帳號:guest(35.173.254.36)          離開系統
字體大小: 字級放大   字級縮小   預設字形  

詳目顯示

以作者查詢圖書館館藏以作者查詢臺灣博碩士以作者查詢全國書目勘誤回報
作者(中):楊舒婷
作者(英):Yang, Shu-Ting
論文名稱(中):ESG揭露程度對公司風險之影響
論文名稱(英):An analysis of ESG disclosure score and firm risks
指導教授(中):陳鴻毅
指導教授(英):Chen, Hong-Yi
口試委員:楊曉文
岳夢蘭
口試委員(外文):Yang, Sharon S.
Yueh, Meng-Lan
學位類別:碩士
校院名稱:國立政治大學
系所名稱:財務管理學系
出版年:2019
畢業學年度:107
語文別:英文
論文頁數:39
中文關鍵詞:企業社會責任公司風險財務風險下檔風險股票報酬
英文關鍵詞:ESGFirm riskFinancial riskDownside riskStock return
Doi Url:http://doi.org/10.6814/NCCU202000150
相關次數:
  • 推薦推薦:0
  • 點閱點閱:496
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:240
  • gshot_favorites title msg收藏:0
本研究在探討公司對環境、社會、公司治理(ESG)的揭露程度是否影響其財務風險及下檔風險。財務風險以總風險、系統風險、非系統風險為代表,下檔風險則以股價暴跌風險(NCSKEW)及財務限制指數(KZ¬、WW、SA指數)表示。我們發現ESG揭露程度愈高,財務風險皆愈低,此結果與過去研究相符,並支持公司從事ESG活動有助於降低資訊不對稱問題,進而增進利害關係人的信任、降低公司風險。此外,ESG揭露程度與WW指數、SA指數為負相關,代表ESG揭露程度可降低下檔風險。以各別揭露程度來看,E和G之揭露程度對降低公司風險的效果更為顯著。然而,ESG揭露程度雖有助於降低公司風險,卻無法藉此提升股價報酬。
In this study, I try to investigate whether a firm’s environmental, social, and governance (ESG) disclosure score affects its financial risk and downside risk. Specifically, I use total risk, systematic risk, and idiosyncratic risk to measure the financial risk, and the stock price crash risk (NCSKEW) and financial constraint indexes (KZ, WW, and SA index) to capture the downside risk. The empirical findings show a significantly negative association between ESG disclosure score and financial risk measures, suggesting that ESG engagement can mitigate information asymmetry problems and subsequently reduce a firm’s financial risk. In addition, I find that ESG disclosure score is negatively associated with WW and SA indexes. Further, disclosure scores of E and G are relatively important in reducing firm risks. However, the risk reduction of ESG engagement cannot improve the stock return in the future.
List of Tables V
1.Introduction 1
2.Literature Review 4
2.1 ESG and Risk 5
2.2 ESG and Downside risk 5
2.3 ESG and Stock Price Crash Risk 6
2.4 ESG and Financial Constraint 6
2.5 ESG and Stock Return 7
3.Sample, Variables, and Models 9
3.1 Sample 9
3.2 Variables 9
3.3 Models 13
4.Empirical Results 15
4.1 Descriptive Statistics and Bivariate Correlation 15
4.2 Empirical Results 16
5.Conclusion and Discussions 22
References 24
Albuquerque, R., Koskinen, Y., & Zhang, C. (2018). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science, forthcoming.
Allayannis, G., Lel, U., & Miller, D. P. (2012). The use of foreign currency derivatives, corporate governance, and firm value around the world. Journal of International Economics, 87, 65-79.
Attig, N., Boubakri, N., El Ghoul, S., & Guedhami, O. (2016). Firm internationalization and corporate social responsibility. Journal of Business Ethics, 134, 171-197.
Becchetti, L., Ciciretti, R., & Hasan, I. (2015). Corporate social responsibility, stakeholder risk, and idiosyncratic volatility. Journal of Corporate Finance, 35, 297-309.
Benlemlih, M., Amama, S., Qiu, Y., Trojanowski, G. (2018). Environmental and social disclosures and firm risk. Journal of Business Ethics, 152, 613-626.
Boutin-Dufresne, F., & Savaria, P. (2004). Corporate social responsibility and financial risk. The Journal of investing, 13, 57-66.
Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35, 97-116.
CFA Institute (2015). Environmental, social, and governance issues in investing: A guide for investment professionals.
Chan, C. Y., Chou, D. W., & Lo, H. C. (2016). Do financial constraints matter when firms engage in CSR? North American Journal of Economics and Finance, 39, 241-259.
Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35, 1-23.
Dimson, E., 1979. Risk measurement when shares are subject to infrequent trading.
Journal of Financial Economics, 7, 197-226.
El Ghoul, S., Guedhami, O., & Kim, Y. (2017). Country-level institutions, firm value, and the role of corporate social responsibility initiatives. Journal of International Business Studies, 48, 360-385.
El Ghoul, S., Guedhami, O., Kwok, C., & Mishra, D. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35, 2388-2406.
Fatemi, A., Glaum, M. & Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global Finance Journal, 28, 45-64.
Friede, G., Busch, T. & Bassen, A. (2015). ESG and financial performance: Aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5, 210-233.
Godfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. The Academy of Management Review, 30, 777-798.
Hoepner, A. G. F., Oikonomou, I., Sautner, Z., Starks, L. T., & Zhou, X. Y. (2018). ESG shareholder engagement and downside risk. AFA 2018 paper.
Hong, H., Kubik, J. D., & Scheinkman J. A. (2012). Financial constraints on corporate goodness. Working paper.
Husted, B. W. (2005). Risk management, real options, and corporate social responsibility. Journal of Business Ethics, 60, 175-183.
Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics, 94, 67-86.
Jo, H., & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics, 110, 441–456.
Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.
Makni, R., Francoeur, C., & Bellavance, F. (2009). Causality between corporate social performance and financial performance: Evidence from Canadian firms. Journal of Business Ethics, 89, 409-422.
Oikonomou, I., Brooks, C., & Pavelin, S. (2012). The impact of corporate social performance on financial risk and utility: A longitudinal analysis. Financial Management, 41, 483-515.
Renneboog, L., Horst, J. T., & Zhang, C. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking & Finance, 32, 1723-1742.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
* *