本研究探討台灣上市櫃股票之 MSCI-ESG 評等與其報酬率之關聯性，並分析該關係在不同產業間的效果差異。本研究蒐集 2020 年至 2023 年的台灣上市櫃股票月報酬資料為研究樣本進行迴歸分析。實證結果顯示，在所有被 MSCI-ESG 評級納入評等範圍的台灣上市櫃股票中，評等為 A、BBB 和 B 的公司，相較於低評等的公司，其與報酬率呈現顯著的正向關係。但被評為領先評等 AAA 及 AA 的公司卻未能取得顯著的正向報酬，顯示公司積極的永續性作為可能產生抵換作用，導致公司營運表現受到負面影響。進一步以產業別分析發現，金融業的受評級公司取得越領先的評等表現時，相較於低評等的公司，其與報酬率的正向關係更為明顯，此一結果符合過往文獻的實證結果；而被 MSCI-ESG 納入評級的高汙染業相較未被納入評價者，其報酬率則呈顯著的負向關係，說明 ESG 訊息揭露可能暴露了高汙染業面臨的環境、法規和社會壓力等永續性風險，進一步對投資者的信心造成負面影響。

This study examine the relationship between MSCI-ESG ratings of Taiwan-listed stocks and their returns, while also analyzing variations in this relationship across different industries. Utilizing monthly return data from 2020 to 2023 for Taiwan-listed stocks, regression analysis was conducted. Empirical findings suggest that among Taiwan-listed stocks covered by MSCI-ESG ratings, those rated A, BBB, and B show a positive correlation with returns compared to lower-rated companies. However, companies rated as leading AAA and AA did not achieve significant positive returns, suggesting that proactive sustainability efforts might create a trade-off effect, negatively impacting the company's performance.
Furthermore, industry-specific analysis reveals that within the financial sector, companies with higher ESG ratings exhibit a stronger positive correlation with returns compared to lower-rated counterparts. Conversely, high-polluting industries included in the MSCI-ESG Ratings exhibit a significant negative correlation with returns compared to those not covered by the ratings. This indicates that ESG information disclosure may expose the sustainability risks faced by high-pollution industries, such as environmental, regulatory, and social pressures, which can further negatively impact investor confidence.

1. 前言…………………………………………………………………..1
2. 文獻回顧……………………………………………………………..4
3. 研究方法…………………………………………………………….10
4. 實證結果…………………………………………………………….17
5. 結論………………………………………………………………….23
附錄……………………………………………………………………..25
參考文獻………………………………………………………………..30

中文文獻：
1. 周宣萱（2020）。台灣高ESG指數股票是否具有顯著超額報酬? 以MSCI ESG評等為例。﹝碩士論文。國立中正大學﹞
2. 陳亭吟（2021）。ESG評比對危機下銀行業股價表現之影響──來自COVID-19危機的證據。﹝碩士論文。國立臺灣大學﹞
3. 經濟部公告，中華民國 109 年 3 月 20 日，經中字第 10904601320 號，主旨為訂定 「低污染認定基準」，並自中華民國一百零九年三月二十日生效。根據工廠管理輔導法第二十八條之七第三項，公告事項訂定 「低污染認定基準」 作為本研究的高污染之定義基準
4. MoneyDJ 理財網 (https://m.moneydj.com/) 所提供的資料被用作本研究的產業分類標準

英文文獻：
1. Bansal, R., Wu, D., & Yaron, A. (2022). Socially responsible investing in good and bad times. The Review of Financial Studies, 35(4), 2067-2099.
2. Carnini Pulino, S., Ciaburri, M., Magnanelli, B. S., & Nasta, L. (2022). Does ESG disclosure influence firm performance?. Sustainability, 14(13), 7595.
3. Chen, Z., & Xie, G. (2022). ESG disclosure and financial performance: Moderating role of ESG investors. International Review of Financial Analysis, 83, 102291.
4. Duan, Y., Yang, F., & Xiong, L. (2023). Environmental, social, and governance (ESG) performance and firm value: Evidence from Chinese manufacturing firms. Sustainability, 15(17), 12858.
5. Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.
6. Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: First evidence on materiality. The Accounting Review, 91(6), 1697-1724.
7. Khan, M. (2019). Corporate governance, ESG, and stock returns around the world. Financial Analysts Journal, 75(4), 103-123.
8. Leite, B. J., & Uysal, V. B. (2023). Does ESG matter to investors? ESG scores and the stock price response to new information. Global Finance Journal, 57, 100851.
9. Long, H., Chiah, M., Cakici, N., Zaremba, A., & Bilgin, M. H. (2024). ESG investing in good and bad times: An international study. Journal of International Financial Markets, Institutions and Money, 91, 101916.
10. MSCI. (2024). MSCI ESG Ratings. Retrieved February 2024, from https://www.msci.com/our-solutions/esg-investing/esg-ratings
11. Wedajo, A. D., Bhat, M. A., Khan, S. T., Iqbal, R., Salah, A. A., & Berhe, M. W. (2023). Analyzing the Dynamic Relationship Between ESG Scores and Firm Value in Chinese Listed Companies: Insights from Cross-Lagged Analysis.