本研究旨在探討 ESG 評分相對較劣的公司，若財務績效優良，是否能在股價報酬率方面勝過 ESG 評分相對較優的公司。學術界在研究 ESG 評分與公司股價報酬率的關聯性時，常僅以 ESG 評分作為參考因素，少有考慮若該司同時具有出色財務比率，是否能夠降低 ESG 評分對報酬率影響之情形。因此本研究以台灣公司治理評鑑 (台灣證券交易所與櫃買中心共同編製發佈之資料)、Sustainalytics 以及 FTSE Russell 此三種不同 ESG 評分為基準，以優劣順序選出倒數一百名之公司，再計算 2017 年至 2022 年間皮爾托斯基分數 (Piotroski F-Score) 加總後平均最高的前三十家，接著以 Markowitz 模型為基礎建構最大化夏普比率 (Maximum Sharpe Ratio)的投資組合；再來以同樣研究方法，將 ESG 評分標準換作挑選最優者，同樣建構最大化夏普比率 (Maximum Sharpe Ratio)之投資組合，最後比較兩者報酬率高低，研究期間為 2017 年至 2022 年。實證結果顯示，以台灣公司治理評鑑評分為基準建構之投資組合，ESG 評分較劣的一方以 155.38% 的報酬率遜於 ESG 評分較優一方的 255.96%；而以 Sustainalytics 為基準建構的投資組合之中，ESG 評分較劣族群的投資組合以 183.45 % 超越 ESG 評分較優族群的 152.97% ；最後是以 FTSE Russell 為基準建構之投資組合，ESG 分數較劣的一邊之投資組合以 186.30% 的績效遜於 ESG 評分較優一方的 202.71% ；研究結果顯示，總體而言，儘管在研究期間投資擁有較優 ESG 評分之公司相較 ESG 評分較劣之公司能得到較高的股價報酬率，然而由於 ESG 評級機構的評分方式有所差異，關於 ESG 評分與公司績效之關聯性，還有待更多研究考據。

This research aims to examine whether companies with lower ESG scores, but with strong financial performance, can achieve higher stock returns than companies with superior ESG scores. Academia often studies the relationship between ESG scores and company stock returns by using only the ESG score as a reference factor, rarely considering whether excellent financial ratios can mitigate the impact of the ESG score on returns. This study uses three different ESG score benchmarks: Taiwan's Corporate Governance Evaluation (data jointly compiled and published by the Taiwan Stock Exchange and the OTC Exchange), Sustainalytics, and FTSE Russell. Companies ranked in the bottom 100 by these scores were selected, and the top 30 firms with the highest average Piotroski F-Score from 2017 to 2022 were identified. An investment portfolio maximizing the Sharpe Ratio based on the Markowitz model was then constructed. The same research method was applied, but this time selecting companies with the highest ESG scores to construct another maximum Sharpe Ratio portfolio. The returns of the two portfolios were then compared for the period from 2017 to 2022. Empirical results showed that for portfolios based on Taiwan's Corporate Governance Evaluation, the group with the poorer ESG scores had a return of 155.38%, underperforming the group with better ESG scores which achieved a return of 255.96%. For portfolios based on Sustainalytics, the group with lower ESG scores surpassed with a return of 183.45% compared to the higher-scoring group's 152.97%. For portfolios based on FTSE Russell, the lower ESG scoring group achieved a performance of 186.30%, lagging behind the higher scoring group's 202.71%. Overall, the findings indicate that investing in companies with higher ESG scores yielded higher stock returns during the research period compared to those with lower scores. However, due to differences in the rating methods of ESG rating agencies, the relationship between ESG scores and company performance requires further research.

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