本研究探討2016年至2023年間台灣上市櫃公司之環境、社會與治理（ESG）  績效與投資現金流敏感性（ICS）之間的交互關係。基於財務限制假說及Fama and French (2015)五因子模型，本研究檢視ESG績效如何影響企業對現金流的依賴，並將研究樣本區分為自願與強制揭露永續報告書的企業，比較其財務限制與ICS的差異。採用兩階段最小平方法結合工具變數解決內生性問題，研究發現ESG 績效與 ICS 的呈現正向關係，尤其是在高財務限制企業中，因ESG投資的短期成本增加而更依賴內部現金流。投資現金流敏感性影響受到財務約束與企業規模的影響而有所不同，企業透過財務與ESG提升企業現金流量、融資能力，顯著降低對內部現金流的依賴，尤其在高財務約束企業中效果顯著。投資組合分析顯示，自願揭露企業，尤其是小規模成長型及高盈利能力企業報酬率較高，反映財務體質較佳及對永續發展的積極承諾，與系統性風險降低的論點一致。反之，強制揭露企業展現因ESG成本增加，且對於資源有限的小規模企業，加劇財務約束和投資現金流敏感性，進而導致其報酬表現不如自願揭露企業。本研究填補ESG、財務限制與資產定價理論的文獻缺口，為金管會提供政策建議，可透過補貼措施提供小型高盈利企業自願揭露永續報告書，另為企業財務長與市場參與者提供實證依據。

This study investigates the interplay between environmental, social, and governance (ESG) performance and investment-cash flow sensitivity (ICS) among Taiwanese listed companies from 2016 to 2023. Grounded in the financial constraints hypothesis and the Fama and French (2015) five-factor model, this research examines how ESG performance influences firms’ reliance on internal cash flows. The sample is divided into firms with voluntary versus mandatory sustainability reporting to compare differences in financial constraints and ICS. Employing two-stage least squares with instrumental variables to address endogeneity, the findings reveal a positive relationship between ESG performance and ICS, particularly in firms with high financial constraints, where short-term ESG investment costs increase dependence on internal cash flows. The impact of ICS varies with financial constraints and firm size, with firms leveraging ESG and financial strategies to enhance cash flows and financing capacity, significantly reducing reliance on internal cash flows, especially in highly constrained firms. Portfolio analysis indicates that voluntarily disclosing firms, particularly small-scale, high-growth, and high-profitability firms, exhibit higher returns, reflecting stronger financial health and commitment to sustainability, consistent with reduced systematic risk. Conversely, mandatory disclosure firms face increased ESG-related costs, exacerbating financial constraints and ICS in resource-limited small firms, resulting in inferior return performance compared to voluntary disclosers. This study bridges the literature gap on ESG, financial constraints, and asset pricing, offering policy recommendations for the Financial Supervisory Commission to incentivize voluntary sustainability reporting among small, high-profit firms through subsidies. It also provides empirical evidence for CFOs and market participants.

目錄
第壹章	緒論	1
第一節	研究背景及動機	1
第二節	研究目的	4
第三節	研究流程與架構	7
第四節	研究流程圖	8
第貳章	文獻回顧	9
第一節	ESG評估對企業財務的影響	9
第二節	ESG因素對投資報酬的影響	10
第三節	融資限制對投資現金流敏感度的影響	11
第四節	公司特徵對投資現金流敏感度的影響	12
第參章	研究方法	14
第一節	研究變數	14
第二節	實證模型	22
第肆章	實證結果分析	32
第一節	資料來源與處理	32
第二節	基本統計量	33
第三節	市場報酬率的加權與等權分析	41
第四節	投資現金流敏感性與財務變數的迴歸分析	43
第五節	兩階段最小平方工具變數法迴歸分析	46
第六節	五因子模型迴歸分析	54
第伍章	研究結論與建議	73
參考文獻	75

圖 目 錄
【圖 1-1】：研究架構流程圖	8
 
表 目 錄
【表 3-1】五因子投資組合分類表	29
【表 4-1】基本統計量	40
【表 4-2】等權、成交量加權報酬率	41
【表 4-3】投資現金流敏感度顯著家數	43
【表 4-4】投資現金流敏感度正/負向家數	44
【表 4-5】兩階段最小平方工具變數法迴歸分析	47
【表 4-6】五因子投資組合α_0係數	55
【表 4-7】五因子迴歸模型α_0顯著水準	64
【表 4-8】五因子投資組合報酬率	65

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