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題名 以風格分析法分析社會責任型共同基金之報酬率 作者 黃民志 貢獻者 沈中華
黃民志關鍵詞 共同基金
風格分析
社會責任投資
企業社會責任
SRI
CSR日期 2007 上傳時間 6-May-2016 16:38:11 (UTC+8) 摘要 近年來各大企業與民眾對於企業社會責任（CSR）之態度愈見積極，社會責任投資（SRI）亦於歐美市場上蓬勃發展，尤其以社會責任共同基金成長最為迅速。本文除了對社會責任投資之發展、策略做一敘述外，亦以Sharpe所提出之報酬率風格分析方法（Return-based Style Analysis），分析社會責任共同基金與一般型共同基金報酬率受各資產風格影響之差異。我們除了檢驗傳統的大型、小型股與成長、價值型股風格外，還引入了兩種社會責任投資指數代表社會責任投資風格。結果發現，社會責任投資共同基金和一般型基金相比下，社會責任基金之報酬似乎更偏重於受大型股報酬影響；但社會責任共同基金之報酬率受傳統資產分類風格之影響情形，在統計上並不顯著異於一般型共同基金；而就超額報酬 而言，社會責任基金之 較一般型基金來得高，然而兩者間之差距並不顯著且均為負值。然而我們發現，除了傳統的資產分類外，社會責任基金之報酬確實受社會投資風格顯著地影響，此外，BMS（KLD Broad Market Social Index）較DJSI（Dow Jones Sustainability United States Index）為一更全面性、亦更能鑑別社會責任基金報酬率風格之社會投資指數。
For seeing that corporations and consumers are getting serious about Corporate Social Responsibility (CSR) and Socially Responsible Investing (SRI) is gaining its popularity in Europe and United States, this dissertation focuses on this subject, especially SRI mutual funds. In the paper we describe the development and strategies of SRI, and we also apply William F. Sharpe`s method of return-based style analysis to assess SRI and regular fund performances. Apart from traditional capitalization and growth/value-oriented style indices used in style analysis, we also use two SRI indices to represent the style of SRI. We found that SRI fund returns seem to be more affected by large-cap stock returns than conventional fund returns, and SRI funds also have bigger alpha than conventional ones, but there is no significant different between style configurations of two type of funds either. However, we are confident that SRI mutual funds do have a special investing style that explained best by SRI indices. And we found that KLD Broad Market Social Index is a better index of indicating the SRI style than Dow Jones Sustainability United States Index.參考文獻 中文部分 1. 汪彥銘，民國89年6月，「台灣地區股票型共同基金之特色研究」，國立中山大學財務管理研究所碩士論文。 2. 胡為善、黃淑貞，民國89年，「從基金經理人意見看臺灣倫理投資之可行性研究」，中原學報，28(2)，23 - 30。 3. 郭方昇，民國90年6月，「企業社會責任對企業財務績效與投資組合績效之影響性分析」，私立中原大學企業管理學系碩士論文。 4. 莫冬立，民國95年8月，「追求典範：企業社會責任評等系統的發展與應用」，證券櫃檯月刊，122，62 – 73。 5. 黃軍儒，民國90年6月，「台灣股票型共同基金分類型態與風格分析」，國立台灣大學財務金融研究所碩士論文。 英文部分 1. Antunovich, Peter and David Laster, 1998, “Do Investors Mistake a Good Company for a Good Investment?” Staff Reports 60, Federal Reserve Bank of New York. 2. Bauer, Rob, Jeroen Derwall, and Rogér Otten, 2007, “The Ethical Mutual Fund Performance Debate: New Evidence from Canada,” Journal of Business Ethics, 70(2), 111-124. 3. Chih, Hsiang-Lin, Chung-Hua Shen and Feng-Ching Kang, 2007, “Corporate Social Responsibility, Investor Protection, and Earnings Management: Some International Evidence”, forthcoming in Journal of Business Ethics. 4. Derwall, Jeroen and Kees C.G. Koedijk, 2005, “The Performance of Socially Responsible Bond Funds,” Working Paper, Erasmus University Rotterdam. 5. Kurtz, Lloyd, 1998, “`Mr. Markowitz, Meet Mr. Moskowitz` - A Review of Studies on Socially Responsible Investing,” The Investment Research Guide to Socially Responsible Investing, The Colloquium on Socially Responsible Investing. 6. Otten, Rogér, Rob Bauer, and Kees C.G. Koedijk, 2004, “International evidence on ethical mutual fund performance and investment style,” Journal of Banking and Finance, 29, 1751–1767. 7. Plantinga, Auke, and Bert Scholtens, 2001, “Socially responsible investing and management style of mutual funds in the Euronext stock markets,” Working Paper, Depaul University. 8. Renneboog, Luc, Jenke R. ter Horst and Chendi Zhang, 2006, “Is Ethical Money Financially Smart?” ECGI - Finance Working Paper. 9. Schröder, Michael, 2003, “Socially Responsible Investments in Germany, Switzerland and the United States - An Analysis of Investment Funds and Indices,” ZEW Discussion Paper No. 03-10. 10. Sharpe, William F., 1992, “Asset allocation: management style and performance measurement,” Journal of Portfolio Management, 18(2), 7-19. 11. Shen, Chung-Hua and Yuen-Hsiang Chang, 2006, “Do Regulations Affect Banking Performance? Government Governance May Matter,” Contemporary Economic Policy, 24(1), 92-105. 12. Shen, Chung-Hua and Hsiang-Lin Chih, 2007, “Earnings Management and Corporate Governance in Asia’s Emerging Markets,” Corporate Governance: An International Review, forthcoming. 13. Social Investment Forum (Tracey Rembert), 2005, “Mutual Funds, Proxy Voting, and Fiduciary Responsibility: How Do Funds Rate on Voting Their Proxies and Disclosure Practices?” Washington, DC: Social Investment Forum. 14. Social Investment Forum, 2006, “Report on Responsible Investing Trends in the U.S. 2005,” Washington, DC: Social Investment Forum. 15. Statman, Meir, 2000, “Socially Responsible Mutual Funds,” Financial Analysts Journal, 57(5–6), 30–39. 描述 碩士
國立政治大學
金融研究所
94352002資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094352002 資料類型 thesis dc.contributor.advisor 沈中華 zh_TW dc.contributor.author (Authors) 黃民志 zh_TW dc.creator (作者) 黃民志 zh_TW dc.date (日期) 2007 en_US dc.date.accessioned 6-May-2016 16:38:11 (UTC+8) - dc.date.available 6-May-2016 16:38:11 (UTC+8) - dc.date.issued (上傳時間) 6-May-2016 16:38:11 (UTC+8) - dc.identifier (Other Identifiers) G0094352002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94440 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 94352002 zh_TW dc.description.abstract (摘要) 近年來各大企業與民眾對於企業社會責任（CSR）之態度愈見積極，社會責任投資（SRI）亦於歐美市場上蓬勃發展，尤其以社會責任共同基金成長最為迅速。本文除了對社會責任投資之發展、策略做一敘述外，亦以Sharpe所提出之報酬率風格分析方法（Return-based Style Analysis），分析社會責任共同基金與一般型共同基金報酬率受各資產風格影響之差異。我們除了檢驗傳統的大型、小型股與成長、價值型股風格外，還引入了兩種社會責任投資指數代表社會責任投資風格。結果發現，社會責任投資共同基金和一般型基金相比下，社會責任基金之報酬似乎更偏重於受大型股報酬影響；但社會責任共同基金之報酬率受傳統資產分類風格之影響情形，在統計上並不顯著異於一般型共同基金；而就超額報酬 而言，社會責任基金之 較一般型基金來得高，然而兩者間之差距並不顯著且均為負值。然而我們發現，除了傳統的資產分類外，社會責任基金之報酬確實受社會投資風格顯著地影響，此外，BMS（KLD Broad Market Social Index）較DJSI（Dow Jones Sustainability United States Index）為一更全面性、亦更能鑑別社會責任基金報酬率風格之社會投資指數。 zh_TW dc.description.abstract (摘要) For seeing that corporations and consumers are getting serious about Corporate Social Responsibility (CSR) and Socially Responsible Investing (SRI) is gaining its popularity in Europe and United States, this dissertation focuses on this subject, especially SRI mutual funds. In the paper we describe the development and strategies of SRI, and we also apply William F. Sharpe`s method of return-based style analysis to assess SRI and regular fund performances. Apart from traditional capitalization and growth/value-oriented style indices used in style analysis, we also use two SRI indices to represent the style of SRI. We found that SRI fund returns seem to be more affected by large-cap stock returns than conventional fund returns, and SRI funds also have bigger alpha than conventional ones, but there is no significant different between style configurations of two type of funds either. However, we are confident that SRI mutual funds do have a special investing style that explained best by SRI indices. And we found that KLD Broad Market Social Index is a better index of indicating the SRI style than Dow Jones Sustainability United States Index. en_US dc.description.tableofcontents 目錄 I 圖表目錄 III 第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 4 第三節 研究架構 5 第二章 文獻回顧 7 第一節 企業社會責任 7 一、企業社會責任之歷史演進 7 二、企業社會責任之涉及範圍 8 第二節 社會責任投資 10 一、社會責任投資之定義與沿革 10 二、社會責任投資之策略 12 第三節 社會責任投資之相關研究 18 第三章 研究方法 23 第一節 研究方法介紹 23 一、風格分析模型 23 二、實證模型設計 26 第二節 資料來源 28 一、基金報酬率資料 28 二、特色指數之選擇 30 三、研究期間之美國股市 36 第三節 樣本特性敘述 36 一、基金樣本特性 36 二、風格指數特性 41 第四章 實證分析 45 第一節 報酬率分析 45 第二節 對無風險利率溢酬之分析 49 第三節 對市場報酬溢酬之分析 51 第四節 小結 54 第五章 結論與建議 55 第一節 結論與分析 55 第二節 後續研究與建議 56 參考文獻 58 中文部分 58 英文部分 59 圖表目錄 表1 美國社會責任投資基金歷年數目與資產規模 3 圖1 研究架構 6 圖2 經濟部企業社會責任績效評等架構圖 10 表2 美國社會責任基金使用最多之社會篩選議題 14 圖3 以社會篩選策略進行投資之效果 15 表3 基金樣本之性質 36 表4 樣本基金之基本統計量 37 圖4 社會責任基金與一般基金累積報酬率比較 38 表5 社會責任基金與一般型基金差異之統計量 39 圖5 社會責任基金與一般基金報酬率分配比較─ 40 表6 社會責任基金與一般基金報酬率分配比較─ 40 圖6 社會責任基金與一般基金報酬率分配比較─ 40 表7 社會責任基金與一般基金報酬率分配比較─ 40 圖7 社會責任基金與一般基金報酬率差異分配 41 表8 社會責任基金與一般基金報酬率差異分配 41 表9 風格指數之基本統計量 42 圖8 風格指數累積報酬率比較 42 表10 特色指數相關係數矩陣 43 表11 社會責任投資指數之報酬率風格分析 44 表12 樣本基金之報酬率風格分析─ 、六種風格指數 46 表13 樣本基金之報酬率風格分析─ 、六種風格指數與BMS 47 表14 樣本基金之報酬率風格分析─ 、六種風格指數與DJSI 47 表15 樣本基金之報酬率風格分析─ 、六種風格指數 49 表16 樣本基金之報酬率風格分析─ 、六種風格指數與BMS 50 表17 樣本基金之報酬率風格分析─ 、六種風格指數與DJSI 50 表18 樣本基金之報酬率風格分析─ 、六種風格指數 52 表19 樣本基金之報酬率風格分析─ 、六種風格指數與BMS 53 表20 樣本基金之報酬率風格分析─ 、六種風格指數與DJSI 53 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094352002 en_US dc.subject (關鍵詞) 共同基金 zh_TW dc.subject (關鍵詞) 風格分析 zh_TW dc.subject (關鍵詞) 社會責任投資 zh_TW dc.subject (關鍵詞) 企業社會責任 zh_TW dc.subject (關鍵詞) SRI zh_TW dc.subject (關鍵詞) CSR zh_TW dc.title (題名) 以風格分析法分析社會責任型共同基金之報酬率 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部分 1. 汪彥銘，民國89年6月，「台灣地區股票型共同基金之特色研究」，國立中山大學財務管理研究所碩士論文。 2. 胡為善、黃淑貞，民國89年，「從基金經理人意見看臺灣倫理投資之可行性研究」，中原學報，28(2)，23 - 30。 3. 郭方昇，民國90年6月，「企業社會責任對企業財務績效與投資組合績效之影響性分析」，私立中原大學企業管理學系碩士論文。 4. 莫冬立，民國95年8月，「追求典範：企業社會責任評等系統的發展與應用」，證券櫃檯月刊，122，62 – 73。 5. 黃軍儒，民國90年6月，「台灣股票型共同基金分類型態與風格分析」，國立台灣大學財務金融研究所碩士論文。 英文部分 1. Antunovich, Peter and David Laster, 1998, “Do Investors Mistake a Good Company for a Good Investment?” Staff Reports 60, Federal Reserve Bank of New York. 2. Bauer, Rob, Jeroen Derwall, and Rogér Otten, 2007, “The Ethical Mutual Fund Performance Debate: New Evidence from Canada,” Journal of Business Ethics, 70(2), 111-124. 3. Chih, Hsiang-Lin, Chung-Hua Shen and Feng-Ching Kang, 2007, “Corporate Social Responsibility, Investor Protection, and Earnings Management: Some International Evidence”, forthcoming in Journal of Business Ethics. 4. Derwall, Jeroen and Kees C.G. Koedijk, 2005, “The Performance of Socially Responsible Bond Funds,” Working Paper, Erasmus University Rotterdam. 5. Kurtz, Lloyd, 1998, “`Mr. Markowitz, Meet Mr. Moskowitz` - A Review of Studies on Socially Responsible Investing,” The Investment Research Guide to Socially Responsible Investing, The Colloquium on Socially Responsible Investing. 6. Otten, Rogér, Rob Bauer, and Kees C.G. Koedijk, 2004, “International evidence on ethical mutual fund performance and investment style,” Journal of Banking and Finance, 29, 1751–1767. 7. Plantinga, Auke, and Bert Scholtens, 2001, “Socially responsible investing and management style of mutual funds in the Euronext stock markets,” Working Paper, Depaul University. 8. Renneboog, Luc, Jenke R. ter Horst and Chendi Zhang, 2006, “Is Ethical Money Financially Smart?” ECGI - Finance Working Paper. 9. Schröder, Michael, 2003, “Socially Responsible Investments in Germany, Switzerland and the United States - An Analysis of Investment Funds and Indices,” ZEW Discussion Paper No. 03-10. 10. Sharpe, William F., 1992, “Asset allocation: management style and performance measurement,” Journal of Portfolio Management, 18(2), 7-19. 11. Shen, Chung-Hua and Yuen-Hsiang Chang, 2006, “Do Regulations Affect Banking Performance? Government Governance May Matter,” Contemporary Economic Policy, 24(1), 92-105. 12. Shen, Chung-Hua and Hsiang-Lin Chih, 2007, “Earnings Management and Corporate Governance in Asia’s Emerging Markets,” Corporate Governance: An International Review, forthcoming. 13. Social Investment Forum (Tracey Rembert), 2005, “Mutual Funds, Proxy Voting, and Fiduciary Responsibility: How Do Funds Rate on Voting Their Proxies and Disclosure Practices?” Washington, DC: Social Investment Forum. 14. Social Investment Forum, 2006, “Report on Responsible Investing Trends in the U.S. 2005,” Washington, DC: Social Investment Forum. 15. Statman, Meir, 2000, “Socially Responsible Mutual Funds,” Financial Analysts Journal, 57(5–6), 30–39. zh_TW
