本研究主要探討結合ESG之價格動能策略於台灣資本市場之適用性，並同時進行價格動能、ESG動能以及ESG價格動能三種策略間績效比較。以2010-2017年間Thomson Reuters Eikon資料庫中公布ESG分數的公司作為研究樣本，單獨根據過去股票報酬以及前一年度的ESG非財務資訊做為投資組合標的篩選標準，形成ESG價格動能策略。實證結果顯示，ESG動能策略具有獲利機會。此外，投資人可透過ESG價格動能策略，更好的去區分價格動能策略中贏家以及輸家，提升台灣股市的價格動能獲利情況，顯示ESG資訊對於投資人而言有其相當價值。進一步考量環境(E)、社會(S)以及公司治理(G)三大面向於動能策略的貢獻來源，發現動能獲利主要來自環境以及社會兩大面向貢獻，尤以社會面篩選更為顯著，顯示不同篩選面向確實影響策略績效表現。

This paper mainly examines the profitability of ESG price momentum in Taiwanese capital market. We collect the ESG score in the Thomson Reuters Eikon database from 2010 to 2017 as our research sample. The strategy is formed based on the past stock returns and ESG non-financial information of the previous year as the screening criteria for the portfolio. The empirical results first show that the ESG momentum strategy has profit opportunities. In addition, investors can better differentiate the winners and losers in the price momentum strategy by combining ESG information, and increase the profitability of the price momentum. To further consider the three sources of contribution to the strategy: environmental (E), social (S) and corporate governance (G), we discover that profits mainly come from the two major aspects of the environment and society. This shows that different screenings do affect the performance of the strategy.

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