近年來隨著企業永續發展意識日益提升，對企業的環境、社會與公司治理 (Environmental, Social, and Governance, ESG) 表現已成為資本市場中備受關注的評價指標。目前研究多以ESG評級與股價表現之間的關係為主，而對ESG新聞情緒對股價影響的探討仍然有限。本研究聚焦於ESG新聞情緒對企業股價之影響，探討市場是否會因新聞中所傳遞的正面或負面情緒產生異常報酬，進而影響股價波動。
本文以美國道瓊工業指數三十檔成分股為研究對象，其資料涵蓋2017至2023年，橫跨COVID-19疫情發生前後時間，具備顯著的市場結構變動特徵。研究係運用RavenPack資料庫，擷取與企業具高關聯度及情緒標註的ESG新聞，依據情緒分數區分為正面、中立與負面三類。方法上採用事件研究法與多元線性迴歸分析，衡量新聞事件發生後的異常報酬 (Abnormal Return) ，並區分為疫情前、中、後三個階段進行分組研析。
研究結果顯示：一、ESG新聞情緒與股價變動具有顯著的同向關係；二、負面新聞對股價的衝擊大於正面新聞，顯示市場對負面資訊的敏感度較高；三、COVID-19後疫情時期市場對ESG新聞的敏感度顯著提升，新聞情緒對股價的影響力顯著增強。本研究的發現不僅有助於理解ESG新聞對股價的影響，也能為投資者提供更有效的投資決策依據與風險評估，並為企業制定ESG策略提供參考。

In recent years, growing corporate awareness of sustainability has made Environmental, Social, and Governance (ESG) performance a key metric in capital markets. While much research has focused on the relationship between ESG ratings and stock performance, studies exploring the impact of ESG news sentiment on stock prices remain limited. This study examines whether positive or negative sentiments conveyed in ESG-related news generate abnormal returns and influence stock volatility.
The analysis focuses on the 30 constituent stocks of the Dow Jones Industrial Average (DJIA) from 2017 to 2023, covering both pre- and post-COVID-19 periods, during which significant market structural changes occurred. ESG news with high firm relevance and sentiment scores was retrieved from the RavenPack database and classified into positive, neutral, and negative categories. The study adopts an event study methodology and multiple linear regression analysis to evaluate the abnormal returns following ESG news events, and further segments the data into three periods: pre-pandemic, mid-pandemic, and post-pandemic.
Key findings include: (1) a significant positive relationship between ESG news sentiment and stock price movements; (2) negative news has a larger impact on stock prices than positive news, indicating higher market sensitivity to adverse information; and (3) the influence of ESG news sentiment on stock prices intensified during the post-COVID-19 period. These insights help investors better assess risks and inform decision-making, while also offering guidance for firms in shaping effective ESG strategies.

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