政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/140590

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/140590

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题名:	SASB準則下ESG重大性議題與公司風險之關係 An Analysis of SASB ESG Materiality and Firm Risks
作者:	游珮姿 Yu, Pei-Tzu
贡献者:	陳鴻毅 Chen, Hong-Yi 游珮姿 Yu, Pei-Tzu
关键词:	ESG SASB 重大性議題公司風險特有風險股價崩跌風險財務限制 ESG SASB Materiality Firm risk Idiosyncratic risk Stock price crash risk Financial constraint
日期:	2022
上传时间:	2022-07-01 16:07:33 (UTC+8)
摘要:	本研究旨在探討企業於環境、社會及公司治理(ESG)之表現與公司風險之關係。本研究以兩指標來衡量企業ESG表現，第一為取自Bloomberg資料庫之ESG揭露分數，第二為使用Bloomberg原始ESG項目資料，並依據永續會計準則委員會(SASB)所辨識出之ESG重大性議題重新計算而成之SASB分數；公司風險則以公司特有風險、股價崩跌風險以及財務限制指數來衡量。實證結果發現以兩種分數衡量之ESG表現皆與公司特有風險及財務限制指數呈顯著負相關。若將樣本進一步以風險高低程度分組，各組樣本之ESG表現與公司特有風險、財務限制指數也存在顯著的負相關。此外，在金融危機期間，ESG揭露分數較高的公司有較低的特有風險，而SASB分數較高的公司則有較低的特有風險及股價崩跌風險。本研究之實證結果建議公司應優先專注於自身產業內的重大性議題，方能以有效率且節省成本的方式減少公司特有風險及財務限制，亦能於金融危機期間降低股價崩盤的可能性。 This study investigates the association between ESG performance and firm risks. To evaluate ESG performance of a firm, this study applies ESG disclosure score from Bloomberg database and the score constructed based on material ESG issues identified by Sustainability Accounting Standards Board (SASB). In terms of firm risks, this study includes idiosyncratic risk, stock price crash risk, and financial constraints. Empirical results show that ESG performance of a firm, in terms of ESG disclosure score and SASB Score, is significantly and negatively related to idiosyncratic risk and financial constraints of the firm. In addition, the negative association between ESG performance and firm risks exists in both high-risk firms and low-risk firms. Moreover, during crisis period, the better ESG performance can deliver lower idiosyncratic risk, while only firms engaging in material ESG issues can have lower stock price crash risk. Overall, this study confirms the importance of SASB Score in determining firm risks. This study suggests that firms can reduce both idiosyncratic risk and financial constraints in a more efficient and cost-saving way if they put more efforts on their corresponding material ESG issues.
參考文獻:	Albuquerque, R., Koskinen, Y., & Zhang, C. (2018). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science, 65(10), 1-19. Benlemlih, M., Amama, S., Qiu, Y., & Trojanowski, G. (2018). Environmental and social disclosures and firm risk. Journal of Business Ethics, 152(3), 613-626. Ben-Nasra, H., & Ghouma, H. (2018). Employee welfare and stock price crash risk. Journal of Corporate Finance, 48, 700-725. Boffo, R., & Patalan, R. (2020). ESG Investing: Practices, Progress and Challenges. OECD Paris. Retrieved from https://www.oecd.org/finance/ESG-Investing-Practices-Progress-Challenges.pdf Bouslah, K., Kryzanowski, L., & M’Zali, B. (2018). Social performance and firm risk: Impact of the financial crisis. Journal of Business Ethics, 149(3), 643-669. Chan, C. Y., Chou, D. W., & Lo, H. C. (2017). Do financial constraints matter when firms engage in CSR? The North American Journal of Economics and Finance, 39, 241-259. Chang, C. H., Chen, S. S., Chen, Y. S., & Peng, S. C. (2019). Commitment to build trust by socially responsible firms: Evidence from cash holdings. Journal of Corporate Finance, 56, 364-387. Chava, S. (2014). Environmental externalities and cost of capital. Management science, 60(9), 2223-2247. Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35(1), 1-23. Eccles, R. G., & Klimenko, S. (2019). The investor revolution. Harvard Business Review, 97(3), 106-116. El Ghoul, S., Guedhami, O., Kwok, C. C. Y., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35(9), 2388-2406. Friede, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: Aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5(4), 210-233. Godfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. Academy of Management Review, 30(4), 777-798. Goss, A., & Roberts, G. (2011). The impact of corporate social responsibility on the cost of bank loan. Journal of Banking & Finance, 35(7), 1794-1810. Governance & Accountability Institute. (2020). Flash report S&P 500: A study on the sustainability reporting practices of S&P 500 index companies. Retrieved from https://www.ga-institute.com/flash-report.html Hadlock, C. J., & Pierce, J. R. (2010). New evidence on measuring financial constraints: Moving beyond the KZ index. The Review of Financial Studies, 23(5), 1909-1940. Hemingway, C. A., & Maclagan, P. W. (2004). Managers` personal values as drivers of corporate social responsibility. Journal of Business Ethics, 50(1), 33-44. Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019). Integrating ESG in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81. Hoepner, A. G., Oikonomou, I., Sautner, Z., Starks, L. T., & Zhou, X. (2020). ESG shareholder engagement and downside risk. European Corporate Governance Institute - Finance Working Paper No. 671/2020. Hong, H., Kubik, J. D., & Scheinkman, J. A. (2012). Financial constraints on corporate goodness (No. w18476). National Bureau of Economic Research. Kaplan, S. N., & Zingales, L. (1997). Do investment-cash flow sensitivities provide useful measures of financing constraints? The Quarterly Journal of Economics, 112(1), 169-215. Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: First evidence on materiality. The Accounting Review, 91(6), 1697-1724. Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13. Lee, D. D., & Faff, R. W. (2009). Corporate sustainability performance and idiosyncratic risk: A global perspective. Financial Review, 44(2), 213-237. Madison, N., & Schiehll, E. (2021). The effect of financial materiality on ESG performance assessment. Sustainability, 13(7), 3652. Schiehll, E., & Kolahgar, S. (2021). Financial materiality in the informativeness of sustainability reporting. Business Strategy and the Environment, 30(2), 840-855. Whited, T. M., & Wu, G. (2006). Financial constraints risk. The Review of Financial Studies, 19(2), 531-559.
描述:	碩士國立政治大學財務管理學系 109357018
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0109357018
数据类型:	thesis
DOI:	10.6814/NCCU202200597
显示于类别:	[財務管理學系] 學位論文

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