源於 2005 年聯合國提出 ESG 之概念 (Environment Social Governance)，世界各國及企業陸續將 ESG 納入願景與企業經營理念，台灣亦有以單一 ESG 評級作為參考之金融商品並與日俱增。過去多探討企業投入成本及企業績效和 ESG 表現相關性，較少探討多家機構發行之 ESG 評級連結企業績效作為選股策略。本研究以台灣上市櫃公司為例，分為二階段進行分析。階段一先依市值大小排列將企業分群後，使用資料包絡分析法，以多家機構發行之 ESG 評級作為投入項、利用 2016 年至 2021 年五個年度之財務比率作為產出項，篩選出有效率之企業。階段二則透過 Markowitz 投資組合模型，計算出投資權重後，與目前台灣現有市場上 ESG 相關之 ETF 共計四檔 (富邦公司治理、元大臺灣 ESG 永續、國泰台灣 ESG 永續高股息、永豐台灣 ESG ) 進行 2022 年報酬率回測。實證結果顯示本研究所建立之投資組合 2022 年報酬率半數優於上述四檔 ESG 相關 ETF，因此可作為選股策略方法之一。

Originated from a proposal by the United Nations in the year of 2005, Environment Social Governance (ESG) has since been adapted for corporate visions by countries and enterprises around the world. In Taiwan, the amount of financial products that refer to a single ESG rating is also increasing. In the past, researchers much more explored the correlation between corporate investment costs and performance and ESG performance rather than the stock selection strategy based on the ESG ratings issued by multiple institutions. This study conducts a two-stage analysis, using the listed and OTC companies in Taiwan as examples. In the first stage, data development analysis (DEA) is conducted after grouping companies according to their market capitalization sizes. Efficient companies are therefore sifted out, with ESG ratings issued by multiple institutions as DEA’s input, and financial ratios from 2016 to 2021 as the output. In the second stage, the Markowitz portfolio model is employed to calculate the investment weights, which are then engaged in an annual return rate back test for 2022 with the four ESG-related ETFs (Fubon TWSE Corporate Governance 100 ETF, Yuanta FTSE4Good TIP Taiwan ESG ETF, Cathay MSCI Taiwan ESG Sustainability High Dividend Yield ETF , and SinoPac Taiwan Target Exposure ESG ETF) on Taiwan’s market today. The empirical result shows that more than half of the investment portfolios established in this study have higher annual return rate than the four ESG-related ETFs mentioned above, indicating that the stock selection strategy is viable.

1.前言…………………………………………………………………1
2.文獻回顧……………………………………………………………3
3.研究方法……………………………………………………………6
4.實證結果……………………………………………………………11
5.結論………………………………………………………………20
附錄……………………………………………………………………21
參考文獻………………………………………………………………32

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