Responsive image
博碩士論文 etd-0627122-213818 詳細資訊
Title page for etd-0627122-213818
Corporate ESG Performance and Stock Return
Year, semester
Number of pages
She, Po - Wen
Advisory Committee
Lu, Yi
Date of Exam
Date of Submission
Sustainable, Corporate social responsibility, ESG, Stock return, Covid-19
本論文已被瀏覽 425 次,被下載 150
The thesis/dissertation has been browsed 425 times, has been downloaded 150 times.

隨著經濟的發展,ESG 的活動受到政府、企業、相關利益者的重視,ESG 除 了能讓我們生活的環境、社會更健全外,同時也顧慮到 ESG 是否能為企業帶來其他 優勢。本研究旨在探討企業參與 ESG 活動是否有助於提升企業股票報酬,並分為 2 部分進行討論,ESG 企業的影響以及企業 ESG 表現的影響。本研究樣本為 2015Q1- 2020Q4 間,Lee (2021) 研究中指出,在 2020 年 1 月 COVID-19 爆發後,台灣加權指 數 (TAIEX) 下跌了 4.19%,但在同年的 4 月時反彈上漲了 12.23%,故本研究以 2020Q1 設為 COVID 期間。本研究迴歸分析結果顯示,ESG 企業對於股票報酬的效果 並不顯著; 但在 COVID 期間,ESG 企業對於股票報酬提供顯著的正向影響,本研究近 一步發現企業的 ESG 表現亦提供顯著性的正向效果在股票報酬上。Demers (2021) 研 究結果表示,在經濟危機時,無形資產的投資有助於股票報酬,但本研究結果顯示 台灣企業無形資產的投資並沒有提供顯著的效果。這種差異可以歸因於無形資產的 投資在本研究中被視為成本,而忽略無形資產投資帶來的收入; Demers (2021) 則是將 無形資產支出進行攤銷以估計無形資產的收益。若使用 Demers 的方法,本研究會有 太多的缺失數據; 因此本研究以粗略的方式計算無形資產支出。
Nowaday, ESG makes the society in which we live become better. ESG also bring additional benefits to enterprises. The purpose of this study is to explore the relationship between ESG performance and stock return. There are two dimensions to analysis, the impact of ESG firms and the impact of ESG performance level. The sample of this study is from 2015Q1 to 2020Q4. Lee (2021) suggests that Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) dropped by 4.19% after the COVID outbreak in January 2020. After that, TAIEX increased by 12.23% in April 2020. Thus, 2020Q1 is the COVID period. The regression analysis results of this study show that ESG firms have an insignificant impact in periods of economic stability. However, ESG firms have a positive effect on stock returns during the COVID period. This study goes further to find that corporate ESG performance level also provides a significant positive impact on stock returns. Demers (2021) indicates that intangible investment contributes to the resilience of stock returns in an economic crisis. However, this study's results show that the intangible investment of Taiwan companies does not have a significant effect during the COVID period. This difference can be attributed to investment in intangible assets is regarded as a cost in this study, ignoring the revenue from them. On the other hand, Demers (2021) amortizes intangible assets expenditures linearly over a five-year period, which is the estimate of the duration of benefits of intangible assets. If this study uses Demers’ method, there will be too much missing data. Therefore, the intangible assets expenditures in this study are dealt with rough calculations.
目次 Table of Contents
Validation Letter i
摘要 ii
Abstract iii
Contents iv
Figure Index vi
Table Index vii
Chapter 1 Introduction 1
1.1 Research Background 1
1.2 Purpose of Research 4
Chapter 2 Literature Review 6
2.1 The motivation of Corporate Invest ESG Activity 6
2.2 How ESG affects stock return and risk 7
Chapter 3 Methodology 10
3.1 Data and Sample 10
3.2 Variables and Empirical Models 14
3.2.1 Variables 14
3.2.2 Models 17
3.2.3 Review the Method 20
Chapter 4 Empirical Results and Interpretation 21
4.1 Descriptive Statistics 21
4.1.1 Descriptive Statistics of Panel A 21
4.1.2 Descriptive Statistics of Panel B 24
4.2 Regression Analysis 27
4.2.1 The Impact of ESG Firms on Stock Returns 27
4.2.2 The Impact of Corporate ESG Performance on Stock Returns 30
Chapter 5 Summary and Conclusion 35
Reference 37
參考文獻 References
English Literature
Albuquerque, R., Koskinen, Y., & Zhang, C. (2019). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science, 65(10), 4451-4469.
Ashfaq, K., & Rui, Z. (2018). Revisiting the relationship between corporate governance and corporate social and environmental disclosure practices in Pakistan. Social Responsibility Journal.
Ashwin Kumar, N., Smith, C., Badis, L., Wang, N., Ambrosy, P., & Tavares, R. (2016). ESG factors and risk-adjusted performance: a new quantitative model. Journal of Sustainable Finance & Investment, 6(4), 292-300.
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.
Brammer, S., & Millington, A. (2005). Corporate reputation and philanthropy: An empirical analysis. Journal of business ethics, 61(1), 29-44.
Brammer, S., & Millington, A. (2008). Does it pay to be different? An analysis of the relationship between corporate social and financial performance. Strategic management journal, 29(12), 1325-1343.
Cahan, S. F., Chen, C., Chen, L., & Nguyen, N. H. (2015). Corporate social responsibility and media coverage. Journal of Banking & Finance, 59, 409-422.
Chen, S.-Y. (2018). Construction and Evaluation of Taiwan ESG Investment Portfolio National Sun Yat-sen University].
Demers, E., Hendrikse, J., Joos, P., & Lev, B. (2021). ESG did not immunize stocks during the COVID‐19 crisis, but investments in intangible assets did. Journal of Business Finance & Accounting, 48(3-4), 433-462.
Ding, W., Levine, R., Lin, C., & Xie, W. (2021). Corporate immunity to the COVID-19 pandemic. Journal of Financial Economics, 141(2), 802-830.
Ducassy, I. (2013). Does corporate social responsibility pay off in times of crisis? An alternate perspective on the relationship between financial and corporate social performance. Corporate Social Responsibility and Environmental Management, 20(3), 157-167.
Fama, E. F., & French, K. R. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, 47(2), 427-465.
Fernández‐Kranz, D., & Santaló, J. (2010). When necessity becomes a virtue: The effect of product market competition on corporate social responsibility. Journal of Economics & Management Strategy, 19(2), 453-487.
Friede, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5(4), 210-233.
He, Y., & Lai, K. K. (2014). The effect of corporate social responsibility on brand loyalty: the mediating role of brand image. Total Quality Management & Business Excellence, 25(3-4), 249-263.
Heiens, R. A., Leach, R. T., & McGrath, L. C. (2007). The contribution of intangible assets and expenditures to shareholder value. Journal of Strategic Marketing, 15(2-3), 149- 159.
Hemingway, C. A., & Maclagan, P. W. (2004). Managers' personal values as drivers of corporate social responsibility. Journal of business ethics, 50(1), 33-44.
Henke, H.-M. (2016). The effect of social screening on bond mutual fund performance. Journal of Banking & Finance, 67, 69-84.
Hsiao, C. (2022). Analysis of panel data. Cambridge university press.
Hwang, J., Kim, H., & Jung, D. (2021). The Effect of ESG Activities on Financial Performance during the COVID-19 Pandemic—Evidence from Korea. Sustainability,
13(20), 11362.
Jizi, M. I., Salama, A., Dixon, R., & Stratling, R. (2014). Corporate governance and corporate
social responsibility disclosure: Evidence from the US banking sector. Journal of
business ethics, 125(4), 601-615.
Khuong, M. N., Truong an, N. K., & Thanh Hang, T. T. (2021). Stakeholders and Corporate
Social Responsibility (CSR) programme as key sustainable development strategies to promote corporate reputation—evidence from vietnam. Cogent Business & Management, 8(1), 1917333.
Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.
Lee, K.-J. (2019). The effects of social responsibility on company value: a real options perspective of Taiwan companies. Economic research-Ekonomska istraživanja, 32(1), 3835-3852.
Lee, K.-J., & Lu, S.-L. (2021). The impact of COVID-19 on the stock price of socially responsible enterprises: an empirical study in Taiwan stock market. International Journal of Environmental Research and Public Health, 18(4), 1398.
Lev, B., & Sougiannis, T. (1996). The capitalization, amortization, and value-relevance of R&D. Journal of accounting and economics, 21(1), 107-138.
Li, Y., Gong, M., Zhang, X.-Y., & Koh, L. (2018). The impact of environmental, social, and governance disclosure on firm value: The role of CEO power. The British Accounting Review, 50(1), 60-75.
Luo, X., & Bhattacharya, C. B. (2009). The debate over doing good: Corporate social performance, strategic marketing levers, and firm-idiosyncratic risk. Journal of marketing, 73(6), 198-213.
Lys, T., Naughton, J. P., & Wang, C. (2015). Signaling through corporate accountability reporting. Journal of accounting and economics, 60(1), 56-72.
Moon, J. (2001). Business social responsibility: a source of social capital? Philosophy of Management, 1(3), 35-45.
Roberts, R. W. (1992). Determinants of corporate social responsibility disclosure: An application of stakeholder theory. Accounting, organizations and society, 17(6), 595- 612.
Shankman, N. A. (1999). Reframing the debate between agency and stakeholder theories of the firm. Journal of business ethics, 19(4), 319-334.
Stanwick, P. A., & Stanwick, S. D. (1998). The relationship between corporate social performance, and organizational size, financial performance, and environmental performance: An empirical examination. Journal of business ethics, 17(2), 195-204.
Surroca, J., & Tribó, J. A. (2008). Managerial entrenchment and corporate social performance. Journal of Business Finance & Accounting, 35(5‐6), 748-789.
Velte, P. (2016). Sustainable management compensation and ESG performance–the German case. Problems and Perspectives in Management(14, Iss. 4), 17-24.
Verheyden, T., Eccles, R. G., & Feiner, A. (2016). ESG for all? The impact of ESG screening on return, risk, and diversification. Journal of Applied Corporate Finance, 28(2), 47- 55.
Williams, O. F. (2014). The United Nations global compact: What did it promise? Journal of business ethics, 122(2), 241-251.

Chinese Literature
Lin, Y.-Y. (2018). ESG 投資導向分析-以 MSCI ESG Index 系列為例 國立中興大學]. 台 中市.
Tang, W.-H. (2020). 企業投入 ESG 效益之研究–以總體經濟、機構投資人探討 國立政 治大學]. 台北市.
電子全文 Fulltext
論文使用權限 Thesis access permission:校內校外完全公開 unrestricted
開放時間 Available:
校內 Campus:開放下載的時間 available 2022-07-27
校外 Off-campus:開放下載的時間 available 2022-07-27

紙本論文 Printed copies
開放時間 available 2022-07-27

QR Code