永續與股票定價效率性

永續性的熱潮是否可能改變傳統投資準則和行為，進而導致投資標的股票潛在的定價不效率。本研究以我國2016年至2023年間， 具有TEJ ESG評分且排除金融業之我國上市櫃公司為研究樣本，探討企業ESG之績效表現對股票錯誤定價之潛在影響，並進一步分析資訊不對稱及公眾ESG情緒在企業ESG績效與股票錯誤定價間之調節作用。實證結果顯示，公司前一年之ESG 績效表現及E、S、G三個支柱之績效，皆會顯著負向影響股票錯誤定價，亦即ESG績效表現較佳的公司，其股票定價的效率性顯著較高，尤其是對股價高估的公司最為顯著。然而，當資訊不對稱愈嚴重或公眾ESG情緒愈高漲時，則會顯著減損企業ESG 績效對股票定價效率性正向的影響，顯示資訊不對稱與公眾ESG情緒扮演了重要的調節作用。

The sustainability trend may potentially alter traditional investment criteria and behaviors, leading to potential pricing inefficiencies in investment target stocks. This study examines the potential impact of ESG performance on stock misvaluation, using a sample of Taiwanese listed companies with TEJ ESG scores, excluding the financial industry, from 2016 to 2023. Additionally, the study analyzes the moderating effects of information asymmetry and public ESG sentiment on the relationship between corporate ESG performance and stock misvaluation. Empirical results show that the company's ESG performance, as well as the performance of the three pillars E (environmental), S (social), and G (governance) in the previous year, significantly negatively affect stock misvaluation. In other words, companies with better ESG performance exhibit significantly higher pricing efficiency, especially for companies with overvalued stocks. However, the positive impact of ESG performance on pricing efficiency is significantly diminished when information asymmetry becomes more serious or public ESG sentiment becomes higher, indicating that both factors play an important moderating role.