經濟合作暨發展組織主張企業應即時、準確地揭露所有重要資訊，財務資訊揭露對公司和市場具有重大影響，有助於降低投資風險。近年來，全球投資人日益重視 ESG 相關議題，也將ESG資訊納入投資考量。在資本市場，ESG評級機構中扮演提供ESG資訊的關鍵角色，不同機構對同一公司的評價可能存在分歧，本研究旨在觀察台灣ESG評級機構提供的資訊可靠性，以及評級機構分歧之資訊所建構的多空投資組合效果。
本研究觀察國際ESG評級機構Bloomberg 與台灣本土ESG評級機構TEJ提供台灣市場ESG資訊的能力，並觀察台灣股市對ESG評級機構分歧資訊的反應，使用樣本使用區間為2017年至2022年，共2,081筆樣本。本研究發現台灣本土ESG評級機構TEJ提供ESG資訊效果較佳，認為台灣本土ESG評級機構更能理解當地市場的獨特性。
接著，從高度評級分歧的公司樣本中，使用台灣本土評級機構TEJ提供的ESG分數作為標準，篩選多空投資組合的公司，結果顯示台灣股市對於ESG評級分歧建構的多空組合並無法產生正超額報酬。本研究額外發現高度評級分歧的公司樣本中，低ESG評級公司的樣本數少。樣本期間經歷了COVID-19疫情，隨後各國政府和央行推出了一系列刺激措施使得股市迅速反彈，而受惠於全球供應鏈轉移的台灣股市表現佳，因此使用ESG分數以及評級機構分歧之資訊，強行將做空組合加入多空投資組合無法獲得正超額報酬。

This study examines the role of ESG rating agencies and the impact of rating disagreements on investment returns in the Taiwanese market. It highlights the growing importance of ESG disclosures and the differing evaluations by agencies like Bloomberg and TEJ. Using data from 2017 to 2022, the study finds that TEJ provides more reliable ESG information for Taiwan due to its tailored methodologies and better understanding of Taiwanese culture.
Regression analyses (CAPM, Fama-French models) reveal that long-short portfolios based on ESG rating disagreements do not yield positive excess returns in Taiwan. Despite TEJ's better local market understanding, the portfolios' performance is hindered by market conditions, particularly the post-COVID-19 market rebound and a shortage of short-sample companies.
The study concludes that while local ESG rating agencies like TEJ offer superior information, the effectiveness of using ESG scores and rating disagreements to construct profitable investment portfolios in Taiwan is limited.

Alareeni, B. A., & Hamdan, A. (2020). ESG impact on performance of US S&P 500-listed firms. Corporate Governance: The International Journal of Business in Society, 20(7), 1409-1428. https://doi.org/10.1108/CG-06-2020-0258
Aydoğmuş, M., Gülay, G., & Ergun, K. (2022). Impact of ESG performance on firm value and profitability. Borsa Istanbul Review, 22, S119-S127. https://doi.org/10.1016/j.bir.2022.11.006
Barry, C. B., & Brown, S. J. (1985). Differential information and security market equilibrium. Journal of financial and quantitative analysis, 20(4), 407-422. https://doi.org/10.2307/2330758
Berg, F., Koelbel, J. F., & Rigobon, R. (2022). Aggregate confusion: The divergence of ESG ratings. Review of Finance, 26(6), 1315-1344. https://doi.org/10.1093/rof/rfac033
Billio, M., Costola, M., Hristova, I., Latino, C., & Pelizzon, L. (2021). Inside the ESG ratings:(Dis) agreement and performance. Corporate Social Responsibility and Environmental Management, 28(5), 1426-1445. https://doi.org/10.1002/csr.2177
Broadstock, D. C., Chan, K., Cheng, L. T., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance Research Letters, 38, 101716.
Christensen, D. M., Serafeim, G., & Sikochi, A. (2022). Why is corporate virtue in the eye of the beholder? The case of ESG ratings. The Accounting Review, 97(1), 147-175. https://doi.org/10.2308/TAR-2019-0506
Erol, I., Unal, U., & Coskun, Y. (2023). ESG investing and the financial performance: a panel data analysis of developed REIT markets. Environmental Science and Pollution Research, 30(36), 85154-85169. https://doi.org/10.1007/s11356-023-28376-1
Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The journal of finance, 51(1), 55-84. https://doi.org/10.1111/j.1540-6261.1996.tb05202.x
Gibson Brandon, R., Krueger, P., & Schmidt, P. S. (2021). ESG rating disagreement and stock returns. Financial Analysts Journal, 77(4), 104-127. https://doi.org/10.1080/0015198X.2021.1963186
Gregory, R. P. (2024). The influence of firm size on ESG score controlling for ratings agency and industrial sector. Journal of Sustainable Finance & Investment, 14(1), 86-99. https://doi.org/10.1080/20430795.2022.2069079
Healy, P. M., & Palepu, K. G. (2001). Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of Accounting and Economics, 31(1-3), 405-440. https://doi.org/10.1016/S0165-4101(01)00018-0
Heflin, F., Shaw, K. W., & Wild, J. J. (2000). Disclosure quality and market liquidity. Available at SSRN 251849. http://dx.doi.org/10.2139/ssrn.251849
Henriksson, R., Livnat, J., Pfeifer, p., and Stumpp, M. (2019). Integrating ESG in portfolio construction. The Journal of Portfolio Management, 45(4), 67–81. https://doi.org/10.3905/jpm.2019.45.4.067
Kim, R., & Koo, B. (2023). The impact of ESG rating disagreement on corporate value. Journal of Derivatives and Quantitative Studies: Futures Research, 31(3), 219-241. https://doi.org/10.1108/JDQS-01-2023-0001
Lang, M. H., & Lundholm, R. J. (1996). Corporate disclosure policy and analyst behavior. Accounting Review, 71(4), 467-492.
Luo, D., & Farag, H. (2024). ESG and aggregate disagreement. Journal of International Financial Markets, Institutions and Money, 92, 101972. https://doi.org/10.1016/j.intfin.2024.101972
Serafeim, G., & Yoon, A. (2023). Stock price reactions to ESG news: The role of ESG ratings and disagreement. Review of Accounting Studies, 28(3), 1500-1530. https://doi.org/10.1007/s11142-022-09675-3
Gilbert, M. (2019, January 11). The Rising Cost of Investing Responsibly. Bloomberg. https://www.bloomberg.com/view/articles/2019-01-11/the-rising-cost-of-esg-and-socially-responsible-investing
KPMG. (2022). Big shifts, small steps. KPMG. https://assets.kpmg.com/content/dam/kpmg/xx/pdf/2022/10/ssr-small-steps-big-shifts.pdf
Lovas, G. (2023, December 19). Top ESG Rating Providers. BrokerChooser. https://brokerchooser.com/education/investing/top-esg-rating-providers
PRI. (2023). 2022-23 Annual Report. PRI. https://dwtyzx6upklss.cloudfront.net/Uploads/z/s/n/pri_ar2023_smaller_file_8875.pdf
Serafeim, G. (2014). Turning a profit while doing good: Aligning sustainability with corporate performance. The Center for Effective Public Management at Brookings. https://www.brookings.edu/wp-content/uploads/2016/06/serafeim.pdf
TEJ. (2021, January 1). TESG事件雷達. TEJ. https://www.tejwin.com/news/tesg-event-radar/