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題名 ESG結合因子投資法之低貝他、價值與小型股策略
ESG integration with Low beta, Value, and Size Strategies in Taiwan Market作者 蕭向有
Hsiao, Hsiang-Yu貢獻者 楊曉文
蕭向有
Hsiao, Hsiang-Yu關鍵詞 ESG投資組合
擴大ESG樣本
因子投資策略
ESG與評價
ESG portfolio
Extension of ESG sample
Factor investment
ESG and valuation日期 2020 上傳時間 3-八月-2020 17:41:21 (UTC+8) 摘要 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.參考文獻 一、學術文章1.Auer, B. R. (2016). Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value? Journal of Business Ethics, 135(2), 381-397.2.Auer, B. R., & Schuhmacher, F. (2016). Do socially (ir)responsible investments pay? New evidence from international ESG data. The Quarterly Review of Economics and Finance, 59(C), 51-62.3. Bauer, R., & Hann, D. (2010). Corporate Environmental Management and Credit Risk. SSRN Electronic Journal. doi:10.2139/ssrn.16604704. Breedt, A., Ciliberti, S., Gualdi, S., & Seager, P. (2019). Is ESG an Equity Factor or Just an Investment Guide? The Journal of Investing, 28(2), 32.5.Bender, J., Briand, R., Melas, D., & Subramanian, R. (2013). Foundations of Factor Investing. SSRN Electronic Journal.6.Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance 52(1): 57-82.7.Dhingra and Olson (2019). "ESG Investing: A Constraint or An Opportunity? "Available at:http://highpointecapital.com/docs/ESG.Investing.A.Constraint.or.An.Opportunity.August.2019.pdf8.Dutordoir, M., Strong, N., & Ziegan, M. C. (2014). Does corporate governance influence convertible bond issuance? Journal of Corporate Finance, 24, 80-100.9.Edmans, A. (2011). Does the stock market fully value intangibles? Employee satisfaction and equity prices. Journal of Financial Economics, 101(3), 621-640.10. El Ghoul, S., Guedhami, O., Kwok, C. C. Y., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital. Journal of Banking & Finance, 35(9), 2388-240611. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.12.Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.13. Friede, 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), 210-233.14. Giese, G., Ossen, A., & Bacon, S. (2016). ESG as a performance factor for smart beta indexes. The Journal of Index Investing, 7(3), 7-20.15. Giese, G., Lee, L.-E., Melas, D., Nagy, Z., & Nishikawa, L.(2019). Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance. The Journal of Portfolio Management, 45(5), 69-83.16. Guenster, N., Bauer, R., Derwall, J., & Koedijk, K. (2011). The Economic Value of Corporate Eco-Efficiency. European Financial Management, 17(4), 679-704.17. Hawawini, G., & Keim, D.(1997). The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings, Rodney L.White Center Working Paper No. 08-99.18. Henriksson, R., et al. (2019). Integrating ESG in Portfolio Construction. The Journal of Portfolio Management, 45(4), 67-81.19. Jacobsen, B., et al. (2019). "The Alpha, Beta, and Sigma of ESG:Better Beta, Additional Alpha?. The Journal of Portfolio Management, 45(6), 6-15.20.Jiao, Y. (2010). Stakeholder welfare and firm value. Journal of Banking & Finance, 34(10), 2549-2561.21.Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate Sustainability: First Evidence on Materiality. The Accounting Review, 91(6), 1697-1724.22.Kaiser, L. (2020). ESG integration: value, growth and momentum. Journal of Asset Management, 21(1), 32-51.23.Lee, Y. and Z. Song (2003). When do Value Stocks Outperform Growth Stocks? Investor Sentiment and Equity Style Rotation Strategies. SSRN Electronic Journal.24.Nagy, Z., et al. (2013). Optimizing Environmental, Social and Governance Factors in Portfolio Construction: Analysis of Three ESG-Tilted Strategies. SSRN Electronic Journal.25.Nagy, Z., et al. (2016). Can ESG Add Alpha? An Analysis of ESG Tilt and Momentum Strategies. The Journal of Investing, 25, 113-124.26.Nofsinger, J. and A. Varma (2014). Socially responsible funds and market crises. Journal of Banking&Finance, 48(C), 180-193.27.Ng, A. C. and Z. Rezaee (2015). Business sustainability performance and cost of equity capital. Journal of Corporate Finance, 34(C), 128-149.28.Renneboog, L., et al. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking&Finance, 32(9), 1723-1742.29.Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risks. Journal of Finance 19(3), 425-442.30.Skaife, H. A., et al. (2004). Corporate Governance and the Cost of Equity Capital. SSRN Electronic Journal.31.Scholtens, B., & Zhou, Y. (2008). Stakeholder relations and financial performance. Sustainable Development, 16(3), 213-232.32.Verheyden, T., et al. (2016). ESG for All? The Impact of ESG Screening on Return, Risk, and Diversification. Journal of Applied Corporate Finance, 28, 47-55.33.Verwijmeren, P. and J. Derwall (2010). Employee well-being, firm leverage, and bankruptcy risk. Journal of Banking & Finance, 34(5), 956-964.34.Viehs, M., et al. (2014). From The Stockholder To The Stakeholder - How Sustainability Can Drive Financial Outperformance. SSRN Electronic Journal.35.Wu, S.-w., et al. (2014). Corporate Social Responsibility and Cost of Capital: An Empirical Study of the Taiwan Stock Market. Emerging Markets Finance and Trade, 50, 107-120.36.Yürür Cagri (2017). The Effect of ESG Investing on Stock Returns and Risk, Master thesis二、調查報告1.Aberdeen Standard Investments, Smart beta and ESG Global research study - September 2019 Available at: https://www.aberdeenstandard.com/docs?editionId=662f3bdd-62a0-4fbc-a266-793fdf5eea362.FTSE Russell, Smart beta: 2017 global survey findings from asset owners, Available at: https://content.ftserussell.com/sites/default/files/research/smart-beta-2017-global-survey-findings-from-asset-owners.pdf?_ga=2.36571680.126613593.1593015502-648672862.15930155023.Global Sustainable Investment Alliance,2016 Global Sustainable Investment Review. Available at:http://www.gsialliance.org/wpcontent/uploads/2017/03/GSIR_Review2016.F.pdf4.Global Sustainable Investment Alliance,2018 Global Sustainable Investment Review. Available at:http://www.gsialliance.org/wpcontent/uploads/2019/03/GSIR_Review2018.3.28.pdf 描述 碩士
國立政治大學
風險管理與保險學系
107358008資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107358008 資料類型 thesis dc.contributor.advisor 楊曉文 zh_TW dc.contributor.author (作者) 蕭向有 zh_TW dc.contributor.author (作者) Hsiao, Hsiang-Yu en_US dc.creator (作者) 蕭向有 zh_TW dc.creator (作者) Hsiao, Hsiang-Yu en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-八月-2020 17:41:21 (UTC+8) - dc.date.available 3-八月-2020 17:41:21 (UTC+8) - dc.date.issued (上傳時間) 3-八月-2020 17:41:21 (UTC+8) - dc.identifier (其他 識別碼) G0107358008 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/131006 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險學系 zh_TW dc.description (描述) 107358008 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 6第二章 文獻回顧 7第一節 ESG管理與公司財務績效 7第二節 責任投資與績效 9第三節 ESG與因子模型 11第三章 研究方法 13第一節 研究樣本 13第二節 研究方法 14第四章 實證結果分析 19第一節 敘述統計量 19第二節 實證結果分析 22第五章 結論 48第一節 研究結論 48第二節 研究限制與未來展望 49第六章 附錄 50第七章 參考文獻 51 zh_TW dc.format.extent 3929293 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107358008 en_US dc.subject (關鍵詞) ESG投資組合 zh_TW dc.subject (關鍵詞) 擴大ESG樣本 zh_TW dc.subject (關鍵詞) 因子投資策略 zh_TW dc.subject (關鍵詞) ESG與評價 zh_TW dc.subject (關鍵詞) ESG portfolio en_US dc.subject (關鍵詞) Extension of ESG sample en_US dc.subject (關鍵詞) Factor investment en_US dc.subject (關鍵詞) ESG and valuation en_US dc.title (題名) ESG結合因子投資法之低貝他、價值與小型股策略 zh_TW dc.title (題名) ESG integration with Low beta, Value, and Size Strategies in Taiwan Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、學術文章1.Auer, B. R. (2016). Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value? Journal of Business Ethics, 135(2), 381-397.2.Auer, B. R., & Schuhmacher, F. (2016). Do socially (ir)responsible investments pay? New evidence from international ESG data. The Quarterly Review of Economics and Finance, 59(C), 51-62.3. Bauer, R., & Hann, D. (2010). Corporate Environmental Management and Credit Risk. SSRN Electronic Journal. doi:10.2139/ssrn.16604704. Breedt, A., Ciliberti, S., Gualdi, S., & Seager, P. (2019). Is ESG an Equity Factor or Just an Investment Guide? The Journal of Investing, 28(2), 32.5.Bender, J., Briand, R., Melas, D., & Subramanian, R. (2013). Foundations of Factor Investing. SSRN Electronic Journal.6.Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance 52(1): 57-82.7.Dhingra and Olson (2019). "ESG Investing: A Constraint or An Opportunity? "Available at:http://highpointecapital.com/docs/ESG.Investing.A.Constraint.or.An.Opportunity.August.2019.pdf8.Dutordoir, M., Strong, N., & Ziegan, M. C. (2014). Does corporate governance influence convertible bond issuance? Journal of Corporate Finance, 24, 80-100.9.Edmans, A. (2011). Does the stock market fully value intangibles? Employee satisfaction and equity prices. Journal of Financial Economics, 101(3), 621-640.10. El Ghoul, S., Guedhami, O., Kwok, C. C. Y., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital. Journal of Banking & Finance, 35(9), 2388-240611. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.12.Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.13. Friede, 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), 210-233.14. Giese, G., Ossen, A., & Bacon, S. (2016). ESG as a performance factor for smart beta indexes. The Journal of Index Investing, 7(3), 7-20.15. Giese, G., Lee, L.-E., Melas, D., Nagy, Z., & Nishikawa, L.(2019). Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance. The Journal of Portfolio Management, 45(5), 69-83.16. Guenster, N., Bauer, R., Derwall, J., & Koedijk, K. (2011). The Economic Value of Corporate Eco-Efficiency. European Financial Management, 17(4), 679-704.17. Hawawini, G., & Keim, D.(1997). The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings, Rodney L.White Center Working Paper No. 08-99.18. Henriksson, R., et al. (2019). Integrating ESG in Portfolio Construction. The Journal of Portfolio Management, 45(4), 67-81.19. Jacobsen, B., et al. (2019). "The Alpha, Beta, and Sigma of ESG:Better Beta, Additional Alpha?. The Journal of Portfolio Management, 45(6), 6-15.20.Jiao, Y. (2010). Stakeholder welfare and firm value. Journal of Banking & Finance, 34(10), 2549-2561.21.Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate Sustainability: First Evidence on Materiality. The Accounting Review, 91(6), 1697-1724.22.Kaiser, L. (2020). ESG integration: value, growth and momentum. Journal of Asset Management, 21(1), 32-51.23.Lee, Y. and Z. Song (2003). When do Value Stocks Outperform Growth Stocks? Investor Sentiment and Equity Style Rotation Strategies. SSRN Electronic Journal.24.Nagy, Z., et al. (2013). Optimizing Environmental, Social and Governance Factors in Portfolio Construction: Analysis of Three ESG-Tilted Strategies. SSRN Electronic Journal.25.Nagy, Z., et al. (2016). Can ESG Add Alpha? An Analysis of ESG Tilt and Momentum Strategies. The Journal of Investing, 25, 113-124.26.Nofsinger, J. and A. Varma (2014). Socially responsible funds and market crises. Journal of Banking&Finance, 48(C), 180-193.27.Ng, A. C. and Z. Rezaee (2015). Business sustainability performance and cost of equity capital. Journal of Corporate Finance, 34(C), 128-149.28.Renneboog, L., et al. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking&Finance, 32(9), 1723-1742.29.Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risks. Journal of Finance 19(3), 425-442.30.Skaife, H. A., et al. (2004). Corporate Governance and the Cost of Equity Capital. SSRN Electronic Journal.31.Scholtens, B., & Zhou, Y. (2008). Stakeholder relations and financial performance. Sustainable Development, 16(3), 213-232.32.Verheyden, T., et al. (2016). ESG for All? The Impact of ESG Screening on Return, Risk, and Diversification. Journal of Applied Corporate Finance, 28, 47-55.33.Verwijmeren, P. and J. Derwall (2010). Employee well-being, firm leverage, and bankruptcy risk. Journal of Banking & Finance, 34(5), 956-964.34.Viehs, M., et al. (2014). From The Stockholder To The Stakeholder - How Sustainability Can Drive Financial Outperformance. SSRN Electronic Journal.35.Wu, S.-w., et al. (2014). Corporate Social Responsibility and Cost of Capital: An Empirical Study of the Taiwan Stock Market. Emerging Markets Finance and Trade, 50, 107-120.36.Yürür Cagri (2017). The Effect of ESG Investing on Stock Returns and Risk, Master thesis二、調查報告1.Aberdeen Standard Investments, Smart beta and ESG Global research study - September 2019 Available at: https://www.aberdeenstandard.com/docs?editionId=662f3bdd-62a0-4fbc-a266-793fdf5eea362.FTSE Russell, Smart beta: 2017 global survey findings from asset owners, Available at: https://content.ftserussell.com/sites/default/files/research/smart-beta-2017-global-survey-findings-from-asset-owners.pdf?_ga=2.36571680.126613593.1593015502-648672862.15930155023.Global Sustainable Investment Alliance,2016 Global Sustainable Investment Review. Available at:http://www.gsialliance.org/wpcontent/uploads/2017/03/GSIR_Review2016.F.pdf4.Global Sustainable Investment Alliance,2018 Global Sustainable Investment Review. Available at:http://www.gsialliance.org/wpcontent/uploads/2019/03/GSIR_Review2018.3.28.pdf zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000920 en_US
