本研究探討公司在環境、社會及公司治理(ESG)之表現績效，特別是在環境表現績效上是否影響公司之特有風險及下檔風險。本研究之下檔風險係以股價價格崩跌風險(NSCKEW、DUVOL)與財務限制指數(KZ、WW指數)衡量表示，並且更進一步探討公司之ESG績效排名與公司特有風險及下檔風險之關係。實證結果發現ESG之表現績效與風險存在顯著的負相關。同時也發現只有ESG表現績效排名處於前段之公司才能降低其下檔風險。實證結果顯示，公司建立良好的ESG績效可形成一種社會資本，使公司之特有風險降低，並使公司的融資能力更強。此外，唯有公司之ESG總體績效評分或環境績效評分處於領先排名區間時，公司方能降低其特有風險和財務限制。本研究結果鼓勵公司在ESG表現績效上取得領先之排名，以降低公司之特有風險及下檔風險。然而，ESG的績效雖有助於降低特有風險及財務限制，卻無助於降低公司特定的股票價格崩盤風險。

In this study, I examine whether the diligent of ESG performance, especially the environment performance, can help a firm to avoid the idiosyncratic risk and downside risks, and reduce its financial constraints. In addition, I investigate the relation between the rank of firm’s ESG performance and firm’s risks. The empirical result shows a significant and negative association between with ESG performance score and risks. I also find that only those firms that have high rank of ESG and Environmental engagement can reduce their downside risk. The basic socially responsible engagement does not help firms decrease their downside risk. The empirical results suggest that the building of great ESG performance can form the social capital which can reduce idiosyncratic risk of a firm and enhance a firm’s financing ability. Moreover, I find that the excellent performance rank of ESG score and E score can decrease idiosyncratic risk and financial constraints, while the basic socially responsible engagement does not help firms to decrease their downside risks. The findings of this study encourage firms to do their best on ESG engagement and decrease their downside risks. However, ESG efforts cannot help decrease firm-specific stock price crash risk.

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