ESG代表的是企業社會責任，分別是環境保護（E，Environment）、社會責任（S，Social）以及公司治理（G，Governance）的縮寫，是一種新型態評估企業的數據與指標，同時被許多企業或投資人視為評估一間企業是否永續經營的重要指標及投資決策。本研究為ETF永豐台灣ESG (00888) 2022Q4公佈持股再加以110年度台灣公司治理評鑑結果前5%作為篩選，最後遴選出21家台灣上市櫃公司作為本文研究樣本ESG組，對照組則以同產業且市值規模相近並且110年度公司治理評鑑結果非為前5%的另21家台灣上市櫃公司，探討 企業社會責任表現領先的公司投資績效能否較企業社會責任表現一般或落後的公司更加降低公司之下方風險？同時該結果是否也造成市場投資者情緒偏好符合 企業社會責任表現領先的公司，及對其同樣產生較低的失望規避。本文以2002年至2021年期間逐月報酬率為研究樣本，結果發現，企業社會責任表現領先公司投資績效無法顯著地較表現一般或落後公司更為降低公司之下方風險，該結果與我們的假設不相符，而企業社會責任表現領先公司未能在市場情緒低落時降低投資者對於市場的「失望」程度及創造「失望規避」效果。

ESG stands for corporate social responsibility, which is the abbreviation of environmental protection (E, Environment), social responsibility (S, Social) and corporate governance (G, Governance). It is a new type of data and indicators for evaluating enterprises. Many companies or investors regard it as an important indicator for evaluating whether a company is sustainable and making investment decisions. This research is based on the ETF Yongfeng Taiwan ESG (00888) 2022Q4 announcement of shareholding, and the top 5% of the 110-year Taiwan corporate governance evaluation results are selected as screening, and finally 21 Taiwan listed OTC companies are selected as the ESG group of this research sample, and the control group is Using another 21 Taiwanese listed OTC companies in the same industry with a similar market value and the 110-year corporate governance evaluation results are not in the top 5%, to explore whether the investment performance of companies with leading ESG performance is lower than that of companies with average or lagging ESG performance. Does the company further reduce the risk below the company? At the same time, does this result also cause the market investor sentiment to favor companies that are in line with the leading performance of corporate social responsibility, and also produce lower disappointment avoidance. This paper uses the monthly rate of return from 2002 to 2021 as a research sample, and finds that the investment performance of companies with leading corporate social responsibility performance cannot significantly reduce the company's downside risk than companies with average or laggard performance. This result is consistent with our hypothesis. Not consistent, and ESG performance leaders failed to reduce investor “disappointment” and create “disappointment avoidance” effects when market sentiment was low.

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