本篇探討台灣2011年至2022年ESG因子是否影響產業風險溢酬，同時利用DUVOL及NSKEW作為產業崩盤風險之替代變數，探討ESG是否可以降低產業崩盤風險。此外，本文還將ESG因子拆分為環境（E）、社會（S）、公司治理（G）個別因子，觀察不同層面是否對於不同產業間之風險溢酬與崩盤風險有不同影響力。本篇採ESG分數增加與減少對於應變數的影響，不論ESG分數高與低，僅探討當ESG改善與惡化是否會對於下一年的產業風險溢酬與崩盤風險產生影響，投組權重則利用ESG分數增減幅度決定，當分數變動幅度愈大，投組權重愈高。同時，利用Fama - French三因子作為控制變數，以Panel-Data Model進行迴歸分析。結果顯示，在ESG因子具顯著結果下，多數產業風險溢酬呈現顯著正向影響，且發現環境因子（E）在傳統產業產生顯著正向影響，反之，在科技產業則產生顯著負向影響。本文利用DUVOL及NSKEW作為崩盤風險替代變數，迴歸分析結果顯示在ESG各層面分數提升下，除了社會因子（Ｓ）以外，皆使得崩盤風險下降，且在兩替代變數之下，公司治理（G）皆是主要影響產業崩盤風險因子，其中公司治理又代表商業倫理、財務透明度與競爭性行為等，故符合預期結果。

This article discusses whether ESG factors affect the industry risk premium in Taiwan from 2011 to 2022. At the same time, it uses DUVOL and NSKEW as substitute variables for industry crash risk to explore whether ESG can reduce the risk of industry crash. In addition, this paper splits ESG factors into individual factors of environment (E), society (S), and corporate governance (G) to observe whether different levels have different influences on risk premium and crash risk among different industries. This article adopts the impact of the increase and decrease of ESG score on the variable. Regardless of whether the ESG score is high or low, it only discusses whether the improvement or deterioration of ESG will have an impact on the industry risk premium and crash risk in the next year. The weight of the investment group is used The ESG score is determined by the increase or decrease. The greater the score change, the higher the weight of the investment group. At the same time, using the Fama-French three factors as control variables, the regression analysis was carried out with the Panel-Data Model. The results show that most industries have a positive impact, when ESG has a significant impact on industrial risk premiums, and it is found that environmental factors (E) have a significant positive impact in traditional industries, and conversely, have a significant negative impact in technology industries. This paper uses DUVOL and NSKEW as alternative variables for crash risk. The regression analysis results show that with the improvement of ESG scores at all levels, except for social factors (S), the risk of crash is reduced. Under the both of crash risk alternative variables, corporate governance (G) mainly affect the crash risk of industrial. Among them, corporate governance also represents business ethics, financial transparency and competitive behavior, so it is in line with the expected results.

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