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Title: ESG評級收斂之探討 : 以三間評級公司為例
On The Convergence of ESG Ratings: Using Three Major Rating Agencies as Examples
Authors: 余彥良
Yu, Yan-Liang
Contributors: 江彌修
Chiang, Mi-Hsiu
Yu, Yan-Liang
Keywords: ESG
ESG Investing
ESG Rating
Rating Agency
Date: 2021
Issue Date: 2021-08-04 14:50:39 (UTC+8)
Abstract: 本研究使用兩種方法,包含 Pearson相關係數及排序後重複性檢驗,來探
討收斂性,本研究會使用此兩 種方法,主要是因為在僅有公司ESG評級下,故僅採用 Pearson相關係數進行統計檢驗,並透過排序後的重複性來進行穩固性的檢驗。本研究採用的 2014年至 2019年內,三間國際評級機構對於台灣上市公司的評級資料進行統計測試,實證結果發現目前在國際評級機構間 對於評級的收斂性不存在,此可能對於金融機構所發行的金融產品造成潛在性的風險。並且針對在Covid疫情下,台灣金融市場內以ESG為主題之ETF表現,發現並無顯著的超額報酬及風險轉移的效果存在。
In this paper, we implement two methods, including Pearson correlation coefficient and post-ranking repeatability, to explore convergence of ESG ratings. We use these two methods, mainly because we only have the company’s ESG ratings data, only Pearson correlation coefficient is used, and we use post-ranking repeatability comparison as robustness test. We use three international rating agencies’ ESG rating data of listed companies in Taiwan. The empirical results find that there is no convergence of ESG ratings among these three rating agencies. This may imply potential risks of the products which financial institutions issue. In additions, we find that ESG-themed ETFs in Taiwan were no significant excess return and risk transfer effect under the Covid epidemic.
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Description: 碩士
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Data Type: thesis
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