永續績效與盈餘動能——經濟構面之角色

盈餘動能是研究市場效率性之重要議題，而公司之永續績效則是現今投資人評估衡量企業永續發展能力之核心指標。本研究以2015至2020為樣本期間，運用臺北大學與臺灣指數公司合作建構之「臺灣永續評鑑」資料庫分析臺灣上市上櫃公司之不同構面的永續績效對盈餘動能之影響。實證結果顯示臺灣股市在盈餘宣告後，具有好盈餘訊息之公司的累積異常報酬呈現逐漸上升的趨勢，隱含臺灣股市具有盈餘動能之現象。本研究同時發現經濟面（含公司治理）績效優良的公司具有較低的盈餘動能。隱含公司治理績效好的公司之資訊透明度較高，從而加速投資人對於盈餘訊息的反應，提升股價之反映盈餘資訊之效率。此外，本研究證實顯示臺灣盈餘動能主要由公司特性決定，同時部分永續因子也對此有所貢獻，從而為臺灣的盈餘動能提供了更完整的說明。

Earnings momentum is a crucial topic in market efficiency research. Meanwhile, a company’s sustainable performance serves as a key indicator for evaluating its ability to achieve long-term sustainable development. Analyzing data from SEED’s sustainability evaluation database for Taiwan-listed firms (developed in collaboration with Taipei University and Taiwan Index Plus Corporation), this study investigates the impact of sustainable performance on earnings momentum during 2015-2020. Empirical results reveal that companies with strong positive earnings information in Taiwan’s stock market exhibit a gradually increasing trend in cumulative abnormal returns after earnings announcements, indicating earnings momentum. Interestingly, firms with robust economic sustainability performance (including corporate governance) experience lower earnings momentum. This suggests that good corporate governance enhances information transparency, leading to more efficient investor reactions and stock price responses to earnings information. Additionally, the study highlights that Taiwan’s earnings momentum primarily stems from company characteristics, with sustainability factors also playing a role. This result provides a more comprehensive explanation of Taiwan’s earnings momentum.