本文探討了 Covid-19 危機時期，ESG 對股票、投組和因子上的貢獻。過去的 文獻大多專注於企業社會責任，而近代的 ESG 工具提供了本文一個更廣泛且有效 衡量企業在永續上的表現。回顧過去文獻，大多數學者認為 CSR 為公司帶來的正 面效應是歸因於與利益相關人維持良好的關係而產生的利益，因此本文深入研究 近代的 ESG 是否同樣有助於與利益相關人維持信任關係。本文探討了 Covid-19 危 機時期，ESG 對企業、投資人和投資機構的貢獻，且分別從個股、投組與因子面 作探討。結果顯示，1)在危機時期，ESG 表現較好的公司，將獲得較高的報酬且 具有較低的風險；2)在危機時期，不同 ESG 表現的投組之間存在差異，高 ESG 投 組在危機時期具有更好的表現；3)在危機年，ESG 因子的顯著性明顯提升，與未 加入 ESG 因子的模型相比有較好的解釋力與預測能力。總而言之，本文以 Aesop 的名言「善舉不論多小，都不會浪費。」鼓勵企業、投資人與投資機構，積極從 事 ESG。

This paper analyzes the contributions of Environmental, Social, and Governance (ESG) to stocks, portfolios, and factors during the Covid-19 crisis. Previous literature has mainly focused on corporate social responsibility (CSR), while ESG provides a more comprehensive and effective way to measure the sustainability performance of companies. Most literature argues that CSR brings positive effects due to the benefits of maintaining good relationships with stakeholders. This paper presents the question of whether ESG contributes to maintaining relationships with stakeholders and delves into the contributions of ESG to stocks, portfolios, and factors during the Covid-19 crisis. The results show that: 1) companies with better CSR performance during a crisis period receive higher returns and have lower risks; 2) during a crisis, there are differences between portfolios with different levels of CSR performance. High ESG portfolios perform better; 3) in the crisis year, the effectiveness of ESG factor significantly increases, and models incorporating ESG factor exhibit better explanatory and predictive than models without it. In conclusion, this article encourages companies, investors, and investment institutions to actively engage in corporate social responsibility, quoting Aesop, "No act of kindness, no matter how small, is ever wasted."

論文審定書……….i
摘要………ii
Abstract. ………iii
List of Figure ………v
List of Table ………vi
1. Introduction ………1
2. Literature review ………7
3. Data & Methodology ………15
Data sources ………15
3.1. ESG Rating and Stock Performance ………18
3.2. Construct the ESG Portfolio ………24
3.3. ESG Factor & Barra risk model ………24
4. Empirical Results ………36
4-1. ESG Rating and Stock Performance ………36
4-2. ESG Portfolio ………47
4-3. ESG Factor & Barra Risk model ………50
5. Conclusions and Suggestions ………55
References ………59

Albuquerque, R., Koskinen, Y., & Zhang, C. (2019). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science, 65(10), 4451-4469.
Albuquerque, R., Koskinen, Y., Yang, S., & Zhang, C. (2020). Resiliency of environmental and social stocks: An analysis of the exogenous COVID-19 market crash. The Review of Corporate Finance Studies, 9(3), 593-621.
Aupperle, K. E., Carroll, A. B., & Hatfield, J. D. (1985). An empirical examination of the relationship between corporate social responsibility and profitability. Academy of management Journal, 28(2), 446-463.
Barnett, M. L., & Salomon, R. M. (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.
Bae, K. H., El Ghoul, S., Gong, Z. J., & Guedhami, O. (2021). Does CSR matter in times of crisis? Evidence from the COVID-19 pandemic. Journal of Corporate Finance, 67, 101876.
Bragdon, J. H., & Marlin, J. (1972). Is pollution profitable. Risk management, 19(4), 9-18.
Briner, R. B., Denyer, D., & Rousseau, D. M. (2009). Evidence-based management: concept cleanup time?. Academy of management perspectives, 23(4), 19-32.
Brenner, D. R., Weir, H. K., Demers, A. A., Ellison, L. F., Louzado, C., Shaw, A., ... & Smith, L. M. (2020). Projected estimates of cancer in Canada in 2020. Cmaj, 192(9), E199-E205.
Cao, J., Spielmann, M., Qiu, X., Huang, X., Ibrahim, D. M., Hill, A. J., ... & Shendure, J. (2019). The single-cell transcriptional landscape of mammalian organogenesis. Nature, 566(7745), 496-502.
Cheng, J. T., Tracy, J. L., Foulsham, T., Kingstone, A., & Henrich, J. (2013). Two ways to the top: evidence that dominance and prestige are distinct yet viable avenues to social rank and influence. Journal of personality and social psychology, 104(1), 103.
Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic management journal, 35(1), 1-23.
Deng, X., Kang, J. K., & Low, B. S. (2013). Corporate social responsibility and stakeholder value maximization: Evidence from mergers. Journal of financial Economics, 110(1), 87-109.
Dhaliwal, D. S., Li, O. Z., Tsang, A., & Yang, Y. G. (2011). Voluntary nonfinancial disclosure and the cost of equity capital: The initiation of corporate social responsibility reporting. The accounting review, 86(1), 59-100.
Edmans, A. (2011). Does the stock market fully value intangibles? Employee satisfaction and equity prices. Journal of Financial economics, 101(3), 621-640.
Friedman, M. (1970). A theoretical framework for monetary analysis. journal of Political Economy, 78(2), 193-238.
Ferrell, O. C., & Fraedrich, J. (2021). Business ethics: Ethical decision making and cases. Cengage learning.
Gao, H., Li, K., & Ma, Y. (2021). Stakeholder orientation and the cost of debt: Evidence from state-level adoption of constituency statutes. Journal of Financial and Quantitative Analysis, 56(6), 1908-1944.
Godfrey, P. C., Merrill, C. B., & Hansen, J. M. (2009). The relationship between corporate social responsibility and shareholder value: An empirical test of the risk management hypothesis. Strategic management journal, 30(4), 425-445.
Hoepner, A. G., Oikonomou, I., Sautner, Z., Starks, L. T., & Zhou, X. (2018). ESG shareholder engagement and downside risk.
Lins, K. V., Servaes, H., & Tamayo, A. (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.
Moussavi, F., & Evans, D. (1986). An attributional approach to measuring corporate social performance. In Academy of management meetings, San Diego.
Neukirchen, D., Engelhardt, N., Krause, M., & Posch, P. N. (2022). Firm efficiency and stock returns during the COVID-19 crisis. Finance Research Letters, 44, 102037.
Putnam, R. (1993). The prosperous community: Social capital and public life. The american, 4.
Turban, D. B., & Greening, D. W. (1997). Corporate social performance and organizational attractiveness to prospective employees. Academy of management journal, 40(3), 658-672.
Ullmann, A. A. (1985). Data in search of a theory: A critical examination of the relationships among social performance, social disclosure, and economic performance of US firms. Academy of management review, 10(3), 540-557.
Waddock, S. A., & Graves, S. B. (1997). The corporate social performance–financial performance link. Strategic management journal, 18(4), 303-319.