本研究旨在探討ESG績效以及社會與公司治理個別項目績效對於公司風險之影響，特別是下檔風險。我主要以公司特有風險、股價暴跌風險(NCSKEW和DUVOL)和財務限制指數(KZ index、WW index和SA index)作為風險變數，並以Refinitiv資料庫中2002-2018年間的美國公司作為研究樣本進行回歸分析。實證結果顯示，ESG績效分數越高，未來一年的公司特有風險與財務限制指數越低。負向關係也出現在個別社會績效與公司治理績效上，表示兩者對於ESG績效降低風險之效果皆有所貢獻。此外，我更進一步以ESG績效排名作回歸分析，探討擁有較高ESG排名的公司是否能享有更好的降低風險效果。本研究的發現可歸結為以下四點：(1)ESG績效以及個別社會與公司治理績效皆能降低未來公司特有風險及財務限制指數，顯示ESG降低風險之效果除了來自對外建立好的形象外，也來自在基本面上改善公司體質。(2)社會績效中之人權與產品責任，以及公司治理績效中之管理與CSR策略能有效降低公司風險。(3)ESG績效可降低公司特有風險和財務限制，但對於股價暴跌風險之影響並不顯著。(4)在以ESG績效排名的分段回歸中發現，只有前兩個五分位對於財務限制有顯著負相關，表示企業只有在ESG績效做到最好才能有效降低財務限制。

In this study, I try to investigate the impact of ESG performance, individual dimensions of Social and Governance performance on firm risk and downside risk. Specifically, I employ the idiosyncratic risk as the measure of firm-specific risk, and the crash risks (NCSKEW and DUVOL) and financial constraints (KZ index, WW index and SA index) as measures of the downside risk. I find ESG Score has significantly negative association with one-year-ahead idiosyncratic risk and financial constraints. Social and Governance pillar scores are shown the same negative associations with firm risks as well, which suggests the mitigating effects of ESG on risks are contributed by both dimensional performances. In addition to the linear regression, I use the piecewise regression to examine whether higher ESG ranks can enjoy more risk reduction. The empirical findings of this study can be concluded in four points. (1) Both ESG Score and pillar scores of Social and Governance can effectively reduce future firm-specific risk and financial constraints. This suggests that the mitigating effects of ESG on risks result from both building good reputation in outward and strengthening firm’s fundamental. (2) The mitigating effect of Social performance on risks is mainly contributed by Human Rights and Product Responsibility, while the mitigating effect of Governance performance is contributed by Management and CSR Strategy. (3) ESG scores are negatively associated with idiosyncratic risk and financial constraints (KZ index and WW index), but the impacts of ESG scores on crash risks (NCSKEW and DUVOL) are still inconclusive. (4) In the piecewise ESG regression, only the top two quintiles of ESG scores have significantly negative relations with financial constraints. This indicates that ESG performance can decrease financial constraints only if the firm has better ESG performance.

Albuquerque, R., Koskinen, Y., & Zhang, C. (2018). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science, 65, 1–19.
Bauer, R., Derwall, J., & Hann, D. (2009). Employee relations and credit risk. SSRN. From: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1483112.
Benlemlih, M., Shaukat, A., Qiu, Y., & Trojanowski, G. (2018). Environmental and social disclosures and firm risk. Journal of Business Ethics, 152, 613–626.
Ben-Nasra, H., & Ghouma, H. (2018). Employee welfare and stock price crash risk. Journal of Corporate Finance, 48, 700–725.
Berman, S. L., Wicks, A. C., & Jones, T. M. (1999). Does stakeholder orientation matter? The relationship between stakeholder management models and firm financial performance. Academy of Management Journal, 42, 488–506.
Bouslah, K., Kryzanowski, L., & M’Zali, B. (2013). The impact of the dimensions of social performance on firm risk. Journal of Banking & Finance, 37, 1258–1273.
Bouslah, K., Kryzanowski, L., & M’Zali, B. (2018). Social performance and firm risk: Impact of the financial crisis. Journal of Business Ethics, 149, 643–669.
Boutin-Dufresne, F., & Savaria, P. (2004). Corporate social responsibility and financial risk. Journal of Investing, 13, 57–66.
Byrne, E. (2010). The U.S. military-industrial complex is circumstantially. Journal of Business Ethics, 95,153–165.
Cheng, B., Ioannou, I., & Serafeim, G. (2014). Corporate social responsibility and access to finance. Strategic Management Journal, 35, 1–23.
Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics, 61, 345–381.
Dhaliwal, D. S., Li, O. Z., Tsang, A., & Yang, Y. G. (2011). Voluntary non-financial disclosure and the cost of equity capital: The case of corporate social responsibility reporting. Accounting Review, 86, 59–100.
Dimson, E. (1979). Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics, 7, 197–226.
Eccles, R., Ioannou, I., & Serafeim, G. (2012). The impact of corporate sustainability on organizational processes and performance. Management Science, 60, 2835–2857.
El Ghoul, S., Guedhami, O., Kwok, C. C. Y., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking and Finance, 35, 2388–2406.
Godfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. Academy of Management Review, 30, 777-798.
Goss, A., & Roberts, G. (2011). The impact of corporate social responsibility on the cost of bank loan. Journal of Banking & Finance, 35, 1794–1810.
Gregory, A., Tharyan, R., & Whittaker, J. (2014). Corporate social responsibility and firm value: Disaggregating the effects on cash flow, risk and growth. Journal of Business Ethics, 124, 633–657.
Hadlock, C. J., & Pierce, J.R. (2010). New evidence on measuring financial constraints: Moving beyond the KZ index. Review of Financial Studies, 23, 1909–1940.
Hemingway, C. A., & Maclagan, P. W. (2004). Managers' personal values as drivers of corporate social responsibility. Journal of Business Ethics, 50, 33–44.
Husted, B. W. (2005). Risk management, real options, and corporate social responsibility. Journal of Business Ethics, 60, 175–183.
Jo, H., & Harjoto, M. (2014). Analyst coverage, corporate social responsibility, and firm risk. Business Ethics: A European Review, 23, 272–292.
Kaplan, S., & Zingales, L. (1997). Do investment–cash flow sensitivities provide useful measures of financing constraints? Quarterly Journal of Economics, 112, 169–215.
Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1–13.
Lamont, O., Polk, C., & Saa-Requejo, J. (2001). Financial constraints and stock returns. Review of Financial Studies, 14, 529–554.
Lee, D. D., & Faff, R. W. (2009). Corporate sustainability performance and idiosyncratic risk: A global perspective. Financial Review, 44, 213–237.
McGuire, J. B., Sundgren, A., & Schneeweis, T. (1988). Corporate social responsibility and firm financial performance. Academy of Management Journal, 31, 854–872.
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.
Orlitzky, M., Schmidt, F. L., & Rynes, S. L. (2003). Corporate social and financial performance: A meta-analysis. Organization Studies, 24, 403–441.
Sirri, E. R., & Tufano, P. (1998). Costly search and mutual fund flows. Journal of Finance, 53, 1589–1622.
Van Beurden, P., & Gossling, T. (2008). The worth of values: A literature review on the relation between social and financial performance. Journal of Business Ethics, 82, 407–424.
Waddock, S.A., & Graves, S.B. (1997). The corporate social performance-financial performance link. Strategic Management Journal, 18, 303–319.
Whited, T., & Wu, G. (2006). Financial constraints risk. Review of Financial Studies, 19, 531–559.