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題名 基金持股的ESG分數對基金績效之影響
An Analysis of ESG Scores of Fund Holdings and Fund Performance作者 張文姿
Chang, Wen-Zi貢獻者 陳鴻毅
Chen, Hong-Yi
張文姿
Chang, Wen-Zi關鍵詞 ESG分數
責任投資
非ESG基金
Socially Responsible Investment (SRI)
ESG Score
Non-ESG funds日期 2021 上傳時間 3-Jul-2021 00:45:26 (UTC+8) 摘要 近來，越來越多投資人與機構法人將責任投資或是綠色投資納入投資策略的考量中，在基金市場與ESG (環境、社會、公司治理)相關的商品也越來越多元，投入其中的資金規模也日漸成長。因此，本研究主要目的為探討如此趨勢下，未標榜ESG或是相關概念之基金是否同將責任投資之概念納入其投資決策中並影響基金之績效。本研究以美國2005年至2018年間之非ESG權益型基金為樣本，利用個股的ESG分數加權平均計算基金持股的ESG分數，進而探討基金持股的ESG分數是否對基金流量和基金報酬表現有影響。實證結果發現非ESG基金持股的ESG分數與基金的流量和報酬表現呈現負相關，表示ESG分數較低的非ESG基金較受到投資人喜愛，亦可獲得較高的報酬。本研究透過分段回歸進一步發現，基金持股的ESG分數與基金流量的負向關係於低ESG分數的樣本中較強。此外，基金ESG分數僅有在分數表現較高時，會帶給基金報酬表現正面的效果。
Recently, ever more investors and institutions incorporate Socially Responsible Investment (SRI) and Environmental, Social, and Governance (ESG) into their investment strategies. This trend is changing the development of fund market, and various kinds of related products are rolled out with lots of capital flow into this market. The main purpose of this study is to explore the investment strategies and fund performance of Non-ESG funds that do not support for SRI/ESG or related issues in the popularity of SRI/ESG. This study empirically includes Non-ESG equity funds in the US market from 2005 to 2018 and analyzes the relationship between ESG Scores of fund holdings and fund performance. Empirical results indicate that comparing to funds with high and low ESG Scores, investors who invest in Non-ESG funds divest when ESG Scores of funds get higher. In addition, ESG Scores of funds are negatively correlated to fund returns. This study uses piecewise regression to regress fund flow and returns on ESG Scores of funds and shows that the aversion to ESG Scores of investors decreases as ESG Scores outperform the average of all Non-ESG equity funds. In terms of fund returns, ESG Scores undermine fund returns when ESG Score is higher than the average of all Non-ESG equity funds. On the contrary, ESG Scores improves fund returns, when it is lower than the average of all Non-ESG equity funds.參考文獻 Albuquerque, R., Y. Koskinen, and C. Zhang (2018). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science 65(10), 4451-4469.Barnett, M. and R. M. Salomon (2006), The curvilinear relationship between social responsibility and financial performance, Strategic Management Journal 27, 1101-1122.Bello Z. Y. (2005). Socially responsible investing and portfolio diversification, The Journal of Financial Research 28, 41-57.Benson, K. L., and J. E. Humphrey (2008). Socially responsible investment funds: Investor reaction to current and past returns. Journal of Banking and Finance 32, 1850-1859.Benson, K. L., T. J. Brailsford, and J. E. Humphrey (2006). Do socially responsible fund managers really invest differently? Journal of Business Ethics 65, 337–357.Bollen, N. P. B (2007). Mutual fund attributes and investor behavior. Journal of Financial and Quantitative Analysis 42(3), 683-708.Brammer, S., C. Brooks, and S. Pavelin (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management 35(3), 97-116.Brzeszczyński, J. and G. McIntosh (2014). Performance of portfolios composed of British SRI stocks. Journal of Business Ethics 120(3), 335-362.Capelle-Blancard, G. and S. Monjoin (2014). The performance of socially responsible funds: Does the screening process matter? European Financial Management 20(3), 494-520.Cashman, G. D., F. Nardari, D. N. Deli, and S. Villupuram (2007). Investor behavior in the mutual fund industry: Evidence from gross flow. Journal of Economics and Finance38(4), 541-567.Climent, F. and P. Soriano (2011). Green and good? The investment performance of US environmental mutual funds. Journal of Business Ethics, 103(2), 275-287Clow, R. (1999). Money that grows on trees, Institutional Investor 33, 212–215.Diouf, D., T. Hebb, and E. H. Touré (2016). Exploring factors that influence social retail investors’ decisions: Evidence from Desjardins Fund. Journal of Business Ethics 134, 45-67.Eurosif (2010). European SRI study 2010, available at https://www.eurosif.org..Galbreath J. (2013). ESG in focus: The Australian evidence. Journal of Business Ethics 118(3), 529-541.Hamilton, S., H. Jo, and M. Statman (1993). Doing well while doing good? The investment performance of socially responsible mutual funds. Financial Analysts Journal 49(6), 62-66.Hansen, D. and B. Tranter (2006). Who are the shareholders in Australia and what are their ethical opinions? An empirical analysis. Corporate Governance: An International Review 14, 23-32.Heinkel, R., A. Kraus, and J. Zechner (2001). The effect of green investment on corporate behavior. Journal of Financial and Quantitative Analysis 36(4), 431-449.Holmes, I. and S. Maule (2016). A sustainable finance plan for the European Union, available at www.e3g.org.Kahneman, D. and A. Tversky (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica 46, 171-185.Moskowitz, M. (1972). Choosing socially responsible stocks. Business and Society Review 1, 71–75.Nofsinger, J. and A. Varma (2014). Socially responsible funds and market crises. Journal of Banking and Finance 48, 180-193.Puaschunder, J. M. (2016). On the emergence, current state, and future perspectives of Socially responsible investment (SRI). The Journal of Sustainable Development 16, 38-63.Renneboog, L., J. T. Horst, and C. Zhang (2008). The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of Corporate Finance 14(3), 302-322.Richardson, B. J. (2009). Keeping ethical investment ethical: Regulatory issues for investing for sustainability. Journal of Business Ethics 87, 555-572Riedl, A. and P. Smeets (2017). Why do investors hold socially responsible mutual funds? The Journal of Finance 72(6), 2505-2550.Rudd, A. (1981). Social responsibility and portfolio performance. California Management Review 23(4), 55–61.Sirri, E. R., and P. Tufano (1998). Costly search and mutual fund flow. Journal of Finance 53(5), 1589-1622The Forum for Sustainable and Responsible Investment (USSIF) (2020). 2020 report on US sustainable and impact investing trends, available at www.ussif.org/trends. 描述 碩士
國立政治大學
財務管理學系
108357018資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108357018 資料類型 thesis dc.contributor.advisor 陳鴻毅 zh_TW dc.contributor.advisor Chen, Hong-Yi en_US dc.contributor.author (Authors) 張文姿 zh_TW dc.contributor.author (Authors) Chang, Wen-Zi en_US dc.creator (作者) 張文姿 zh_TW dc.creator (作者) Chang, Wen-Zi en_US dc.date (日期) 2021 en_US dc.date.accessioned 3-Jul-2021 00:45:26 (UTC+8) - dc.date.available 3-Jul-2021 00:45:26 (UTC+8) - dc.date.issued (上傳時間) 3-Jul-2021 00:45:26 (UTC+8) - dc.identifier (Other Identifiers) G0108357018 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136057 - 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) 108357018 zh_TW dc.description.abstract (摘要) 近來，越來越多投資人與機構法人將責任投資或是綠色投資納入投資策略的考量中，在基金市場與ESG (環境、社會、公司治理)相關的商品也越來越多元，投入其中的資金規模也日漸成長。因此，本研究主要目的為探討如此趨勢下，未標榜ESG或是相關概念之基金是否同將責任投資之概念納入其投資決策中並影響基金之績效。本研究以美國2005年至2018年間之非ESG權益型基金為樣本，利用個股的ESG分數加權平均計算基金持股的ESG分數，進而探討基金持股的ESG分數是否對基金流量和基金報酬表現有影響。實證結果發現非ESG基金持股的ESG分數與基金的流量和報酬表現呈現負相關，表示ESG分數較低的非ESG基金較受到投資人喜愛，亦可獲得較高的報酬。本研究透過分段回歸進一步發現，基金持股的ESG分數與基金流量的負向關係於低ESG分數的樣本中較強。此外，基金ESG分數僅有在分數表現較高時，會帶給基金報酬表現正面的效果。 zh_TW dc.description.abstract (摘要) Recently, ever more investors and institutions incorporate Socially Responsible Investment (SRI) and Environmental, Social, and Governance (ESG) into their investment strategies. This trend is changing the development of fund market, and various kinds of related products are rolled out with lots of capital flow into this market. The main purpose of this study is to explore the investment strategies and fund performance of Non-ESG funds that do not support for SRI/ESG or related issues in the popularity of SRI/ESG. This study empirically includes Non-ESG equity funds in the US market from 2005 to 2018 and analyzes the relationship between ESG Scores of fund holdings and fund performance. Empirical results indicate that comparing to funds with high and low ESG Scores, investors who invest in Non-ESG funds divest when ESG Scores of funds get higher. In addition, ESG Scores of funds are negatively correlated to fund returns. This study uses piecewise regression to regress fund flow and returns on ESG Scores of funds and shows that the aversion to ESG Scores of investors decreases as ESG Scores outperform the average of all Non-ESG equity funds. In terms of fund returns, ESG Scores undermine fund returns when ESG Score is higher than the average of all Non-ESG equity funds. On the contrary, ESG Scores improves fund returns, when it is lower than the average of all Non-ESG equity funds. en_US dc.description.tableofcontents 1. Introduction 32. Literature Review 62.1 Rationales for the Development of ESG Investments 62.2 Reasons to Invest in SRI/ESG Funds 62.3 The Performance of SRI/ESG Funds 82.4 The Relationship Between Fund Holdings and Fund Performance 93. Sample, Variable and Models 113.1 Data of Non-ESG Funds 113.2 ESG Scores of Firms 113.3 ESG Scores of Funds 123.4 Other Variables 143.5 Models 154. Empirical Results 194.1 Sample Description 194.2 The Effect of ESG Scores on Fund Financial Performance 204.3 Different Sensitivity Fund Financial Performance to ESG Scores 235. Future Research and Conclusion 25References 27 zh_TW dc.format.extent 2032971 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108357018 en_US dc.subject (關鍵詞) ESG分數 zh_TW dc.subject (關鍵詞) 責任投資 zh_TW dc.subject (關鍵詞) 非ESG基金 zh_TW dc.subject (關鍵詞) Socially Responsible Investment (SRI) en_US dc.subject (關鍵詞) ESG Score en_US dc.subject (關鍵詞) Non-ESG funds en_US dc.title (題名) 基金持股的ESG分數對基金績效之影響 zh_TW dc.title (題名) An Analysis of ESG Scores of Fund Holdings and Fund Performance en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Albuquerque, R., Y. Koskinen, and C. Zhang (2018). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science 65(10), 4451-4469.Barnett, M. and R. M. Salomon (2006), The curvilinear relationship between social responsibility and financial performance, Strategic Management Journal 27, 1101-1122.Bello Z. Y. (2005). Socially responsible investing and portfolio diversification, The Journal of Financial Research 28, 41-57.Benson, K. L., and J. E. Humphrey (2008). Socially responsible investment funds: Investor reaction to current and past returns. Journal of Banking and Finance 32, 1850-1859.Benson, K. L., T. J. Brailsford, and J. E. Humphrey (2006). Do socially responsible fund managers really invest differently? Journal of Business Ethics 65, 337–357.Bollen, N. P. B (2007). Mutual fund attributes and investor behavior. Journal of Financial and Quantitative Analysis 42(3), 683-708.Brammer, S., C. Brooks, and S. Pavelin (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management 35(3), 97-116.Brzeszczyński, J. and G. McIntosh (2014). Performance of portfolios composed of British SRI stocks. Journal of Business Ethics 120(3), 335-362.Capelle-Blancard, G. and S. Monjoin (2014). The performance of socially responsible funds: Does the screening process matter? European Financial Management 20(3), 494-520.Cashman, G. D., F. Nardari, D. N. Deli, and S. Villupuram (2007). Investor behavior in the mutual fund industry: Evidence from gross flow. Journal of Economics and Finance38(4), 541-567.Climent, F. and P. Soriano (2011). Green and good? The investment performance of US environmental mutual funds. Journal of Business Ethics, 103(2), 275-287Clow, R. (1999). Money that grows on trees, Institutional Investor 33, 212–215.Diouf, D., T. Hebb, and E. H. Touré (2016). Exploring factors that influence social retail investors’ decisions: Evidence from Desjardins Fund. Journal of Business Ethics 134, 45-67.Eurosif (2010). European SRI study 2010, available at https://www.eurosif.org..Galbreath J. (2013). ESG in focus: The Australian evidence. Journal of Business Ethics 118(3), 529-541.Hamilton, S., H. Jo, and M. Statman (1993). Doing well while doing good? The investment performance of socially responsible mutual funds. Financial Analysts Journal 49(6), 62-66.Hansen, D. and B. Tranter (2006). Who are the shareholders in Australia and what are their ethical opinions? An empirical analysis. Corporate Governance: An International Review 14, 23-32.Heinkel, R., A. Kraus, and J. Zechner (2001). The effect of green investment on corporate behavior. Journal of Financial and Quantitative Analysis 36(4), 431-449.Holmes, I. and S. Maule (2016). A sustainable finance plan for the European Union, available at www.e3g.org.Kahneman, D. and A. Tversky (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica 46, 171-185.Moskowitz, M. (1972). Choosing socially responsible stocks. Business and Society Review 1, 71–75.Nofsinger, J. and A. Varma (2014). Socially responsible funds and market crises. Journal of Banking and Finance 48, 180-193.Puaschunder, J. M. (2016). On the emergence, current state, and future perspectives of Socially responsible investment (SRI). The Journal of Sustainable Development 16, 38-63.Renneboog, L., J. T. Horst, and C. Zhang (2008). The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of Corporate Finance 14(3), 302-322.Richardson, B. J. (2009). Keeping ethical investment ethical: Regulatory issues for investing for sustainability. Journal of Business Ethics 87, 555-572Riedl, A. and P. Smeets (2017). Why do investors hold socially responsible mutual funds? The Journal of Finance 72(6), 2505-2550.Rudd, A. (1981). Social responsibility and portfolio performance. California Management Review 23(4), 55–61.Sirri, E. R., and P. Tufano (1998). Costly search and mutual fund flow. Journal of Finance 53(5), 1589-1622The Forum for Sustainable and Responsible Investment (USSIF) (2020). 2020 report on US sustainable and impact investing trends, available at www.ussif.org/trends. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100623 en_US
