本研究以2018年1月至2021年5月間的台灣上市公司為樣本，使用台灣股票市場資訊以及行政院環境保護署所提供台灣每日空氣品質指標，檢驗空氣品質對公司股價報酬率的影響。本文預期當空氣品質越差時，會負向影響投資者情緒，使其對公司未來的展望較為悲觀，股票報酬率表現也會較差，實證結果與預期相符。再分析空氣汙染的成份，發現空氣中的懸浮微粒（PM10）以及細懸浮微粒（PM2.5），皆會負面地影響股票報酬。進一步按照公司的股權組成，將樣本分為自然人持股比率高及自然人持股比率低兩組進行分組分析時，發現在自然人持股比率高的組別中，空氣品質對於股票報酬的作用較為明顯。本研究成果補充了空氣品質影響股票市場報酬的文獻，並以空氣品質作為投資者情緒的外生變數，有助於確認投資者的非理性行為會影響股票報酬之間的因果關係。

The research takes Taiwan listed companies from January 2018 to May 2021 as the sample and is based on the information of Taiwan stock market and daily air quality indicators provided by the Environmental Protection Administration, Executive Yuan to examine the influence of air quality on company’s stock returns.
The expectation of the research is when the air quality gets worse, it will negatively affect investors’sentiments, and make it more pessimistic about the future prospects of the companies, and result in worse stock returns.
The expirical results are in line with expectations. Futher analyzing the components of air pollution, it is found that both suspended particulate matter (PM10) and fine suspended particulate matter (PM2.5) will affect stock returns negatively.
According to the companies’ shareholding composition, we divided the samples into two groups, one is high percentage of shares held by natural persons and the other is low percentage of shares held by natual persons. We found that it has a more obvious influence of air quality on stock returns in group of high percentage of shares held by natual persons.
This research will be the supplementory of the literature of the influenceof air quality on stock returns, and also confirm the causality in investors’ irrational behavior and stock returns by taking air quality as an exogenous variable of investors' sentiments.

中文文獻
行政院環保署空保處：空氣污染排放總量資料庫清冊系統(TEDS)10.0
蔡群立、陳淑儀與何志欽，(2014)，921地震對台灣股票報酬率是否有非對稱性及結構性改變之探討，中山管理評論，第22卷第4期，頁711-758

英文文獻

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