ESG 與企業韌性之關聯性研究

Abstract

本研究之研究背景仍處於後疫情時代，正經歷受COVID-19重大衝擊後之回復時期。在此階段，有些企業受重大衝擊後其績效表現和疫情前相差無幾，但有些企業卻在經歷疫情後其績效表現一落千丈。此外，近年來深受綠色及永續投資之影響，多數投資人越發關注ESG相關議題，且將企業之ESG表現納入投資決策中。故本研究想探討若企業擁有較佳之ESG表現，即較高之ESG分數 (ESG) 及E、S、G分數，分別為ENV（環境構面分數）、SOC（社會構面分數）、GOV（公司治理構面分數），是否能顯著提升企業韌性，並以企業股價報酬最大回落 (Maximum Drawdown) 衡量企業韌性。並在假說中加入產業變數及時間固定效果 (Time fixed effects) ，以控制不同產業及每年因總體經濟波動等因素對於研究變數之影響。實證結果顯示，當企業擁有較高之ESG分數 (ESG) 、社會構面分數和公司治理構面分數 (SOC、GOV) 時，越能降低企業股價報酬最大回落之程度，也越能降低企業遭受衝擊後之風險，研究證實可以顯著提升其企業韌性。然而，環境構面分數 (ENV) 卻和前述結果相反，實證表示，當環境構面分數 (ENV) 越高時，企業股價報酬最大回落之程度卻隨之增加。然而，較特別之處在於模型加入產業變數後，E、S、G分數皆符合假說1-2之推論，即當ENV、SOC及GOV越高時，將降低企業股價報酬最大回落之程度。此外，本研究也探討「疫情期間」ESG分數是否仍能顯著提升企業韌性，結果顯示，無論ESG分數或是E、S、G分數和「疫情」之交乘項結果，對於提升其企業韌性皆無顯著影響。This research is situated in the post-pandemic era, experiencing the recovery phase following the significant impact of COVID-19. During this stage, some businesses have shown performance levels similar to pre-pandemic times, while others have suffered a substantial decline in performance. Additionally, the growing influence of green and sustainable investments has led many investors to focus on ESG-related issues and incorporate a company's ESG performance into their investment decisions. This study aims to investigate whether companies with superior ESG performance, represented by higher ESG scores (ESG) and scores for the environmental (ENV), social (SOC), and governance (GOV) dimensions, can significantly enhance their corporate resilience, measured by Maximum Drawdown in stock returns. The study incorporates industry variables and time fixed effects into the hypothesis to control for the impact of different industries and macroeconomic fluctuations on the research variables. The empirical results indicate that companies with higher ESG scores (ESG), social and governance scores (SOC, GOV) can effectively reduce the extent of maximum drawdown in stock returns and mitigate post-crisis risks, thus significantly improving their corporate resilience. Surprisingly, the environmental dimension score (ENV) shows a contrary effect, as higher ENV scores lead to an increase in the extent of maximum drawdown. However, with the inclusion of industry variables in the model, all ESG dimensions (ENV, SOC, GOV) align with hypotheses 1-2, suggesting that higher scores in ENV, SOC, and GOV dimensions are associated with a reduced level of maximum drawdown in stock returns. Furthermore, this study investigates whether ESG scores during the pandemic period continue to significantly enhance corporate resilience. The results reveal that neither ESG scores nor scores for the individual E, S, G dimensions, in combination with the pandemic interaction term, have a significant impact on improving corporate resilience.