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.

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

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Chinese Literature
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