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題名 ESG投資在不同情境下之表現–以美國ESG ETF為例
ESG Investing’s Performance under Different Circumstances: An Examination through the Lens of US ESG ETFs作者 王煥傑
Wang, Huan-Chieh貢獻者 周冠男
Chou, Kuan-Nan
王煥傑
Wang, Huan-Chieh關鍵詞 ETF
ESG投資
事件研究法
下檔保護
超額報酬
ETF
ESG investing
Event study
Downside protection
Excess return日期 2022 上傳時間 1-Jul-2022 16:06:42 (UTC+8) 摘要 本研究旨在探討美國ESG ETF在不同情境下的表現。本研究以新冠疫情(COVID-19)為負向事件代表、並以COP26會議為正向事件代表，透過事件研究法本研究發現ESG投資在負向事件情境下並沒有顯著的下檔保護的效果，然而其在正向事件下也未提供顯著的超額報酬。另外，在負向事件下，ETF特性中僅有「週轉率」 和累積異常報酬(cumulative abnormal return) 有顯著負相關；而在正向事件下，ETF特性中「晨星永續評級」和累積異常報酬有顯著正相關，顯示著投資人確實會將永續評級視為考慮投資的一項要素之一。整體而言，本研究結果並不支持ESG投資的下檔保護效果或者捕捉超額報酬的能力。
This paper studies the performance of U.S. ESG ETFs under different circumstances including negative event as COVID-19 and positive event as COP26 meeting. By implementing event study methodology, this study demonstrates that U.S. ESG ETFs did not provide downside protection under negative event nor did they significantly capture excess return during positive event. Furthermore, “Turnover Ratio” had significant negative correlation with cumulative abnormal return while controlling other ESG ETFs characteristics during COVID-19 event. However, “Morningstar Sustainability Rating” did have positive correlation with cumulative abnormal return under COP26 meeting, indicating that investors did evaluate ESG ETF’s sustainability rating when investing. Overall, the result did not support the idea of downside protection nor the ability of generating excess return from ESG investing.參考文獻 Alpaslan, M. C., Green, E. S., & Mitroff, I. I. (2009). Corporate governance in the context of crises: Towards a stakeholder theory of crisis management. Journal of Contingencies and Crisis Management, 17(1), 38–49.Antoniuk, Y., & Leirvik, T. (2021). Climate change events and stock market returns. Journal of Sustainable Finance & Investment, https://doi.org/10.1080/20430795.2021.1929804Bae, K.-H., El Ghoul, S., Gong, Z. J., & Guedhami, O. (2021). Does CSR matter in times of crisis? Evidence from the COVID-19 pandemic. Journal of Corporate Finance, 67, 101876.Benson, L. L., & Humphrey, J. E. (2007). Socially responsible investment funds: Investor reaction to current and past returns. Journal of Banking & Finance, 32(9), 1850-1859.Boerner, H. (2010). Sustainable and responsible investment: The revolution is on. Corporate Finance Review, 14(6) 39-41Bofinger, Y., Kim H. J., Rock, B. (2022). Corporate social responsibility and market efficiency: Evidence from ESG and misvaluation measures. Journal of Banking & Finance, http://dx.doi.org/10.1016/j.jbankfin.2021.106322Bollen, N. P. B., & Busse, J. A. (2005). Short-Term Persistence in Mutual Fund Performance. The Review of Financial Studies, 18(2) 569-597Bouslah, K., Kryzanowski, L., Bouchra, M’Zali, B. (2013). The impact of the dimensions of social performance on firm risk. Journal of Banking & Finance, 37(4), 1258-1273Broadstock, D., Chan, K., Cheng, L. T. W., Wang, X. (2020). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance Research Letters, 38(c), 101716Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-8Chan, P., & Walter, T. (2014). Investment performance of “environmentally-friendly” firms and their initial public offers and seasoned equity offers. Journal of Banking & Finance, 44(C), 177-188.Clifford, C. P., Fulkerson, J. A., & Jordan, B. D. (2014). What Drives ETF Flows?. The Financial Review, 49(3) 619-642Cornell, B., & Damodaran, A. (2020). Valuing ESG: Doing Good or Sounding Good?. NYU Stern School of Business, http://dx.doi.org/10.2139/ssrn.3557432Craig MacKinlay, A. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35(1) 13-39Demers, E., Hendrikse, J., Joos, P., & Lev, B. (2021). ESG did not immunize stocks during the COVID-19 crisis, but investments in intangible assets did. Journal of Business Finance & Accounting, 48(3-4), 433-462Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The Adjustment of Stock Prices to New Information. International Economic Review, 10(1) 1-21Frided, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5(4), 210-233Garel, A., & Patit-Romec, A. (2020). Investor Rewards to Environmental Responsibility: Evidence from the COVID-19 Crisis. Available at SSRN: http://dx.doi.org/10.2139/ssrn.3620109Grinblatt, M., & Titman, S. (1989). Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings. The Journal of Business, 62(3) 393-416Hoepner, A., Oikonomou, I., Sautner, Z., Starks, L., & Zhou, X., 2018. ESG shareholder engagement and downside risk. European Corporate Governance Institute – Finance Working Paper No. 671/2020, Available at SSRN: http://dx.doi.org/10.2139/ssrn.2874252Hong, H,. Kubik, D. J., & Scheinkman, A. J. (2012). Financial Constraints on Corporate Goodness. Available at SSRN: http://dx.doi.org/10.2139/ssrn.1734164Ilhan, E., Krueger, P., Sautner, Z., & Starks, T. L. (2021). Climate Risk Disclosure and Institutional Investors. Swiss Finance Institute Research Paper, No. 19-66, http://dx.doi.org/10.2139/ssrn.3437178Kothari, P. S., & Warner, B. J. (2004). The Econometrics of Event Studies. Working paper. Available at SSRN: http://dx.doi.org/10.2139/ssrn.608601Krueger, P., Sautner, Z., & Starks, T. L. (2020). The importance of climate risks for institutional investors. Review of Financial Studies, 33(3), 1067–1111.Liang, H., & Renneboog, L. (2016). On the Foundations of Corporate Social Responsibility. The Journal of Finance, 72(2), 853-910Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis. The Journal of Finance, 72(4), 1785-1824Mǎnescu, C. (2011). Stock Returns in Relation to Environmental, Social and Governance Performance: Mispricing or Compensation for Risk?. Sustainable Development, 19(2) 95-118Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193Nordhaus, W. (2019). Climate Change: The Ultimate Challenge for Economics." American Economic Review, 109(6), 1991-2014Pastor, L., & Blair Vorsatz, M. (2020). Mutual Fund Performance and Flows during the COVID-19 Crisis. Review of Asset Pricing Studies, 10(4) 791-833Renneboog, L., Horst, T. J., & Zhang. C. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking & Finance, 32(9) 1723-1742Shanaev, S., & Ghimire, B. (2021). When ESG meets AAA: The effect of ESG rating changes on stock returns. Finance Research Letters, 46(A), 102302.Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1-2) 119-138Sirri, E. R., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. The Journal of Finance, 53(5) 1589-1662Takahashi, H., & Yamada, K. (2021). When the Japanese stock market meets COVID-19: Impact of ownership, China and US exposure, and ESG channels. International Review of Financial Analysis, 74, 101670. 描述 碩士
國立政治大學
財務管理學系
109357010資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109357010 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Chou, Kuan-Nan en_US dc.contributor.author (Authors) 王煥傑 zh_TW dc.contributor.author (Authors) Wang, Huan-Chieh en_US dc.creator (作者) 王煥傑 zh_TW dc.creator (作者) Wang, Huan-Chieh en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Jul-2022 16:06:42 (UTC+8) - dc.date.available 1-Jul-2022 16:06:42 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2022 16:06:42 (UTC+8) - dc.identifier (Other Identifiers) G0109357010 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140586 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 109357010 zh_TW dc.description.abstract (摘要) 本研究旨在探討美國ESG ETF在不同情境下的表現。本研究以新冠疫情(COVID-19)為負向事件代表、並以COP26會議為正向事件代表，透過事件研究法本研究發現ESG投資在負向事件情境下並沒有顯著的下檔保護的效果，然而其在正向事件下也未提供顯著的超額報酬。另外，在負向事件下，ETF特性中僅有「週轉率」 和累積異常報酬(cumulative abnormal return) 有顯著負相關；而在正向事件下，ETF特性中「晨星永續評級」和累積異常報酬有顯著正相關，顯示著投資人確實會將永續評級視為考慮投資的一項要素之一。整體而言，本研究結果並不支持ESG投資的下檔保護效果或者捕捉超額報酬的能力。 zh_TW dc.description.abstract (摘要) This paper studies the performance of U.S. ESG ETFs under different circumstances including negative event as COVID-19 and positive event as COP26 meeting. By implementing event study methodology, this study demonstrates that U.S. ESG ETFs did not provide downside protection under negative event nor did they significantly capture excess return during positive event. Furthermore, “Turnover Ratio” had significant negative correlation with cumulative abnormal return while controlling other ESG ETFs characteristics during COVID-19 event. However, “Morningstar Sustainability Rating” did have positive correlation with cumulative abnormal return under COP26 meeting, indicating that investors did evaluate ESG ETF’s sustainability rating when investing. Overall, the result did not support the idea of downside protection nor the ability of generating excess return from ESG investing. en_US dc.description.tableofcontents 1.Introduction 12.Literature Review and Hypothesis Development 52.1 Trend of ESG Investing 52.2 ESG Investing Performance 62.3 ESG Investing Results During Various Events 72.4 Hypothesis Development 83.Data and Sample Selection 93.1 Data 93.2 Event Study Methodology 123.3 CAR Regression Model Construction 134.Empirical Results 154.1 Negative Event: COVID-19 154.2 Positive Event: COP26 224.3 Robustness Check 285.Conclusion 32Reference 35 zh_TW dc.format.extent 1389179 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109357010 en_US dc.subject (關鍵詞) ETF zh_TW dc.subject (關鍵詞) ESG投資 zh_TW dc.subject (關鍵詞) 事件研究法 zh_TW dc.subject (關鍵詞) 下檔保護 zh_TW dc.subject (關鍵詞) 超額報酬 zh_TW dc.subject (關鍵詞) ETF en_US dc.subject (關鍵詞) ESG investing en_US dc.subject (關鍵詞) Event study en_US dc.subject (關鍵詞) Downside protection en_US dc.subject (關鍵詞) Excess return en_US dc.title (題名) ESG投資在不同情境下之表現–以美國ESG ETF為例 zh_TW dc.title (題名) ESG Investing’s Performance under Different Circumstances: An Examination through the Lens of US ESG ETFs en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Alpaslan, M. C., Green, E. S., & Mitroff, I. I. (2009). Corporate governance in the context of crises: Towards a stakeholder theory of crisis management. Journal of Contingencies and Crisis Management, 17(1), 38–49.Antoniuk, Y., & Leirvik, T. (2021). Climate change events and stock market returns. Journal of Sustainable Finance & Investment, https://doi.org/10.1080/20430795.2021.1929804Bae, K.-H., El Ghoul, S., Gong, Z. J., & Guedhami, O. (2021). Does CSR matter in times of crisis? Evidence from the COVID-19 pandemic. Journal of Corporate Finance, 67, 101876.Benson, L. L., & Humphrey, J. E. (2007). Socially responsible investment funds: Investor reaction to current and past returns. Journal of Banking & Finance, 32(9), 1850-1859.Boerner, H. (2010). Sustainable and responsible investment: The revolution is on. Corporate Finance Review, 14(6) 39-41Bofinger, Y., Kim H. J., Rock, B. (2022). Corporate social responsibility and market efficiency: Evidence from ESG and misvaluation measures. Journal of Banking & Finance, http://dx.doi.org/10.1016/j.jbankfin.2021.106322Bollen, N. P. B., & Busse, J. A. (2005). Short-Term Persistence in Mutual Fund Performance. The Review of Financial Studies, 18(2) 569-597Bouslah, K., Kryzanowski, L., Bouchra, M’Zali, B. (2013). The impact of the dimensions of social performance on firm risk. Journal of Banking & Finance, 37(4), 1258-1273Broadstock, D., Chan, K., Cheng, L. T. W., Wang, X. (2020). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance Research Letters, 38(c), 101716Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-8Chan, P., & Walter, T. (2014). Investment performance of “environmentally-friendly” firms and their initial public offers and seasoned equity offers. Journal of Banking & Finance, 44(C), 177-188.Clifford, C. P., Fulkerson, J. A., & Jordan, B. D. (2014). What Drives ETF Flows?. The Financial Review, 49(3) 619-642Cornell, B., & Damodaran, A. (2020). Valuing ESG: Doing Good or Sounding Good?. NYU Stern School of Business, http://dx.doi.org/10.2139/ssrn.3557432Craig MacKinlay, A. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35(1) 13-39Demers, E., Hendrikse, J., Joos, P., & Lev, B. (2021). ESG did not immunize stocks during the COVID-19 crisis, but investments in intangible assets did. Journal of Business Finance & Accounting, 48(3-4), 433-462Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The Adjustment of Stock Prices to New Information. International Economic Review, 10(1) 1-21Frided, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5(4), 210-233Garel, A., & Patit-Romec, A. (2020). Investor Rewards to Environmental Responsibility: Evidence from the COVID-19 Crisis. Available at SSRN: http://dx.doi.org/10.2139/ssrn.3620109Grinblatt, M., & Titman, S. (1989). Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings. The Journal of Business, 62(3) 393-416Hoepner, A., Oikonomou, I., Sautner, Z., Starks, L., & Zhou, X., 2018. ESG shareholder engagement and downside risk. European Corporate Governance Institute – Finance Working Paper No. 671/2020, Available at SSRN: http://dx.doi.org/10.2139/ssrn.2874252Hong, H,. Kubik, D. J., & Scheinkman, A. J. (2012). Financial Constraints on Corporate Goodness. Available at SSRN: http://dx.doi.org/10.2139/ssrn.1734164Ilhan, E., Krueger, P., Sautner, Z., & Starks, T. L. (2021). Climate Risk Disclosure and Institutional Investors. Swiss Finance Institute Research Paper, No. 19-66, http://dx.doi.org/10.2139/ssrn.3437178Kothari, P. S., & Warner, B. J. (2004). The Econometrics of Event Studies. Working paper. Available at SSRN: http://dx.doi.org/10.2139/ssrn.608601Krueger, P., Sautner, Z., & Starks, T. L. (2020). The importance of climate risks for institutional investors. Review of Financial Studies, 33(3), 1067–1111.Liang, H., & Renneboog, L. (2016). On the Foundations of Corporate Social Responsibility. The Journal of Finance, 72(2), 853-910Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis. The Journal of Finance, 72(4), 1785-1824Mǎnescu, C. (2011). Stock Returns in Relation to Environmental, Social and Governance Performance: Mispricing or Compensation for Risk?. Sustainable Development, 19(2) 95-118Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193Nordhaus, W. (2019). Climate Change: The Ultimate Challenge for Economics." American Economic Review, 109(6), 1991-2014Pastor, L., & Blair Vorsatz, M. (2020). Mutual Fund Performance and Flows during the COVID-19 Crisis. Review of Asset Pricing Studies, 10(4) 791-833Renneboog, L., Horst, T. J., & Zhang. C. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking & Finance, 32(9) 1723-1742Shanaev, S., & Ghimire, B. (2021). When ESG meets AAA: The effect of ESG rating changes on stock returns. Finance Research Letters, 46(A), 102302.Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1-2) 119-138Sirri, E. R., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. The Journal of Finance, 53(5) 1589-1662Takahashi, H., & Yamada, K. (2021). When the Japanese stock market meets COVID-19: Impact of ownership, China and US exposure, and ESG channels. International Review of Financial Analysis, 74, 101670. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200603 en_US
