可持續金融迅速發展，過去投資人以價值驅動 (value driven) 的投資法已逐漸轉變為驅動價值 (value driver) 的理念，成為一種獨特的負責任投資形式。市場大量採用第三方ESG資訊提供商數據，但面臨臺灣市場涵蓋度不足問題，因此本文旨在建構臺灣可量化的ESG數據庫，以提升涵蓋度；同時，建構ESG投資組合，以檢視公司ESG表現與股價表現的相關性。研究結果發現，ESG領域上大型市值的公司依然佔據領導地位，而大型市值公司及得分較低的公司在ESG分數上具有較高的成長率。然而，ESG表現仍係作為企業是否善盡社會責任的參考指標，並非超額報酬的決定保證。

With the rapid development of sustainable finance, there is a change in investment philosophy from the value-driven to value driver, which has become a unique form of responsible investment. This paper aims to construct a quantifiable ESG database in Taiwan to improve the coverage; at the same time, we construct some ESG portfolio to examine the correlation between ESG performance and portfolio performance. The findings show that large-cap companies still lead in the ESG domain, while the large-cap companies and the companies with lower scores have higher growth rates in ESG scores. However, ESG performance remains a reference indicator of corporate social responsibility and is not a guarantee of excess returns.

1.前言 1
2.文獻回顧 3
2.1可持續投資與驅動力 3
2.2ESG資料與評級 6
2.3投資組合績效分析 9
3.研究方法 10
3.1建構ESG數據庫 10
3.2建構ESG投資組合與模擬分析17
4.實證結果 20
4.1數據與樣本 20
4.2ESG分數敘述統計 21
4.3ESG投資組合實證結果 23
5.結論 32
參考文獻 33

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