SASB主產業排名與企業財務績效、報酬率關係之探討

Abstract

近年來，永續發展已成為企業經營與投資決策中的核心課題，促使ESG評級在企業價值評估中的重要性日益增加。本研究旨在探討SASB主產業分類下之ESG相對排名指標，是否能有效解釋企業財務績效與市場表現。過去文獻多探討ESG絕對評分（如MSCI ESG等）為主，較少從「產業內相對位置」的觀點出發。因此，本研究以「TESG分數除以所屬SASB主產業排名」作為主要解釋變數，結合企業永續表現之強度與相對排名，建構具財務重大性與產業可比性的ESG衡量指標。實證樣本涵蓋2018年至2023年間台灣上市公司共804家，以資產報酬率（ROA）、股東權益報酬率（ROE）與近一年報酬率為應變數，進行Pooled OLS、固定效果與隨機效果分析，並以Hausman檢定選擇適當模型。本研究亦納入滯後一期模型，檢驗ESG表現與企業績效、股價報酬之時間遞延效應。研究結果顯示，TESG/SASB比值與ROA及ROE呈顯著正向關係，無論當期或滯後一期模型皆具穩定解釋力，代表相對永續表現佳的企業具備更高的資產使用效率與股東報酬能力。惟在近一年報酬率方面，TESG/SASB於當期無顯著關聯，滯後一期則呈現顯著負向結果，顯示ESG表現對股價報酬率具時間遞延性，短期內未必充分反映於股價變動中。此外，財務表現與報酬率之間實證結果正負向關係相反，可能來自公司當期財務表現佳，股價水準偏高，導致下一期報酬成長空間有限，反而呈現財務表現越好、報酬率越低的情形。Sustainable development has become central to corporate strategy and investment decisions, increasing the importance of ESG ratings in firm valuation. This study examines whether a relative ESG ranking indicator—constructed by dividing a firm's TESG score by its SASB primary industry ranking—can effectively explain corporate financial performance and market stock returns. In contrast to prior research focusing on absolute ESG scores (e.g., TESG, MSCI ESG), this study introduces a financially material, industry-comparable ESG metric that reflects both the intensity of ESG performance and a firm’s relative standing within its industry. Using data from 804 listed companies in Taiwan from 2018 to 2023, the study employs ROA, ROE, andone-year stock return as dependent variables. Panel regressions (Pooled OLS, fixed effects, and random effects) are conducted, with the Hausman test for model selection. Lagged models are also included to assess delayed ESG effects.Empirical results show that the TESG/SASB ratio is positively and significantly associated with ROA and ROE across both contemporaneous and lagged models, indicating that firms with better relative ESG performance tend to have higher asset efficiency and shareholder returns. In contrast, the ratio has no significant effect on current one-year stock returns but shows a significant negative association in the lagged model, suggesting that ESG information may influence stock prices with a time lag and is not immediately reflected in short-term market performance. Moreover, the inverse relationship observed between financial performance and stock returns may be explained by the fact that firms with strong current performance tend to have already elevated stock prices, thereby limiting their potential for further return growth in the subsequent period. As a result, firms with better financial results may experience lower returns in the following year.