmer Ekkehart, Jim Masumeci, Annette B Poulsen, (1991). Event-study methodology under conditions of event-induced variance. Journal of financial economics, 30(2), 253-272.
Brammer Stephen, Chris Brooks, Stephen Pavelin, (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial management, 35(3), 97-116.
Chen Hong-Yi, Sharon S Yang, (2020). Do Investors exaggerate corporate ESG information? Evidence of the ESG momentum effect in the Taiwanese market. Pacific- Basin Finance Journal, 63, 101407.
Clementino Ester, Richard Perkins, (2020). How do companies respond to environmental, social and governance (ESG) ratings? Evidence from Italy. Journal of Business Ethics, 1-19.
Coombs W Timothy, Sherry J Holladay, (2006). Unpacking the halo effect: Reputation and crisis management. Journal of Communication Management.
Cui Bei, Paul Docherty, (2020). Stock price overreaction to esg controversies. Available at SSRN.
El Ghoul Sadok, Omrane Guedhami, Chuck CY Kwok, Dev R Mishra, (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35(9), 2388-2406.
Fama Eugene F, (2021). Efficient capital markets a review of theory and empirical work. The Fama Portfolio, 76-121.
Fombrun Charles J, Naomi A Gardberg, Michael L Barnett, (2000). Opportunity platforms and safety nets: Corporate citizenship and reputational risk. Business and society review, 105(1).
Hong Harrison, Jeffrey D Kubik, Amit Solomon, (2000). Security analysts' career concerns and herding of earnings forecasts. The Rand journal of economics, 121-144.
Jang Woan-Yuh, Jie-Haun Lee, Hsueh-Chin Hu, (2016). Halo, horn, or dark horse biases: Corporate reputation and the earnings announcement puzzle. Journal of empirical finance, 38, 272-289.
Jeffrey Scott, Stuart Rosenberg, Brianna McCabe, (2019). Corporate social responsibility behaviors and corporate reputation. Social Responsibility Journal.
Klein Jill, Niraj Dawar, (2004). Corporate social responsibility and consumers' attributions and brand evaluations in a product–harm crisis. International Journal of research in Marketing, 21(3), 203-217.
Kolari James W, Seppo Pynnönen, (2010). Event study testing with cross-sectional correlation of abnormal returns. The Review of financial studies, 23(11), 3996-4025.
Livnat Joshua, Richard R Mendenhall, (2006). Comparing the post–earnings announcement drift for surprises calculated from analyst and time series forecasts. Journal of accounting research, 44(1), 177-205.
MacKinlay A Craig, (1997). Event studies in economics and finance. Journal of economic literature, 35(1), 13-39.
Margolis Joshua D, Hillary Anger Elfenbein, James P Walsh, (2009). Does it pay to be good... and does it matter? A meta-analysis of the relationship between corporate social and financial performance. And does it matter.
Margolis Joshua D, James P Walsh, (2003). Misery loves companies: Rethinking social initiatives by business. Administrative science quarterly, 48(2), 268-305.
Mellers Barbara A, Alan Schwartz, Katty Ho, Ilana Ritov, (1997). Decision affect theory: Emotional reactions to the outcomes of risky options. Psychological Science, 8(6), 423-429.
Mikhail Michael B, Beverly R Walther, Richard H Willis, (2003). Security analyst experience and post-earnings-announcement drift. Journal of Accounting, Auditing & Finance, 18(4), 529-550.
Orlitzky Marc, Frank L Schmidt, Sara L Rynes, (2003). Corporate social and financial performance: A meta-analysis. Organization studies, 24(3), 403-441.
Renneboog Luc, Jenke Ter Horst, Chendi Zhang, (2008). The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of corporate finance, 14(3), 302-322.
Sahi Shalini Kalra, Ashok Pratap Arora, Nand Dhameja, (2013). An exploratory inquiry into the psychological biases in financial investment behavior. Journal of behavioral finance, 14(2), 94-103.
Shefrin Hersh, Meir Statman, (2000). Behavioral portfolio theory. Journal of financial and quantitative analysis, 127-151.
Simon Herbert A, (1972). Theories of bounded rationality. Decision and organization, 1(1), 161-176.
Solt Michael E, Meir Statman, (1989). Good companies, bad stocks. Journal of portfolio management, 15(4), 39.
Starks Laura T, Parth Venkat, Qifei Zhu, (2017). Corporate ESG profiles and investor horizons. Available at SSRN 3049943.
Thorndike Edward L, (1920). A constant error in psychological ratings. Journal of applied psychology, 4(1), 25-29.
Trueman Brett, (1994). Analyst forecasts and herding behavior. The Review of financial studies, 7(1), 97-124.
Yan Zhipeng, Yan Zhao, (2011). When two anomalies meet: The post–earnings announcement drift and the value–glamour anomaly. Financial Analysts Journal, 67(6), 46-60.