ESG成分股與非ESG成分股財務績效之研究

A Study on the Financial Performance of ESG Constituent Stocks and Non-ESG Constituent Stocks

近年來各國永續投資的觀念盛行，過去五年全球永續投資相關的ETF規模成長500%，相關ETF已達130檔，目前總規模約316億美金，尤其以歐洲占比70%為最高，其次為美洲，亞太地區對於永續概念投資才剛開始萌芽，各投信已開始佈局，台灣投資人亦十分注目。因此本研究主要以富邦公司治理(00692)、國泰永續高股息(00878)及永豐台灣ESG(00888)為例，探討ESG成分股與非ESG成分股財務績效之差異，研究結果顯示，三檔基金ESG成分股之股東權益報酬率、資產報酬率、稅後淨利率與每股盈餘大部分未高於非ESG成分股，但從淨值報酬率來看，發現三檔ETF之報酬率整體表現是優於台灣50與加權指數。雖然實證結果，ESG成分股之財務績效未高於非ESG成分股，但ESG成分股之淨值報酬率較高，表示市場投資者在股價上給予ESG成分股較大之肯定。

In recent years, the concept of sustainable investment has prevailed in various countries. In the past five years, the scale of global ETF related to sustainable investment has increased by 500%, and the related ETF has reached 130 documents. At present, the total scale is about USD 31.6 billion, with Europe accounting for 70%, which is the highest of the total, followed by the America. The sustainable investment in the Asia-Pacific region has just begun to sprout, and various investment institutions have begun to lay out. It has also attracted the attention of Taiwan investors. Therefore, this study mainly focuses on ESG-related ETFs: Taking 00692, 00878 and 00888 as examples, this paper discusses the difference of financial performance between ESG Constituent Stocks and Non-ESG Constituent Stocks. The results show that the return on equity, return on assets, profit margin after tax and earnings per share of ESG constituent stocks of three document ETF funds are mostly not higher than those of non ESG constituent stocks. However, from the perspective of net return, it is found that the overall performance of the three ETFs is better than that of ETF0050 and the weighted index. Although the empirical results show that the financial performance of ESG components is not higher than that of non ESG components, the high return on equity of ESG components indicates that market investors give ESG components a greater degree of recognition in terms of stock prices.