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| Title: | ESG評等與盈餘表現對股票報酬之影響：以台灣市場為例
The Impact of ESG Rating and Earnings Performance on Stock Return: Evidence in Taiwan |
| Authors: | 呂星儒
Lu, Hsing-Ju |
| Contributors: | 郭維裕
江彌修
Kuo, Wei-Yu
Chiang, Mi-Hsiu
呂星儒
Lu, Hsing-Ju |
| Keywords: | ESG
ESG評等
盈餘表現
盈餘驚喜
機器學習
分類迴歸樹
ESG
ESG ratings
Earnings performance
Earnings surprise
Machine learning
Classification and regression trees |
| Date: | 2024 |
| Issue Date: | 2024-08-05 14:18:22 (UTC+8) |
| Abstract: | 本研究旨在探討ESG評等對台灣股市報酬率的影響，並使用非線性機器學習模型，分類迴歸樹（CART）分析ESG評等與公司盈餘表現之間的交互作用。研究期間涵蓋2016至2023年，採用台灣經濟新報資料庫中的台灣上市公司資料進行多變量分析。本文首先探討公司盈餘表現與ESG評等對股票報酬的單一變量影響，隨後利用分類迴歸樹進一步分析每股盈餘變化量、每股盈餘不符預期的程度及ESG評等對股票報酬的共同對報酬率的影響。實證結果顯示，雖然ESG評等與股票報酬率間並無顯著線性關係且相對盈餘表現，ESG評等對於股票報酬影響之貢獻程度亦不大，但透過迴歸樹模型仍可以識別出影響股票報酬的關鍵非線性交互關係。本研究結果提供投資人若欲將ESG因子納入投資決策時，並不建議單獨評估ESG評等，該指標對於股票報酬影響遠不足其他因素，亦或是建議可以進一步探討ESG評等之細項評估指標，例如將ESG評等拆解成環境(E)、社會(S)與治理(G)不同維度之細項指標，找出其中對於影響股票報酬相對重要的ESG指標。
The purpose of this study was to investigate the impact of ESG ratings on stock returns in the Taiwanese market. Another aim was to explore the specific impact of the interac-tion between ESG ratings and corporate earnings performance on stock returns. Em-ploying a quantitative methodology, the Classification and Regression Tree (CART) model was utilized to analyze data from publicly listed companies in Taiwan, as record-ed in the Taiwan Economic Journal database for the period 2016 to 2023. The empirical results revealed no significant relationship between ESG ratings and stock returns, and the contribution of ESG ratings was found to be minimal when compared to other fac-tors such as EPS changes and EPS surprise. However, the CART model identified the non-linear interactions that impact stock returns. The study concludes that relying solely on ESG ratings for investment decisions is insufficient and recommends further inves-tigation into specific ESG indicators that could profoundly affect stock returns, thereby aiding investors in making more informed decisions. |
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| Description: | 碩士
國立政治大學
國際金融碩士學位學程
111ZB1006 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111ZB1006 |
| Data Type: | thesis |
| Appears in Collections: | [國際金融碩士學位學程] 學位論文
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