隨著永續投資興起，企業 ESG（環境、社會與公司治理）表現是否能反映真實信用風險，並進一步影響債務成本，已成為資本市場關注焦點。然而，多數既有研究未清楚區分 ESG 的「風險改善效果」與「投資人偏好效果」，易高估其實質功能。為釐清 ESG 在公司債市場的定價機制，本研究以 2016 至 2024 年台灣上市櫃公司所發行之 861 檔公司債為樣本，結合 KMV 模型計算違約距離（Distance to Default）作為信用風險指標，實證檢驗 ESG 表現是否能降低債務成本與信用風險，並探討企業信用評等等級是否產生調節效果。研究結果顯示：第一，ESG 評分對公司債殖利率具有遞延效果，僅滯後一期指標與殖利率呈顯著負相關；第二，ESG 對違約風險並無穩定改善效果，未顯著影響違約距離；第三，ESG 對降低債務成本的效果具有條件性，僅在低信用評等企業中顯著，顯示其加分效果具有邊際遞減性，而在高信用評等企業中則是無顯著影響力。顯現出ESG 在台灣公司債市場中展現「價格效果強、風險改善弱」的現象，其定價功能主要來自市場偏好而非實質風險結構變動，對企業策略與政策設計具有重要啟示。

With the rise of sustainable investing, whether corporate ESG (Environmental, Social, and Governance) performance can reflect true credit risk and consequently affect debt costs has become a focal point in capital markets. However, many existing studies fail to clearly distinguish between the “risk reduction effect” and the “investor preference effect” of ESG, which often leads to an overestimation of its actual function. To clarify the pricing mechanism of ESG in the corporate bond market, this study analyzes 861 corporate bonds issued by publicly listed companies in Taiwan from 2016 to 2024. It adopts the KMV model to calculate Distance to Default as a measure of credit risk, empirically examining whether ESG performance reduces debt costs and credit risk, and whether credit ratings have a moderating effect. The findings reveal the following: first, ESG scores have a lagged effect on bond yields, only the lagged ESG indicators show a significant negative correlation with yields. Second, ESG does not consistently improve credit risk and fails to effectively predict changes in default distance. Third, the cost-reducing effect of ESG is conditional, showing significance only in firms with low credit ratings, indicating a diminishing marginal benefit. For firms with high credit ratings, the effect is not significant. These results highlight a phenomenon in Taiwan’s corporate bond market where ESG exhibits a “strong pricing effect but weak risk improvement,” suggesting that its pricing function mainly stems from market preference rather than fundamental changes in risk structure, carrying important implications for corporate strategy and policy design.

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