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題名 結合ESG揭露分數與價格動能策略之分析
An Analysis of Combining ESG-Scores and Price Momentum Strategies
作者 蘇鈺婷
Su, Yu-Ting
貢獻者 陳鴻毅
Chen, Hong-Yi
蘇鈺婷
Su, Yu-Ting
關鍵詞 價格動能
動能策略
企業社會責任
企業社會責任揭露
Price momentum
Momentum straregy
ESG
ESG disclosure
日期 2019
上傳時間 1-Jul-2019 10:44:21 (UTC+8)
摘要 本研究主要探討彭博資料庫中提供的ESG揭露分數結合價格動能策略是否能產生超額報酬。實證結果顯示買進過去輸家且公司治理分數(G)最低的組合(P1G1)並賣出過去贏家且G分數最高的組合(P5G5)，持有12個月可獲得0.93％的顯著報酬。此結果表示過去為輸家且公司治理揭露得分最低的公司可能容易被低估股價，而得分最高的贏家可能會被高估。為避免金融海嘯造成動能策略失靈，我們近一步將樣本切分為2010年至2017年，並發現買進P1ESG1的小公司並賣出P5ESG5的小公司，持有9或12個月，分別可以獲得13.73% 和11.60%的顯著報酬。因此，我們推斷小型公司股票的效率較低，即使它有ESG分數揭露，也很容易被低估或高估。當好消息發生時，ESG得分高的小公司可能被高估，相反地，當壞消息發生時，ESG得分低的小公司很容易被低估。
In this study, we try to investigate whether the ESG disclosure scores provided in the Bloomberg database combined with price momentum strategies can generate excess returns. The empirical results show that buying the loser with the lowest G-Score (P1G1) and selling the winner with the highest G-Score in the past (P5G5), you can get a significant excess returns of 0.93% for 12 months. This result indicates that companies that used to be losers in the past and that have the lowest scores in corporate governance disclosures may be easily undervalued, while winners with the highest scores may be overvalued. In order to avoid the failure of the price momentum strategy caused by the financial crisis, we further divided the sample into 2010 to 2017, and found that buying P1ESG1 of small size firm, while selling P5ESG5 of small size firm, and hold for 9 or 12 months, significant excess returns of 13.73% and 11.60% were obtained. Therefore, we infer that the efficiency of small company stocks is low, even if it has ESG-score disclosed, it is easy to be underestimated or overestimated. Small companies with high ESG-Score may be overvalued when good news happens. Conversely, small companies with low ESG-Score can easily be underestimated when bad news occurs.
參考文獻 Bauer, Rob, Kees Koedijk, and Roger Otten, 2005, International evidence on ethical mutual fund performance and investment style, Journal of Banking and Finance 29, 1751-1767.
Chan, Louis KC, Narasimhan Jegadeesh, and Josef Lakonishok, 1996, Momentum Strategies, Journal of Finance 51, 1681-1713.
Chen, Hong-Yi, Lee, Cheng-Few, and Shih, Wei K., 2016, Technical, fundamental, and combined information for separating winners from losers, Pacific-Basin Finance Journal 39, 224-242.
Chen, Hong-Yi, Chen, Sheng-Syan, Hsin, Chin-Wen, and Lee, Cheng-Few, 2014, Does revenue momentum drive or ride earnings or price momentum, Journal of Banking and Finance 38, 166-185.
Chordia, Tarun, and Lakshmanan Shivakumar, 2006, Earnings and price momentum, Journal of Financial Economics 80, 627-656.
Daniel, Kent, and Tobias J. Moskowitz, 2016, Momentum crashes, Journal of Financial Economics 122, 221-247.
Dichev, Ilia D., and Joseph D. Piotroski, 2001, The long‐run stock returns following bond ratings changes, Journal of Finance 56, 173-203.
Fama, Eugene F., and Kenneth R. French, 1992, The cross‐section of expected stock returns, Journal of Finance 47, 427-465.
Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Financial Economics 51, 55-84.
Fama, Eugene F., and Kenneth R. French, 2012, Size, value, and momentum in international stock returns, Journal of Financial Economics 105, 457-472.
Fatemi, Ali, Martin Glaum, and Stefanie Kaiser, 2018, ESG performance and firm value: The moderating role of disclosure, Global Finance Journal 38, 45-64.
Friede, Gunnar, Timo Busch, and Alexander Bassen, 2015, ESG and financial performance: aggregated evidence from more than 2000 empirical studies, Journal of Sustainable Finance & Investment 5, 210-233.
Gelb, David S., and Joyce A. Strawser, 2001, Corporate social responsibility and financial disclosures: An alternative explanation for increased disclosure, Journal of Business Ethics 33, 1-13.
George, Thomas J., and Chuan‐Yang Hwang, 2004, The 52-week high and momentum investing,
Journal of Finance 59, 2145-2176.
Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.
Jegadeesh, Narasimhan, and Sheridan Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56, 699-718.
Malkiel, Burton G., and Fama, Eugene F., 1970, Efficient capital markets: A review of theory and empirical work, Journal of Finance 25, 383-417.
Moskowitz, Tobias J., and Mark Grinblatt, 1999, Do industries explain momentum, Journal of Finance 54, 1249-1290.
Rouwenhorst, K. Geert, 1998, International momentum strategies, Journal of Finance 53, 267-284.
Tamimi, Nabil, and Rose Sebastianelli, 2017, Transparency among S&P 500 companies: an analysis of ESG disclosure scores, Management Decision 55, 1660-1680.
描述 碩士
國立政治大學
財務管理學系
106357008
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106357008
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong-Yien_US
dc.contributor.author (Authors) 蘇鈺婷zh_TW
dc.contributor.author (Authors) Su, Yu-Tingen_US
dc.creator (作者) 蘇鈺婷zh_TW
dc.creator (作者) Su, Yu-Tingen_US
dc.date (日期) 2019en_US
dc.date.accessioned 1-Jul-2019 10:44:21 (UTC+8)-
dc.date.available 1-Jul-2019 10:44:21 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2019 10:44:21 (UTC+8)-
dc.identifier (Other Identifiers) G0106357008en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124125-
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) 106357008zh_TW
dc.description.abstract (摘要) 本研究主要探討彭博資料庫中提供的ESG揭露分數結合價格動能策略是否能產生超額報酬。實證結果顯示買進過去輸家且公司治理分數(G)最低的組合(P1G1)並賣出過去贏家且G分數最高的組合(P5G5)，持有12個月可獲得0.93％的顯著報酬。此結果表示過去為輸家且公司治理揭露得分最低的公司可能容易被低估股價，而得分最高的贏家可能會被高估。為避免金融海嘯造成動能策略失靈，我們近一步將樣本切分為2010年至2017年，並發現買進P1ESG1的小公司並賣出P5ESG5的小公司，持有9或12個月，分別可以獲得13.73% 和11.60%的顯著報酬。因此，我們推斷小型公司股票的效率較低，即使它有ESG分數揭露，也很容易被低估或高估。當好消息發生時，ESG得分高的小公司可能被高估，相反地，當壞消息發生時，ESG得分低的小公司很容易被低估。zh_TW
dc.description.abstract (摘要) In this study, we try to investigate whether the ESG disclosure scores provided in the Bloomberg database combined with price momentum strategies can generate excess returns. The empirical results show that buying the loser with the lowest G-Score (P1G1) and selling the winner with the highest G-Score in the past (P5G5), you can get a significant excess returns of 0.93% for 12 months. This result indicates that companies that used to be losers in the past and that have the lowest scores in corporate governance disclosures may be easily undervalued, while winners with the highest scores may be overvalued. In order to avoid the failure of the price momentum strategy caused by the financial crisis, we further divided the sample into 2010 to 2017, and found that buying P1ESG1 of small size firm, while selling P5ESG5 of small size firm, and hold for 9 or 12 months, significant excess returns of 13.73% and 11.60% were obtained. Therefore, we infer that the efficiency of small company stocks is low, even if it has ESG-score disclosed, it is easy to be underestimated or overestimated. Small companies with high ESG-Score may be overvalued when good news happens. Conversely, small companies with low ESG-Score can easily be underestimated when bad news occurs.en_US
dc.description.tableofcontents 1 Introduction 1
2 Literature Review 4
2.1 Price momentum strategy 4
2.2 Relationship between momentum strategy, financial statement and return 5
2.3 Relationship between ESG, financial statement and return 7
3 Data and Sample Descriptions 9
3.1 Data 9
3.2 Sample descriptions 9
3.3 Price momentum strategy 10
3.4 ESG strategy 11
3.5 ESG combined price momentum strategy 12
4 Empirical Results 13
4.1 Price momentum profit 13
4.2 ESG strategy 13
4.3 ESG-momentum strategy 15
4.4 E-momentum strategy, S-momentum strategy and G-momentum strategy 16
4.5 ESG-momentum strategy on small size firms during 2010 to 2017 17
5 Future Research and Conclusion 19
6 References 21		zh_TW
dc.format.extent 5087710 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106357008en_US
dc.subject (關鍵詞) 價格動能zh_TW
dc.subject (關鍵詞) 動能策略zh_TW
dc.subject (關鍵詞) 企業社會責任zh_TW
dc.subject (關鍵詞) 企業社會責任揭露zh_TW
dc.subject (關鍵詞) Price momentumen_US
dc.subject (關鍵詞) Momentum straregyen_US
dc.subject (關鍵詞) ESGen_US
dc.subject (關鍵詞) ESG disclosureen_US
dc.title (題名) 結合ESG揭露分數與價格動能策略之分析zh_TW
dc.title (題名) An Analysis of Combining ESG-Scores and Price Momentum Strategiesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Bauer, Rob, Kees Koedijk, and Roger Otten, 2005, International evidence on ethical mutual fund performance and investment style, Journal of Banking and Finance 29, 1751-1767.
Chan, Louis KC, Narasimhan Jegadeesh, and Josef Lakonishok, 1996, Momentum Strategies, Journal of Finance 51, 1681-1713.
Chen, Hong-Yi, Lee, Cheng-Few, and Shih, Wei K., 2016, Technical, fundamental, and combined information for separating winners from losers, Pacific-Basin Finance Journal 39, 224-242.
Chen, Hong-Yi, Chen, Sheng-Syan, Hsin, Chin-Wen, and Lee, Cheng-Few, 2014, Does revenue momentum drive or ride earnings or price momentum, Journal of Banking and Finance 38, 166-185.
Chordia, Tarun, and Lakshmanan Shivakumar, 2006, Earnings and price momentum, Journal of Financial Economics 80, 627-656.
Daniel, Kent, and Tobias J. Moskowitz, 2016, Momentum crashes, Journal of Financial Economics 122, 221-247.
Dichev, Ilia D., and Joseph D. Piotroski, 2001, The long‐run stock returns following bond ratings changes, Journal of Finance 56, 173-203.
Fama, Eugene F., and Kenneth R. French, 1992, The cross‐section of expected stock returns, Journal of Finance 47, 427-465.
Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Financial Economics 51, 55-84.
Fama, Eugene F., and Kenneth R. French, 2012, Size, value, and momentum in international stock returns, Journal of Financial Economics 105, 457-472.
Fatemi, Ali, Martin Glaum, and Stefanie Kaiser, 2018, ESG performance and firm value: The moderating role of disclosure, Global Finance Journal 38, 45-64.
Friede, Gunnar, Timo Busch, and Alexander Bassen, 2015, ESG and financial performance: aggregated evidence from more than 2000 empirical studies, Journal of Sustainable Finance & Investment 5, 210-233.
Gelb, David S., and Joyce A. Strawser, 2001, Corporate social responsibility and financial disclosures: An alternative explanation for increased disclosure, Journal of Business Ethics 33, 1-13.
George, Thomas J., and Chuan‐Yang Hwang, 2004, The 52-week high and momentum investing,
Journal of Finance 59, 2145-2176.
Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.
Jegadeesh, Narasimhan, and Sheridan Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56, 699-718.
Malkiel, Burton G., and Fama, Eugene F., 1970, Efficient capital markets: A review of theory and empirical work, Journal of Finance 25, 383-417.
Moskowitz, Tobias J., and Mark Grinblatt, 1999, Do industries explain momentum, Journal of Finance 54, 1249-1290.
Rouwenhorst, K. Geert, 1998, International momentum strategies, Journal of Finance 53, 267-284.
Tamimi, Nabil, and Rose Sebastianelli, 2017, Transparency among S&P 500 companies: an analysis of ESG disclosure scores, Management Decision 55, 1660-1680.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU201900078en_US