對於公司在企業社會責任的成果，市場是否會給予肯定?ESG投資真的能讓投資人有更高的報酬?本研究使用台灣股市機構投資人的逐筆交易資料結合ESG評分，研究更好的ESG評分是否能反映至公司股價及機構投資人提升投資組合的ESG分數能否帶來更高的報酬。研究顯示若公司ESG評分的排名提升，公司的股價報酬率會更高。同時，機構投資人提升投資組合的ESG分數排名，亦會有更高的報酬。這種關係會在長期投資的機構投資人，以及較近期的樣本中更加顯著。
《2021臺灣永續投資調查》指出台灣機構投資人的主要永續投資方法為負面/排除性選股法。本研究探討負面ESG新聞是否會影響公司股價以及機構投資人的交易行為。研究結果顯示除了不同種類的負面ESG新聞帶來的負面衝擊程度不同，公司ESG評分的好壞和公司股票周轉率高低也會影響累積異常報酬率。ESG評分較好的公司與股票周轉率較高的公司在發生負面ESG新聞時受到的負面衝擊更大。在2012年後的樣本中，投信與自營商在負面ESG新聞發生時會拋售股票。此外，在公司ESG評分較好或是公司股票周轉率較高的組別，投信與自營商拋售股票的行為更強烈。

We take advantage of transaction dataset on the Taiwan Stock Exchange and ESG scores data to study the issues that whether better ESG score can be reflected in the company's share price？Whether the improving the ESG score of the portfolio can drive higher returns? Our study provides the empirical evidence that the companies with higher rankings on ESG scores have higher returns, and further find that the institutional investors are rewarded more for improving the ESG score ranking of their portfolios. This relationship is more pronounced among institutional investors who invest in the long term, as well as in a more recent sample data.
In addition, the results of the study show that different types of negative ESG news lead to different degrees of negative impact, and company's ESG score and turnover rate will also affect cumulative abnormal returns. Companies with better ESG scores and those with higher turnover rate are hit harder by negative ESG news. In the post-2012 sample, investment trust and proprietary sell stocks when negative ESG news occurs. Besides, in the group with better company ESG score or higher turnover rate, investment trust and proprietary sell more strongly.

論文審定書 i
誌謝 ii
摘要 iii
Abstract iv
表次 vi
1 第一章 緒論 1
1.1 研究背景 1
1.2 研究動機與問題 2
2 第二章 文獻回顧 3
2.1 ESG投資與機構投資人交易行為 3
2.2 ESG新聞與機構投資人交易行為 4
3 第三章 資料與研究方法 8
3.1 資料說明 8
3.2 變數定義 10
3.3 實證模型 12
4 第四章 實證結果 15
4.1 ESG評分與報酬 15
4.2 負面ESG新聞的累積異常報酬 19
4.3 機構投資人是否會因為負面ESG新聞拋售股票 23
5 第五章 結論 31
參考文獻 33
附錄 36

（一）定期刊物
1. 期刊文章
Ali, Martin, Stefanie (2018). ESG performance and firm value: The moderating role of
disclosure. Global Finance Journal,38, 45-64.
Bei, Paul (2020). Stock Price Overreaction to ESG Controversies. SSRN.
Bidisha, Pamela, Charles (2017). The Performance of Short-Term Institutional Trades.
Journal of Financial and Quantitative Analysis, 52(4), 1403-1428.
George, Aaron (2022). Stock Price Reactions to ESG News: The Role of ESG Ratings
and Disagreement. Review of Accounting Studies.
Gunther, Aurélien (2019). Every Little Helps? ESG News and Stock Market Reaction.
Journal of Business Ethics, 157, 543–565.
Jie, Sheridan, Xintong, Weiming (2019). ESG Preference, Institutional Trading,
and Stock Return Patterns. SSRN.
Jin Boon, Qin (2021). Stock market reactions to adverse ESG disclosure via media
channels. The British Accounting Review, 54(3).
Karl, Henri, Ane (2017). Social Capital, Trust, and Firm Performance: The Value of
Corporate Social Responsibility during the Financial Crisis. The Journal of Finance,
72(4), 1785-1824
Murray, Ali (2018). How Does the Stock Market Absorb Shocks. Journal of Financial
Economics, 129(1), 136-153
Rajna, Philipp, Shema (2020). The Sustainability Footprint of Institutional Investors:
ESG Driven Price Pressure and Performance. SSRN.
Sadok, Omrane, Chuck, Dev (2011). Does corporate social responsibility affect the cost
of capital? Journal of Banking & Finance, 35(9), 2388-2406.
Stuart, Jay, Andrew, Laura(2010). Firms’ Environmental, Social and Governance (ESG)
Choices,Performance and Managerial Motivation.
Tao, Hui, Chen (2019). Institutional Shareholders and Corporate Social Responsibility
Journal of Financial Economics, 135(2),483-504.
Zhe, Ping, Tianlong (2020). Do foreign institutional investors drive corporate social
responsibility? Evidence from listed firms in China. Journal of Business Finance &
Accounting.
2. 新聞報紙
臺灣證券交易所公司治理中心(2014年11月26日)。臺灣證券交易所制訂作業辦
法，強制上市特定公司編製企業社會責任報告書
https://cgc.twse.com.tw/pressReleases/promoteNewsArticleCh/116
（二）研究報告
台積公司109 年度企業社會責任報告書精華摘要。
https://esg.tsmc.com/ch/resources/documents.html
PRI Annual Report(2022).
https://www.unpri.org/annual-report-2021
國立臺北大學企業永續發展研究中心(2021年12月)。《2021臺灣永續投資調
查》。
http://www.aacsb.ntpu.edu.tw/twsvi/lyadmin/pages/uploads/file/f23f_uyhesxtz4u.p df
（三）網路相關資源
證券櫃檯買賣中心。社會責任簡介。
https://www.tpex.org.tw/web/csr/content/introduction.php?l=zh-tw
CSR@天下(2019年1月3日)。什麼是企業社會責任？一次搞懂關鍵字CSR、
ESG、SDGs。
https://csr.cw.com.tw/article/40743
Future City@天下(2022年5月12日)。什麼是永續發展目標 SDGs ？17項目標
一次掌握。
https://futurecity.cw.com.tw/article/1867