本研究採用台灣經濟新報(TEJ)、Bloomberg、Refinitiv 三家不同的數據提供者並且蒐集2018至2022年間台灣上市櫃公司的ESG評等樣本，研究ESG評級分歧與股價報酬之間的關係，發現股價報酬與ESG評級分歧呈現正相關，表示ESG評級分歧較高的公司有額外的風險報酬。其中主要是由環境(E)及治理(G)為造成影響，又以環境(E)為影響最甚。由於台灣的情況很特別，前50大公司的市值佔據了大盤將近40%，所以本文也想了解只在大公司的情況，結果顯示台灣50之股價報酬與ESG評級分歧也是呈現正相關，影響關係和總體樣本相似。最後，討論研究結果對分析師預測未來每股盈餘所做出之投資決策所帶來的影響。

This thesis utilizes data from three different providers—Taiwan Economic Journal (TEJ), Bloomberg, and Refinitiv—and collected ESG rating samples of Taiwan-listed companies from 2018 to 2022 to study the relationship between ESG rating disagreement and stock returns. Our findings indicate a positive correlation between stock returns and ESG rating disagreement, suggesting that companies with higher ESG rating disagree-ment bear an additional risk premium. This effect is primarily driven by environmental (E) and governance (G) factors, with the environmental factor (E) having the most sig-nificant impact. Given Taiwan's unique situation, where the top 50 companies account for nearly 40% of the market capitalization, we also examine the sample limited to the Taiwan 50. The results similarly show a positive correlation between stock returns and ESG rating disagreement, with a comparable influence pattern to the overall sample. Finally, this the-sis discuss the impact of the research results on analysts' investment decisions based on their forecasts of future earnings per share (EPS).

論文審定書 ....................................................................................................................... i
致謝 .................................................................................................................................. ii
中文摘要 ......................................................................................................................... iii
Abstract ............................................................................................................................ iv
目錄 .................................................................................................................................. v
圖次 ................................................................................................................................. vi
表次 ................................................................................................................................ vii
第一章 緒論 .................................................................................................................... 1
1.1 研究背景、動機與目的 ................................................................................... 1
1.2 研究架構 ........................................................................................................... 4
第二章 文獻探討 ............................................................................................................ 6
2.1 ESG評級分歧因素 ............................................................................................ 6
2.2 ESG評級分歧與股價報酬的關係 .................................................................... 7
2.3 ESG評級分歧與預測EPS之操作決策的關係 ............................................... 8
2.4 ESG評級分歧對台灣50股價報酬的影響 ...................................................... 9
第三章 研究方法 ........................................................................................................... 11
3.1 樣本選取與資料來源 ...................................................................................... 11
3.2 變數定義與衡量 ............................................................................................. 12
3.3 實證模型 ......................................................................................................... 18
第四章 實證結果分析 .................................................................................................. 21
4.1 敘述性統計量及評級相關性分析 ................................................................. 21
4.2 ESG評級分歧之決定因素 .............................................................................. 24
4.3 ESG評級分歧與股價報酬 .............................................................................. 26
4.4 ESG評級分歧與預測EPS操作決策的關係 ................................................. 29
4.5 台灣50之ESG 評級分歧與股價報酬 ......................................................... 30
第五章 結論 .................................................................................................................. 32
5.1 研究發現 ......................................................................................................... 32
5.2 限制及研究建議 ............................................................................................. 33
參考文獻 ........................................................................................................................ 48

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