本研究以事件研究法檢測自2017年至2022年間，上市櫃公司在公開資訊觀測站公告受到ESG相關裁罰後，股價是否產生反應，並分別檢測違反空氣污染防制法、水污染防制法、勞動基準法及其他不同法令時，所產生之異常報酬是否有所差異。在檢驗了研究區間內182個樣本後發現，在2017年至2022年間之全數樣本中，並未產生顯著異常報酬，此外，不同法規之裁罰事件大多無顯著異常報酬率，惟在事件期前數日，有顯著異常報酬，顯示在裁罰公告前，企業受到裁罰之訊息可能已提前被市場所知，使市場提前反應，惟異常報酬率均屬不高，可能係因實際罰鍰金額，對公司財務影響有限。由於效率市場性質，導致ESG相關裁罰事件，並未對該公司股價產生顯著的異常報酬。

This study uses the event study to examine the stock price reactions for listed companies that were fined for violating various ESG-related regulations between 2017 and 2022, as announced on the Taiwan Stock Exchange Market Observation Post System. The study focuses on violations of different laws, such as the Air Pollution Control Act, Water Pollution Control Act, Labor Standards Act, and other regulations, and examines whether there are differences in abnormal returns. After examining 182 samples during the research period, the study finds that there were no significant abnormal returns in any of the samples. In addition, most of the violations within different regulations did not result in significant abnormal return rates, except for a few days before the announcement, where there were significant abnormal returns. This suggests that information about the ESG sanctions may have been leaked to the market before the actual announcement, but the abnormal returns were relatively small. This could be due to the limited impact of the amount of fines on the company's finances. And the efficiency of the market may cause ESG sanctions news have not generated significant abnormal returns in the stock prices of the affected companies.

1.緒論………………………………………………………………………………………………1
1.1 研究動機與背景…………………………………………………………………1
1.2 研究架構與流程…………………………………………………………………3
2. 文獻回顧…………………………………………………………………………………4
2.1 永續投資及投資人行為…………………………………………………4
2.2 效率市場假說………………………………………………………………………5
3. 研究方法及資料來源…………………………………………………………6
3.1 研究方法………………………………………………………………………………6
3.1.1 事件日選擇……………………………………………………………………7
3.1.2 建立股價預期報酬與異常報酬率估計模式………8
3.1.3 異常報酬之檢定…………………………………………………………10
3.2 資料來源………………………………………………………………………………12
4. 實證結果…………………………………………………………………………………16
4.1 事件研究結果……………………………………………………………………16
5. 結論……………………………………………………………………………………………22
5.1 研究結論………………………………………………………………………………22
5.2 研究限制與建議………………………………………………………………23
6. 附錄…………………………………………………………………………………………24
參考文獻………………………………………………………………………………………30

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