台灣上市公司ESG構面分數與公司價值之研究

A Study of TEJ ESG on Taiwan-listed Firm Value

本研究以金融產業與科技與通訊產業為對象，資料來源為台灣經濟新報(TEJ)，研究期間為2016至2022年，構面分別為的ESG個別分數、ESG新聞分數與ESG總分，進一步去分析是否對公司股票價格、報酬率、股東權益報酬率(ROE)、資產報酬率(ROA)、公司價值(Tobin’s Q(A))之間的影響程度。
實證結果顯示，環境構面(E)而言，除了報酬率落後一期、報酬率三期不顯著外，其餘解釋變數股價落後一期、股價落後三期、Tobin’s Q(A)落後三期、ROA落後三期、ROE落後三期皆對環境構面(E)呈現負相關；就社會構面(S)而言，除了報酬率落後三期呈正相關，報酬率落後一期、ROA落後三期、ROE落後三期不顯著，其餘股價落後一期、股價落後三期、Tobin’s Q(A)落後三期呈負相關；就公司治理構面(G)而言，除了ROA落後三期、ROE落後三期呈正相關以外，其餘股價落後一期、股價落後三期、報酬率落後一期、報酬率落後三期、Tobin’s Q(A)落後三期皆不顯著。
就ESG新聞分數而言，除了報酬率落後一期、報酬率落後三期不顯著外，其餘股價落後一期、股價落後三期、Tobin’s Q落後三期、ROA落後三期、ROE落後三期皆對ESG新聞分數呈現正相關；就ESG總分而言，除了ROE落後三期呈正相關，報酬率落後一期、報酬率落後三期皆不顯著，其餘股價落後一期、股價落後三期、Tobin’s Q(A)落後三期、ROA落後三期皆為負相關。

This study focuses on the financial industry and the technology and communications industry. The data source is Taiwan Economic Journal. The research period from 2016 to 2022, ESG scores, ESG news and total ESG scores are used to analyze whether there is a correlation between the company's stock return, ROE, ROA, and Tobin's Q.
The empirical results show that, the environmental dimension is not significant of stock return during lagged one period and lagged three period. The environmental dimension has a negative effect on stock price during lagged one period and lagged three period, Tobin’s Q during lagged three period, ROA during lagged three period, and ROE during lagged three period. The social dimension has a positive effect on stock return during lagged three period. The social dimension has a negative effect on stock price during lagged one period and lagged three period, Tobin’s Q during lagged three period. The corporate governance dimension has a positive effect on ROA during lagged three period, and ROE during lagged three period. In the ESG news scores dimension has a positive effect on stock price during lagged one period and lagged three period, Tobin’s Q during lagged three period, ROA during lagged three period, and ROE during lagged three period. In overall ESG score dimension has a positive effect on ROE during lagged three period. The overall ESG score has a negative effect on stock price during lagged one period and lagged three period, Tobin’s Q during lagged three period, ROA during lagged three period.