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| Title: | ESG 評分對財務績效和市場情緒的面板數據分析：以STOXX 600 成分股為例
A panel data analysis of the impact of ESG scores on financial performance and market sentiment – evidence from STOXX 600 constituents |
| Authors: | 萬瓏棠
Catteau, Valentin |
| Contributors: | 吳文傑
Wu, Wen-Chieh
萬瓏棠
Catteau, Valentin |
| Keywords: | ESG評分
可持續金融
財務績效
市場情緒
STOXX 600
面板數據
固定效應
隨機效應
ESG scores
sustainable finance
financial performance
market sentiment
STOXX 600
panel data
fixed effects
random effects |
| Date: | 2024 |
| Issue Date: | 2024-08-05 13:29:37 (UTC+8) |
| Abstract: | 這篇論文探討了ESG（環境、社會和治理）評分是否是財務績效和投資者信任的可靠指標，使用了2017年至2022年間STOXX 600成分股的面板數據分析。主要研究問題是調查ESG評分對公司財務指標和市場情緒的影響。為了探索這一點，我使用了固定效應和隨機效應模型來分析ESG評分、資產回報率（ROA）和股票回報率之間的關係，同時控制了市場、行業和公司特定變量。我發現ESG評分與財務績效之間存在複雜而細微的關係。具體來說，在某些情況下，E評分具有統計顯著性但與ROA呈負相關，這表明高E評分可能帶來成本，而這些成本並不能立即提高盈利能力。S和G評分顯示出最小或混合的顯著性。相反，更大的市場資本化與更好的財務績效穩定相關，而員工數量增加通常與ROA呈負相關，這表明大公司可能存在潛在的低效能。關於股票回報率，結果同樣顯示出與ESG評分之間存在弱或負相關，這表明儘管ESG努力可能會增強長期可持續性，但並不一定會立即轉化為市場收益，儘管行業和公司規模之間存在差異。這些結果突顯了使用ESG評分作為財務健康和投資者信心的普遍指標的複雜性。
這項研究對ESG評分的相關性進行了貢獻，建議政策制定者和投資者應考慮ESG努力的具體情境，而不是僅依賴於匯總評分來做出投資決策。未來的研究應該專注於改進ESG衡量方法，並探索其在不同行業和地區的長期影響。
This thesis examines whether ESG (Environmental, Social, and Governance) scores serve as reliable indicators of financial performance and investor trust, using panel data analysis on STOXX 600 constituents from 2017 to 2022. The primary research question investigates the impact of ESG scores on firm financial metrics and market sentiment. To explore this, I employed fixed and random effects models to analyze the relationship between ESG scores, return on assets (ROA), and stock returns, while controlling for market, industry, and firm-specific variables. I found a mixed and nuanced relationship between ESG scores and financial performance. Specifically, the E score was found to have statistical significance but a negative correlation with ROA in some instances, suggesting that high E scores might entail costs that do not immediately enhance profitability. S and G scores showed minimal or mixed significance. In contrast, larger market capitalization was consistently associated with better financial performance, while an increased number of employees generally correlated negatively with ROA, indicating potential inefficiencies in larger firms. Regarding stock returns, the findings similarly indicated a weak or negative relationship with ESG scores, suggesting that while ESG efforts might enhance long-term sustainability, they do not necessarily translate into immediate market gains, although differences between industries and company size exist. These results highlight the complexities of using ESG scores as universal indicators of financial health and investor confidence.
This research contributes to the ongoing debate on the relevance of ESG metrics, suggesting that policymakers and investors should consider the specific contexts of ESG efforts rather than relying solely on aggregated scores for investment decisions. Future research should focus on refining ESG measurement methodologies and exploring their long-term impacts across different industries and regions. |
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| Description: | 碩士
國立政治大學
應用經濟與社會發展英語碩士學位學程(IMES)
111266018 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111266018 |
| Data Type: | thesis |
| Appears in Collections: | [應用經濟與社會發展英語碩士學位學程 (IMES)] 學位論文
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