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| Title: | ESG績效對公司風險之影響
The Impact of ESG Performance and Individual Dimensions of Social and Governance Performance on Firm Risks |
| Authors: | 郭怡萱
Kuo, Yi-Syuan |
| Contributors: | 陳鴻毅
Chen, Hong-Yi
郭怡萱
Kuo, Yi-Syuan |
| Keywords: | 企業社會責任
社會績效
公司治理績效
公司風險
下檔風險
股價暴跌風險
財務限制
ESG
Social performance
Governance performance
Firm risk
Downside risk
Crash risk
Financial constraint |
| Date: | 2020 |
| Issue Date: | 2020-07-01 13:38:03 (UTC+8) |
| Abstract: | 本研究旨在探討ESG績效以及社會與公司治理個別項目績效對於公司風險之影響，特別是下檔風險。我主要以公司特有風險、股價暴跌風險(NCSKEW和DUVOL)和財務限制指數(KZ index、WW index和SA index)作為風險變數，並以Refinitiv資料庫中2002-2018年間的美國公司作為研究樣本進行回歸分析。實證結果顯示，ESG績效分數越高，未來一年的公司特有風險與財務限制指數越低。負向關係也出現在個別社會績效與公司治理績效上，表示兩者對於ESG績效降低風險之效果皆有所貢獻。此外，我更進一步以ESG績效排名作回歸分析，探討擁有較高ESG排名的公司是否能享有更好的降低風險效果。本研究的發現可歸結為以下四點：(1)ESG績效以及個別社會與公司治理績效皆能降低未來公司特有風險及財務限制指數，顯示ESG降低風險之效果除了來自對外建立好的形象外，也來自在基本面上改善公司體質。(2)社會績效中之人權與產品責任，以及公司治理績效中之管理與CSR策略能有效降低公司風險。(3)ESG績效可降低公司特有風險和財務限制，但對於股價暴跌風險之影響並不顯著。(4)在以ESG績效排名的分段回歸中發現，只有前兩個五分位對於財務限制有顯著負相關，表示企業只有在ESG績效做到最好才能有效降低財務限制。
In this study, I try to investigate the impact of ESG performance, individual dimensions of Social and Governance performance on firm risk and downside risk. Specifically, I employ the idiosyncratic risk as the measure of firm-specific risk, and the crash risks (NCSKEW and DUVOL) and financial constraints (KZ index, WW index and SA index) as measures of the downside risk. I find ESG Score has significantly negative association with one-year-ahead idiosyncratic risk and financial constraints. Social and Governance pillar scores are shown the same negative associations with firm risks as well, which suggests the mitigating effects of ESG on risks are contributed by both dimensional performances. In addition to the linear regression, I use the piecewise regression to examine whether higher ESG ranks can enjoy more risk reduction. The empirical findings of this study can be concluded in four points. (1) Both ESG Score and pillar scores of Social and Governance can effectively reduce future firm-specific risk and financial constraints. This suggests that the mitigating effects of ESG on risks result from both building good reputation in outward and strengthening firm’s fundamental. (2) The mitigating effect of Social performance on risks is mainly contributed by Human Rights and Product Responsibility, while the mitigating effect of Governance performance is contributed by Management and CSR Strategy. (3) ESG scores are negatively associated with idiosyncratic risk and financial constraints (KZ index and WW index), but the impacts of ESG scores on crash risks (NCSKEW and DUVOL) are still inconclusive. (4) In the piecewise ESG regression, only the top two quintiles of ESG scores have significantly negative relations with financial constraints. This indicates that ESG performance can decrease financial constraints only if the firm has better ESG performance. |
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| Description: | 碩士
國立政治大學
財務管理學系
107357008 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107357008 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000594 |
| Appears in Collections: | [財務管理學系] 學位論文
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