本研究探討台灣市場中企業的 ESG 績效與極端風險之間的關聯性。研究樣本來自 2015 年至 2022 年間在台灣的上市櫃公司，並以 Bloomberg 資料庫為 ESG 資料來源。相較於之前的文獻，本研究在極端風險的衡量方式上考量了報酬的偏態與峰度，選擇了經 Cornish-Fisher 漸進展開式調整過後的風險值 (modified VaR) 與條件風險值 (modified CVaR) 作為極端風險的衡量工具。而在模型選擇上，使用普通最小平方法線性多元迴歸模型，評估了 ESG 績效對公司未來極端風險的影響，並且透過加入時間虛擬變數與不同信賴水準進一步增加結果的穩健性。結果顯示，台灣市場中的環境與公司治理績效對降低極端風險的閾值 (threshold value) 有顯著影響，但只有公司治理績效能夠降低損失的期望值。同時，這些效果皆會隨著信賴水準的上升，也就是事件越極端時漸漸失效，而社會責任績效則未顯示出任何顯著效果。

This study investigates the relationship between ESG performance and tail risk among companies in the Taiwan market. The sample comprises TWSE-listed and TPEx-listed firms in Taiwan from 2015 to 2022, with ESG data sourced from the Bloomberg database. Unlike prior literature, this study considers the skewness and kurtosis of returns in measuring tail risk, employing risk measures adjusted via the Cornish-Fisher expansion (modified VaR and modified CVaR). A multiple linear regression model using the ordinary least squares method was utilized to assess the impact of ESG performance on future tail risk. The robustness of the results was enhanced by the inclusion of time dummy variables and varying confidence level. The results indicate that in Taiwan’s market, environment and corporate governance performances significantly affect the threshold value for reducing tail risk. However, only corporate governance performance is effective in reducing the expected value of losses. Meanwhile, these effects gradually diminish as the confidence level increases, meaning they become less effective as the events become more extreme. Lastly, no significant effects of social responsibility performance have been observed.

1.前言...........1
2.文獻回顧.......4
3.研究方法.......7
4.實證結果......14
5.結論..........28
附錄一..........31
附錄二..........33
參考文獻........35

中文部份
1.李春旺, 劉維琪, 與高孔廉 (1989)，「股價行為與規模效應: 臺灣股票市場實證研究」，《管理評論》，8，99-121。
2.金融監督管理委員會 (2024，2月22日)，公司治理3.0-永續發展藍圖，https://www.sfb.gov.tw/ch/home.jsp?id=992&parentpath=0,8,882,884。
3.Bloomberg (2024) 彭博專業服務，環境、社會及公司治理 (ESG)，取自https://www.bloomberg.com/tc/solution/esg/，訪問於 2024 年 4 月 16 日。

英文部份
1.Albuquerque, R., Koskinen, Y., Yang, S., & Zhang, C. (2020), “Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash,” The Review of Corporate Finance Studies, 9, 593-621.
2.Bachelier, L. (1901), “Théorie Mathématique du Jeu,” Annales Scientifiques de l'Ecole Normale Supérieure, 18, 143-209.
3.Bax, K., Sahin, Ö., Czado, C., & Paterlini, S. (2023), “ESG, Risk, and (Tail) Dependence,” International Review of Financial Analysis, 87, 102513.
4.Black, F. (1976), “Studies of Stock Market Volatility Changes,” Proceedings of the American Statistical Association, Business & Economic Statistics Section, 1976.
5.Campbell, J. Y., & Hentschel, L (1992), “No News Is Good News: An Asymmetric Model of Changing Volatility in Stock Returns,” Journal of Financial Economics, 31, 281-318.
6.Carnini Pulino, S., Ciaburri, M., Magnanelli, B. S., & Nasta, L. (2022), “Does ESG Disclosure Influence Firm Performance?” Sustainability, 14, 7595.
7.Chen, J., Hong, H., & Stein, J. C. (2001), “Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices,” Journal of Financial Economics, 61, 345-381.
8.Christie, A. A. (1982), “The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects,” Journal of Financial Economics, 10, 407-432.
9.Cornish, E. A., & Fisher, R. A. (1938), “Moments and Cumulants in the Specification of Distributions,” Revue de l'Institut International de Statistique, 307-320.
10.French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987), “Expected Stock Returns and Volatility,” Journal of Financial Economics, 19, 3-29.
11.Giese, G., Lee, L. E., Melas, D., Nagy, Z., & Nishikawa, L. (2019), “Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance,” The Journal of Portfolio Management, 45, 69-83.
12.Halbritter, G., & Dorfleitner, G. (2015), “The Wages of Social Responsibility—Where Are They? A Critical Review of ESG Investing,” Review of Financial Economics, 26, 25-35.
13.Harvey, C. R., & Siddique, A. (2000),” Conditional Skewness in Asset Pricing Tests,” The Journal of Finance, 55, 1263-1295.
14.Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019), “Integrating ESG in Portfolio Construction,” The Journal of Portfolio Management, 45, 67-81.
15.Hoepner, A. G., Oikonomou, I., Sautner, Z., Starks, L. T., & Zhou, X. Y. (2024), “ESG Shareholder Engagement and Downside Risk,” Review of Finance, 28, 483-510.
16.Ilhan, E., Sautner, Z., & Vilkov, G. (2021), "Carbon Tail Risk,” The Review of Financial Studies, 34, 1540-1571.
17.Jane Lenard, M., Yu, B., Anne York, E., & Wu, S. (2014), “Impact of Board Gender Diversity on Firm Risk,” Managerial Finance, 40, 787-803.
18. Khan, M. A. (2022), “ESG Disclosure and Firm Performance: A Bibliometric and Meta Analysis,” Research in International Business and Finance, 61, 101668.
19.Krueger, P., Sautner, Z., & Starks, L. T. (2020), “The Importance of Climate Risks for Institutional Investors,” The Review of Financial Studies, 33, 1067-1111.
20.Kytle, B., & Ruggie, J. G. (2005), “Corporate Social Responsibility as Risk Management: A Model for Multinationals,” Working Paper
21.Lee, C. C., Wang, C. W., Chen, W. L., & Hong, P. C. (2023), “Compulsory Disclosure Regulation: the Effect of ESG on Extreme Risk,” Applied Economics, 1-14.
22.Lee, M. T. (2016), “Corporate Social Responsibility and Stock Price Crash Risk: Evidence from an Asian Emerging Market,” Managerial Finance, 42, 963-979.
23.Lööf, H., & Stephan, A. (2019), “The Impact of ESG on Stocks' Downside Risk and Risk Adjusted Return,” Working Paper
24.McGuire, J. B., Sundgren, A., & Schneeweis, T. (1988), “Corporate Social Responsibility and Firm Financial Performance,” Academy of Management Journal, 31, 854-872.
25.Newey, W. K., & West, K. D. (1986), “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix,” Econometrica, 55, 703-708
26.Pindyck, R. S. (1984), “Uncertainty in the Theory of Renewable Resource Markets,” The Review of Economic Studies, 51, 289-303.
27.Przychodzen, J., Gómez-Bezares, F., Przychodzen, W., & Larreina, M. (2016), “ESG Issues among Fund Managers—Factors and Motives,” Sustainability, 8, 1078.
28.Pyles, M. K. (2020), “Examining Portfolios Created by Bloomberg ESG Scores: Is Disclosure an Alpha Factor?” The Journal of Impact and ESG Investing, 1, 39-52.
29.Reber, B., Gold, A., & Gold, S. (2022), “ESG Disclosure and Idiosyncratic Risk in Initial Public Offerings,” Journal of Business Ethics, 179, 867-886.
30.Sandvik, J. (2020), “Board Monitoring, Director Connections, and Credit Quality,” Journal of Corporate Finance, 65, 101726.
31.Sassen, R., Hinze, A. K., & Hardeck, I. (2016), “Impact of ESG Factors on Firm Risk in Europe,” Journal of Business Economics, 86, 867-904.
32.Verheyden, T., Eccles, R. G., & Feiner, A. (2016), “ESG for All? The Impact of ESG Screening on Return, Risk, and Diversification,” Journal of Applied Corporate Finance, 28, 47-55.
33.Zadeh, F. O., & Eskandari, A. (2012), “Firm Size as Company's Characteristic and Level of Risk Disclosure: Review on Theories and Literatures,” International Journal of Business and Social Science, 3.
34.Zangari, P. (1996), “An Improved Methodology for Measuring VaR,” RiskMetrics Monitor, 2, 7-25.