Volume 19, Number 1, June 2024
| The Effects of Risk-Taking and Stock Returns on the ESG Ratings and ESG Risk-Scores |
Abstract
With the rise of corporate sustainability awareness, environmental, social and corporate governance (ESG) are becoming increasingly important issues for companies. This study is based on the Taiwan publicly corporation data from both MSCI and Sustainalytics for 2021. The study examines the relationship between carbon emissions, risk-taking and stock returns on the ratings of ESG rating and ESG risk scores through multiple stepwise regression and robustness regression analysis. The results of this study revealed that: carbon emissions were negatively correlated with ESG rating, but not significant with ESG risk scores. In addition, Z-Score was positively correlated with ESG risk scores, SDROA was negatively correlated with ESG rating. Finally, stock returns were positively correlated on both ESG ratings and ESG risk scores.
Keywords: ESG rating, Carbon Emission, Risk-Taking, Stock Return.
JEL Classification: Q25, D25