企業ESG評等是否可以提升公司的市場資訊透明度與價格效率？

Abstract

在全球永續浪潮的推動下，ESG評鑑已成為企業經營與投資決策中重要的參考依據，因此本研究旨在探討企業ESG評鑑作為由外部機構進行的評估機制，是否真正有助於提升企業資訊透明度，並進一步促進資本市場的價格發現效率。本研究以2015年至2024年間臺灣上市公司為研究對象，採用股價同步性作為資訊透明度的代理變數，並以相對報酬離散度與價格延遲程度衡量價格效率，驗證ESG評級與資訊揭露程度及價格效率之間的關聯性。本文之實證結果發現，ESG評級與股價同步性呈顯著正向關聯，由於本文以股價同步性作為資訊透明度之代理指標，故迴歸結果實質上反應ESG評級越高的企業，其資訊透明度越高，而根據假說二的實證結果，ESG評級皆對於相對報酬離散度與價格延遲程度呈顯著負相關，顯示ESG評鑑有助於促進資訊快速反應於股價，提升價格效率，因此ESG評鑑促使市場對ESG資訊的解讀更為一致，並使市場雜訊降低，進而提升報酬與市場波動的一致性，股價同步性提高且價格發現機制更有效率。

Given the increasing global emphasis on sustainability, ESG evaluations have become an important reference in corporate management and investment decision-making. This study aims to examine whether ESG ratings, as externally administered evaluation mechanisms, effectively contribute to enhancing corporate information transparency and, in turn, facilitate the efficiency of price discovery in capital markets. This study examines listed companies in Taiwan from 2015 to 2024, employing stock price synchronicity as a proxy for information transparency and using relative return dispersion and price delay as measures of price efficiency to investigate the relationship between ESG ratings, the level of information disclosure, and price efficiency. The empirical results reveal a significant positive relationship between ESG ratings and stock price synchronicity. Since stock price synchronicity is used in this study as a proxy for information transparency, the regression results indicate that firms with higher ESG ratings exhibit greater transparency. Furthermore, the results for Hypothesis 2 show that ESG ratings are significantly negatively associated with both relative return dispersion and price delay, suggesting that ESG evaluations facilitate the rapid incorporation of information into stock prices and improve price efficiency. Consequently, ESG evaluations promote a more consistent interpretation of ESG information in the market, reduce noise, and enhance the alignment between returns and market movements, thereby increasing stock price synchronicity and improving the effectiveness of the price discovery mechanism.