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| 題名: | 台灣上市公司 ESG 效率前緣的建構：以 SASB 產業分類為例
Constructing the ESG Efficiency Frontier of Taiwan’s Listed Companies: A Case Study Based on SASB Industry Classification |
| 作者: | 曾敬哲
Tseng, Ching-Che |
| 貢獻者: | 林士貴
李宜熹
Lin, Shih-Kuei
Lee, Yi-Hsi
曾敬哲
Tseng, Ching-Che |
| 關鍵詞: | 永續投資
負責任投資
ESG 投資
ESG 效率前緣
ESG 評級
產業分析
Sustainable Investing
Responsible Investing
ESG Investing
ESG Efficient Frontier
ESG Ratings
Industry Analysis |
| 日期: | 2025 |
| 上傳時間: | 2025-08-04 14:31:45 (UTC+8) |
| 摘要: | 隨著永續投資成為全球資本市場的重要趨勢，如何在財務報酬與永續表現之間取得最佳平衡，已成為資產配置的重要課題。本研究以 Pedersen et al. (2021) 所提出之 ESG 效率前緣模型為理論基礎，採用「TESG 永續發展解決方案」資料庫評分，實證分析台灣上市 (櫃) 公司在不同 SASB 主產業與子產業分類下，於 ESG 各構面 (環境、社會、治理及整體綜合) 之效率前緣類型。
透過台灣上市 (櫃) 公司彙整 59 個 SASB 子產業資料，實證分析指出「單駝峰型」為最常見的圖型類型，顯示多數產業在 ESG 分數與風險調整後報酬之間存在最適平衡點，特別符合 A 型投資人偏好；而「遞減型」則多集中於高碳排與高轉型成本的產業，如運輸、造紙與金融，對應 M 型投資人之永續取向。研究同時指出 ESG 構面間表現不一，治理構面最穩定，社會構面遞增型最少，環境構面則受限於資料完整性影響最大。本文結果有助於投資人根據其 ESG 偏好選擇適合產業，亦可為資產管理機構與政策制定者提供永續資本市場發展之策略建議。
As sustainable investing becomes a dominant trend in global capital markets, achieving an optimal balance between financial return and ESG performance has become a crucial asset allocation challenge. This study applies the ESG efficiency frontier framework proposed by Pedersen et al. (2021) and utilizes ESG ratings from the TESG Sustainable Development Database to empirically analyze Taiwan’s listed companies across various SASB-defined industries and sub-industries. By constructing ESG-SR efficiency frontiers for four dimensions—Environmental, Social, Governance, and Total ESG—the study classifies the shapes of frontier curves among 59 sub-industries.
The results show that "Single-peaked" curves are most common, indicating that many industries exhibit a clear trade-off point between ESG scores and Sharpe ratios, aligning with Type-A investor preferences. In contrast, "Decreasing" patterns appear more frequently in carbon-intensive or high-transition-cost industries, such as transportation, paper, and banking, reflecting Type-M investor preferences. The study also finds that ESG dimension performance varies: governance is most stable, the social dimension shows the fewest increasing patterns, and environmental data suffers from completeness issues. These findings provide a foundation for investors to match their ESG preferences with industry characteristics and offer strategic implications for asset managers and policymakers in building sustainable capital markets. |
| 參考文獻: | 徐郁婷. (2024). TEJ主題資料庫 公司治理與永續研究. TEJ台灣經濟新報.
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Pedersen, L. H., Fitzgibbons, S., & Pomorski, L. (2021). Responsible investing: The ESG-efficient frontier. Journal of Financial Economics, 142(2), 572-597.
Pirani, S. A., & Patil, R. (2024). A Study on Evaluating Determinants of Factors Influencing Environmental Social and Governance (ESG) Investments. Economic Sciences, 20(2), 159-169.
Pramitasari, D. A. ESG Investing: Evaluating the Financial Performance of Sustainable Portfolios. Equator Journal of Management and Entrepreneurship (EJME), 12(4), 332-340.
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Plagge, J. (2022). Explaining ESG Equity Index Fund Performance. Vanguard Global Head of Active-Passive Portfolio Research. |
| 描述: | 碩士
國立政治大學
金融學系
112352005 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0112352005 |
| 資料類型: | thesis |
| 顯示於類別: | [金融學系] 學位論文
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