ESG結合因子投資法之低貝他、價值與小型股策略

Abstract

本研究主要分析ESG投資組合之績效表現將ESG融入因子投資策略中的低波動、價值與小型股策略。為解決台灣企業ESG有評分的家數較少的問題，本研究延伸Henriksson, R., et al. (2019)擴大ESG公司樣本的方式來納入ESG資訊，並採用Thomson Reuters ESG資料庫。研究分兩階段樣本期間，第一階段為2012年1月年至2020年5月30日，以2010-2018年間Thomson Reuters Eikon資料庫中具有ESG分數的公司作為研究樣本，根據其兩年前之ESG分數資訊及其規模大小做為規模調整後ESG投資組合篩選標準，研究結果顯示ESG佳的企業享有較好的評價亦有較好的股票報酬，因此ESG好的企業是屬於高品質之企業。第二階段樣本期間為2014年1月年至2020年5月30日，本論文透過捕捉過去兩年報酬與擴充樣本至原先2倍數量，透過補充的方式可以使得尚未獲得ESG揭露之企業獲得ESG之標籤後增加下一段選入因子投資策略成分股票之機率，並且該樣本亦支持上述ESG股票為高品質股票之結論。而本論文亦參考臺灣指數公司的編製準則，透過流動性控制編製出屬於本樣本之因子投資策略指數，而後將擴大ESG樣本後的股票池，透過增減權重的方式與因子投資策略的指數結合發現，在各策略中條件不同時，與ESG結合的效果亦不相同，但在低貝他、價值與小型股策略中，ESG的融入都有助於風險調整報酬上提升的結果。

This thesis foucses on the return and risk of ESG portfolio in Taiwan and intergrates ESG into factor investment strategies such as low beta, value, and size strategies with extension of ESG samples. There are two backtesting period in this thesis. First phase is from 2012/01 to 2020/05 and this thesis builds up size-adjusted ESG portfolios based on the lagged two year ESG data from Eikon ESG data bank and book value data from TEJ. Results show ESG Good portfolios have higher valuations and better returns which means the firms with good ESG management are good quality firms. Second phase is from 2014/01 to 2020/05. The thesis captures the similarities of individual stock’s monthly returns from past two years and then doubles the ESG samples. New samples are created to increase the effect of ESG integration with factor investments and are still consistent with the conclusion that firms with good ESG management are high quality firms. Last, the thesis refers the rules of factor portfolios from Taiwan Index company and forms factor investing strategies with liquidity controls. Then, through changing the weights in portfolio based on ESG classification, the results show that integrating ESG into low beta, value strategies can increase the returns under certain conditions.