隨著社會的持續進步，追求對環境(Environmental)、社會(Social)、企業治理(Governance)的責任投資已是公司無法逃避的社會責任，有關ESG的探討或者ESG對公司經營財務指標的影響已經有諸多探討，本文著重想了解投資ESG公司與所承擔的風險的相關性。然而投資人真正在意的風險應該是當大盤下跌時的不確定性造成個股股價損失的部分，也就是所謂的下方風險（downside risk）。本文使用台灣39隻在台灣永續指數內的上市公司並用產業-規模配對(industry-size matched)的方法找出對照樣本，研究ESG公司是否擁有較低的下方風險，可以避免ESG投資人在空頭時失望，進而因此吸引更多台灣機構投資者與一般投資者跟上責任投資的潮流，也讓台灣上市公司有更大的誘因投入完善社會責任。本文利用Ang, Chen and Xing(2006)所用的方法將解釋個股報酬率的大盤Beta分解成上方Beta與下方Beta兩部分，著重在用來當作下方風險代理變數的下方Beta的探討，ESG公司是否承擔較低的下方風險，以及是否能獲得較高的平均報酬，希望ESG投資人藉由投資ESG公司能夠同時追求投資報酬、較小的風險與以及企業的社會責任。

As society continues to progress, the pursuit of responsible investment in the environment (E), society (S), and corporate governance (G) is already a social responsibility that companies cannot avoid. There have been many discussions about ESG or the impact of ESG on the company’s operating financial indicators. We focuses on the relevance of investing in ESG companies and the risks they take. However, the risk that investors really care about is the stock price loss caused by uncertainty when the market falls, that is, the downside risk. We uses 39 listed companies in the Taiwan Sustainability Index and uses industry-size matched method to find a control sample to study whether ESG companies have a lower downside risk, which can avoid ESG investors disappointed when market go down, and then It attracts more Taiwanese institutional investors and general investors to keep up with the trend of responsible investment, and also gives Taiwan listed companies a greater incentive to invest in improving social responsibility. Ang, Chen and Xing (2006) to decompose the market Beta that explains the return rate of individual stocks into two parts: the upperside Beta and the downside Beta, Focusing on the downside Beta as the downside risk proxy variable. We explore Whether the ESG company can have a lower risks and whether it can obtain a higher average return, hoping that by investing in ESG companies, ESG investors can pursue investment returns, less risk, and corporate social responsibility at the same time.

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