ESG揭露與股票流動性

本研究主要探討企業ESG揭露對於股票流動性之關聯。本研究以我國強制揭露法規作為外生因素，利用傾向分數配對差異中差異估計 (PSM-DID) 與多元迴歸分析進行實證分析，利用以臺灣證券交易所之非金融業上市櫃企業，共計1684間企業做為研究樣本。實證結果顯示，相較於未強制揭露法規實施前及未進行永續報告書揭露之企業，不論是受強制揭露規範或自願性揭露之企業，於我國強制要求企業需揭露永續報告書規範事件後，皆能夠帶來較佳的股票流動性。永續報告書之揭露，可降低與利害關係人之間資訊不對稱，提升企業透明度，減少投資人逆選擇成本，降低企業之股權資金成本與代理成本，且能夠吸引更多的股票分析師與機構投資人的關注，從而擁有更佳的股票流動性。

This study investigates the relationship between corporate ESG disclosure and stock liquidity. I utilized mandatory disclosure regulations in Taiwan as an exogenous event and employed propensity score matching, difference-in-differences (PSM-DID) and multi-regression analysis for empirical analysis. The sample consists of 1684 listed and OTC firms in Taiwan, excluding financial firms. The empirical results demonstrate that compared with firms that do not disclose ESG information and period that before the implementation of mandatory disclosure regulations, disclosure firms no matter subject to mandatory disclosure regulations or not, they exhibit improved stock liquidity during post-event period. The disclosure of sustainability report can reduce information asymmetry with stakeholders, enhance corporate transparency, reduce investor adverse selection costs, reduce corporate equity capital costs and agency costs, and attract more stock analysts and institutional investors, thereby improving stock liquidity.