隨著企業永續發展成為全球資本市場的重要議題，企業ESG表現逐漸受到投資人關注，愈來愈多研究指出企業的ESG事件會影響大眾的投資決策，進而造成短期股價偏離預期的情況，而企業的ESG事件往往會透過新聞媒體快速傳播，因此新聞成為乘載ESG資訊的重要來源。本研究以台灣上市公司為對象，蒐集《經濟日報》自2020至2024年間之新聞，並透過語言模型BERT進一步量化ESG新聞情緒，以情緒分數作為主要自變數，並以個股異常報酬做為應變數，檢驗ESG新聞情緒對股價的短期影響效果。
實證結果顯示，正面與負面ESG新聞對異常報酬皆存在顯著影響，顯示投資人並非僅將企業ESG表現視為負面篩選訊號，正面之ESG新聞同樣能為股價帶來正面影響。此外，研究亦發現，新聞情緒強度與股價報酬同樣呈現線性相關，對於正面新聞來說，情緒分數越高，股價異常報酬則越高；反之，對於負面新聞來說，情緒分數越高，股價異常報酬則越低。
本研究進一步探討兩項因子如何影響ESG新聞情緒的調節效果，因子包含「企業ESG表現」與「過去股價表現」。結果顯示，ESG表現差的企業在面對正面新聞時，股價報酬相對基準組有更大的提升幅度，而這種調節效果在其他組別則不顯著。另一方面，過去的股價表現亦發揮調節作用，在負面ESG新聞釋出後，過去表現領先的企業相對於基準組會出現更大的股價跌幅，而令人意外的是，當正面ESG新聞釋出後，原先股價表現落後的企業，相較於基準組，股價增幅反而被削弱。
本研究藉由BERT模型量化ESG新聞情緒，並驗證了ESG新聞情緒對異常報酬具顯著解釋力，且其影響幅度會隨企業ESG表現和過去股價表現而有所變化。研究結果補足了ESG新聞事件對股價異常報酬的異質性討論，提供投資人一項短期市場判斷工具。

As corporate sustainability becomes a global imperative, environmental, social, and governance (ESG) performance has increasingly influenced investor decision-making. This study examines the impact of ESG news sentiment on the short-term abnormal returns of Taiwan-listed companies. Using BERT language modeling, we quantified ESG sentiment from Economic Daily News articles published between 2020 and 2024.
Empirical results indicate that both positive and negative ESG news significantly affect abnormal returns, demonstrating that investors perceive ESG disclosures as both positive signals and risk indicators. Furthermore, a linear relationship exists between sentiment intensity and stock returns, indicating that higher sentiment scores correlate with larger abnormal returns in both positive and negative directions. We also identify two moderating factors, which are corporate ESG rating and historical stock performance. Firms with lower ESG ratings exhibit significantly higher abnormal returns following positive news. Conversely, companies with strong historical stock performance face larger price declines following negative ESG news. Notably, positive news triggers a more subdued response in firms with poor historical performance compared to their peers. These findings provide empirical evidence on the heterogeneous market reaction to ESG news, offering a practical framework for investors to evaluate short-term market dynamics.

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