The Impact of ESG Announcement on FirmValue:Evidence from Taiwan Stock Market

[[abstract]]本文探討企業 ESG 永續指標績效對臺灣上市企業股價的影響。以 ESG指標相關角度檢視投資人、股東等利害關係人，如何利用 ESG 指標評估企 業未來發展。ESG 是指從企業管理中社會責任(corporation social responsibility, CSR)中再加入環境保護 (environment protection)與公司治理 (governance)，研究企業如何在商業倫理、競爭行為、物料採購、供應鏈管 理、系統化風險及安全意外善盡社會應有責任進而促進發展環境保護議題。有鑑於投資人對永續發展之公司股票納入 ESG 投資組合的需求日以俱 增，本文利用事件研究法，以臺灣元大 ESG 成分股等 ETF 以及入選道瓊 ESG 的臺灣上市企業為研究樣本，分析這些在樣本在宣告入選 ESG 企業後， 是否產生顯著的平均異常報酬率以及累積異常報酬率。研究結果預期能提 供更多企業朝 ESG 發展的實證，也能提供投資人有關投資 ESG 企業的參 考。實證結果發現 ESG 成分股投資組合未必能帶來顯著正向的累積異常報 酬率。不同的 ESG 投資組合的表現仍有差異。[[abstract]]This paper investigates the impact of ESG sustainability indicator performance on the stock returns of listed companies in Taiwan. The ESG indicators provide the perspective of enterprises and the future development of firms to investors, shareholders and other stakeholders. ESG refers to corporate social responsibility (CSR), environmental protection and corporate governance, including issues of business ethics, competitive behavior, material procurement, supply chain management, minimize risks and safety to fulfill the social responsibilities and promote the development of environmental protection.In view of the increasing demand of investors for the inclusion of sustainable enterprises into ESG investment portfolios, this paper uses the event study to analyze the ESG constituents of Taiwan Yuanta and Taiwan-listed companies selected for Dow Jones ESG as research samples. We examine whether ESG firms have significant average abnormal returns and cumulative abnormal returns after they are announced as ESG firms. Our research results are expected to demonstrate more evidence for the development of companies towards ESG, and also provide investors with a reference for investing in ESG companies.Our empirical results show that a portfolio of ESG constituents did not necessarily deliver a significantly positive cumulative abnormal returns. There are still differences in the performance of various ESG portfolios