隨著ESG投資的不斷興起，投資者對於ESG在風險管理和績效表現方面的作用越來越感興趣，本研究旨在探討TESG分數對於股票暴跌風險(NCSKEW及DUVOL)之關係以及採用TESG構面分數所建構之投資組合，績效是否可以超越元大0050和台灣加權指數的報酬。採用TEJ Pro之TESG永續發展指標中2015年至2021之資料作為研究樣本進行迴歸分析，實證結果顯示，在TESG分數以及社會構面分數對於NCSKEW及DUVOL皆呈顯顯著的負相關，表示當TESG分數及社會構面分數越高則股票暴跌風險越低。此外，再以TESG構面分數所建構之投資組合與元大0050和台灣加權指數的報酬做績效之評比，由結果可見在使用等權重法及分數加權法建立的投資組合，不論是選擇前30、50或100檔股票，其投資組合的年化報酬率和夏普比率均優於0050和大盤。

As ESG investments continue to rise, investors are becoming increasingly interested in the role ESG plays in risk management and performance. Whether the results of the investment portfolio constructed by adopting TESG factors can exceed the return of the 0050 and the TAIEX.Based on data from the TESG sustainable development index for TEJ Pro from 2015 to 2021, the regression analysis revealed that NCSKEW and DUVOL are negatively correlated with both TESG scores and social score, indicating that when higher the TESG scores and the social score, the lower stock price crash risk. In addition, the evaluation of the investment portfolio constructed by TESG scores and the reported performance of the 0050 and the TAIEX can be seen from the results that the investment portfolio established by using the equal weight method and score-weight that the top 30 、50 or 100 stocks is selected, the annualized return rate and sharpe ratio of its portfolio are better than the 0050 and the TAIEX.

論文審定書 i
摘要 ii
Abstract iii
List of Figures vi
List of Tables vii
Chapter1 Introduction 1
1.1 Motivation 1
1.2 Purpose 3
1.3 Framework 4
Chapter2 Literature Review 6
2.1 Introduction of ESG 6
2.2 ESG and Corporate Performance 8
2.3 ESG and Stock Price Crash Risk 10
2.4 Hypothesis 12
Chapter3 Research Methodology 15
3.1 Research Procedure 15
3.2 Research Data 16
3.2.1 TESG Data 16
3.2.2 Stock Data 18
3.3 Empirical Regression Model Variables 19
3.3.1 Variables to Measure Stock Price Crash Risk 19
3.3.2 TESG Variables 21
3.3.3 Control Variables 22
3.3.4 Variable Processing Methods 24
3.4 Regression Model Construction 25
3.5 Portfolio Construction 27
3.5.1 Filtering by Liquidity 27
3.5.2 TESG Selection Method 28
3.7 Backtesting Performance 29
3.8 Portfolio Measured Method 33
Chapter4 Results 35
4.1 Regression Results 35
4.1.1 Descriptive Statistics 35
4.1.2 Correlation Coefficient Matrix 36
4.1.3 Regression results 37
4.2 Portfolio Performance 40
4.2.1 TESG Score’s Portfolios Performance 41
4.2.2 Environmental Score’s Portfolio Performance 44
4.2.3 Social Score’s Portfolio Performance 47
4.2.4 Governance Score’s Portfolio Performance 51
4.2.5 ESG News Score’s Portfolio Performance 54
Chapter5 Conclusions 56
References 58
Appendix 60

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