本研究旨在探討美國ESG ETF在不同情境下的表現。本研究以新冠疫情(COVID-19)為負向事件代表、並以COP26會議為正向事件代表，透過事件研究法本研究發現ESG投資在負向事件情境下並沒有顯著的下檔保護的效果，然而其在正向事件下也未提供顯著的超額報酬。另外，在負向事件下，ETF特性中僅有「週轉率」 和累積異常報酬(cumulative abnormal return) 有顯著負相關；而在正向事件下，ETF特性中「晨星永續評級」和累積異常報酬有顯著正相關，顯示著投資人確實會將永續評級視為考慮投資的一項要素之一。整體而言，本研究結果並不支持ESG投資的下檔保護效果或者捕捉超額報酬的能力。

This paper studies the performance of U.S. ESG ETFs under different circumstances including negative event as COVID-19 and positive event as COP26 meeting. By implementing event study methodology, this study demonstrates that U.S. ESG ETFs did not provide downside protection under negative event nor did they significantly capture excess return during positive event. Furthermore, “Turnover Ratio” had significant negative correlation with cumulative abnormal return while controlling other ESG ETFs characteristics during COVID-19 event. However, “Morningstar Sustainability Rating” did have positive correlation with cumulative abnormal return under COP26 meeting, indicating that investors did evaluate ESG ETF’s sustainability rating when investing. Overall, the result did not support the idea of downside protection nor the ability of generating excess return from ESG investing.

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