本研究運用Campbell(1991)之股價報酬變異數分解模型，探討影響台灣二檔ESG攸關主題式ETF之未來報酬衝擊因素，以及投資人對不同ETF之現金流量訊息反應程度之差異。具體而言，本文以近期熱門的元大台灣ESG永續(00850)與富邦公司治理(00692)兩檔ETF為主要研究對象，與標竿ETF(台灣 50 指數)比較，分析驅動各ETF未預期報酬之影響因子。此外，本文在永續相關ETF模型中考量重要環境影響變數，以此重新衡量市場衝擊因子，將可突破過去文獻之缺口，以期能提升模型捕捉市場未來走向之效果。
實證結果顯示，在三種主題式ETF中，現金流量訊息都是影響其股價報酬變異之最主要因素。同時，當加入空氣品質指數(AQI)以及總發電量(PW)後，可以提高模型解釋力，以及現金流量訊息之比重。然而，市場上投資人對現金流量訊息均呈現反應不足的情況，且ESG主題式ETF之表現更為明顯，本研究認為目前市場上的投資人對於空氣品質和發電量等非財務性指標對公司股價影響之敏感度較為薄弱，尚未察覺兩項重要之環境指標對公司未來現金流量影響之重要性，本研究之發現可作為主管機關加強推廣投資人綠色金融素養之依據。

Our research is to analyze the investor's reaction of unexpected returns and cash-flow news among the 2 major ESG related ETFs by using Campbell (1991)’s returns decomposition method. Specifically, our research objects are “Yuanta FTSE4Good TIP Taiwan ESG ETF” and “Fubon TWSE Corporate Governance 100 ETF”, and the benchmark is “FTSE TWSE Taiwan 50 Index”. We tried to identify the drivers of unexpected returns in these ETFs. Besides, the critical environmental variables were included into our sustainable ETF model to evaluate the market shock. Thus, it might raise the capability of capturing market direction in this new model and complement the existing literature.

The empirical results show that the major driver of future stock returns is cash-flow news among these 3 subjective ETFs. Meanwhile, adding AQI (Air Quality Index) and PW (Power Generated) state variable into the model can enhance the explanatory power of model and increase the ratio of cash-flow news. However, the market investors underreact to cash-flow news, especially to the ESG subjective ETF. We believe the investors are not aware of the importance of future cash-flow affected by the Air-Quality and Power-Generated index. And they are not sensitive enough to this kind of non-financial information. Thus, the research findings could be the suggestion of authority to promote the Green Finance literacy to investors.

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