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題名 ESG基金之持股狀況對基金流量及基金績效之影響
A Study of the Impact of ESG Fund Holdings on Fund Flow and Fund Performance作者 魏旻萱
Wei, Min-Xuan貢獻者 陳鴻毅
Chen, Hong-Yi
魏旻萱
Wei, Min-Xuan關鍵詞 ESG
ESG分數
共同基金
ESG
ESG score
mutual funds日期 2021 上傳時間 3-Jul-2021 00:52:25 (UTC+8) 摘要 本研究主要探討ESG基金相較非ESG基金是否能吸引較多資金流入，以及是否能創造更高的報酬。本研究亦探討ESG基金的資金流量及績效是否與其ESG分數有關。本研究將每檔ESG基金依據基金規模及投資屬性選取三檔非ESG基金作為配對基金。實證研究結果顯示ESG基金相較於配對之非ESG基金擁有較好的績效表現，但未能得出ESG基金吸引較多資金流入的一致結果。此外，在ESG分數相對較低的基金中，ESG分數與績效表現呈正相關；但在ESG分數相對較高的基金中，提高ESG分數未必有利於績效。
This paper investigates whether ESG funds attract more fund flow and deliver better performance than their non-ESG counterparts. In addition, we examine if higher ESG scores attract more fund flow or have better performance. Since there is a large difference between the sample size of ESG funds and non-ESG funds, we use the matching approach before we run our test, in which we match three non-ESG funds for every ESG fund. The empirical results find it hard to conclude whether investors have a stronger preference for ESG funds, and we find that when it comes to flows, the role of ESG scores for ESG investors is not statistically significant. The study also finds that ESG funds tend to deliver better performance than their non-ESG counterparts, and for funds with relatively high ESG scores, increasing ESG score might narrow down their investment pool and thus harm their performance. On the contrary, for funds with relatively low ESG-score, increasing ESG scores might enhance their performance.參考文獻 Alda, M. (2020). ESG fund scores in UK SRI and conventional pension funds: Are the ESG concerns of the SRI niche affecting the conventional mainstream? Finance Research Letters, 36, 101313.Benson, K. L., & Humphrey, J. E. (2008). Socially responsible investment funds: Investor reaction to current and past returns. Journal of Banking & Finance, 32(9), 1850-1859.Bollen, N. P. (2007). Mutual fund attributes and investor behavior. Journal of Financial and Quantitative Analysis, 42, 683-708.Derwall, J., Koedijk, K., & Ter Horst, J. (2011). A tale of values-driven and profit-seeking social investors. Journal of Banking & Finance, 35(8), 2137-2147.Diouf, D., & Hebb, T. (2016). Exploring factors that influence social retail investors’ decisions: Evidence from Desjardins fund. Journal of Business Ethics, 134(1), 45-67.Durán-Santomil, P., Otero-González, L., Correia-Domingues, R. H., & Reboredo, J. C. (2019). Does sustainability score impact mutual fund performance? Sustainability, 11(10), 2972.Díaz, V., Ibrushi, D., & Zhao, J. (2021). Reconsidering systematic factors during the Covid-19 pandemic–The rising importance of ESG. Finance Research Letters, 38, 101870.Filbeck, A., Filbeck, G., & Zhao, X. (2019). Performance assessment of firms following sustainalytics ESG principles. The Journal of Investing, 28(2), 7-20.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.Innes, R., & Sam, A. G. (2008). Voluntary pollution reductions and the enforcement of environmental law: An empirical study of the 33/50 program. The Journal of Law and Economics, 51(2), 271-296.Mallin, C. A., Saadouni, B., & Briston, R. J. (1995). The financial performance of ethical investment funds. Journal of Business Finance and Accounting, 22, 483-483.Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193.Ozaki, R. (2011). Adopting sustainable innovation: what makes consumers sign up to green electricity? Business strategy and the environment, 20(1), 1-17.Peifer, J. L. (2011). Morality in the financial market? A look at religiously affiliated mutual funds in the USA. Socio-Economic Review, 9(2), 235-259.Plagge, J.-C., & Grim, D. M. (2020). Have investors paid a performance price? Examining the behavior of ESG equity funds. The Journal of Portfolio Management, 46(3), 123-140.Renneboog, L., Ter Horst, J., & Zhang, C. (2008). The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of corporate finance, 14(3), 302-322.Renneboog, L., Ter Horst, J., & Zhang, C. (2011). Is ethical money financially smart? Nonfinancial attributes and money flows of socially responsible investment funds. Journal of Financial Intermediation, 20(4), 562-588.Riedl, A., & Smeets, P. (2017). Why do investors hold socially responsible mutual funds? The Journal of Finance, 72(6), 2505-2550.Sherwood, M. W., & Pollard, J. L. (2018). The risk-adjusted return potential of integrating ESG strategies into emerging market equities. Journal of Sustainable Finance & Investment, 8(1), 26-44.SIF, (2020). US SIF Trends Report 2020.Statman, M. (2000). Socially responsible mutual funds (corrected). Financial Analysts Journal, 56(3), 30-39.Street, J. O., Carroll, R. J., & Ruppert, D. (1988). A note on computing robust regression estimates via iteratively reweighted least squares. The American Statistician, 42(2), 152-154.Van Duuren, E., Plantinga, A., & Scholtens, B. (2016). ESG integration and the investment management process: Fundamental investing reinvented. Journal of Business Ethics, 138(3), 525-533.Wimmer, M. (2013). ESG-persistence in socially responsible mutual funds. J. Mgmt. & Sustainability, 3, 9. 描述 碩士
國立政治大學
財務管理學系
108357021資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108357021 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) 魏旻萱 zh_TW dc.contributor.author (Authors) Wei, Min-Xuan en_US dc.creator (作者) 魏旻萱 zh_TW dc.creator (作者) Wei, Min-Xuan en_US dc.date (日期) 2021 en_US dc.date.accessioned 3-Jul-2021 00:52:25 (UTC+8) - dc.date.available 3-Jul-2021 00:52:25 (UTC+8) - dc.date.issued (上傳時間) 3-Jul-2021 00:52:25 (UTC+8) - dc.identifier (Other Identifiers) G0108357021 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136059 - 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) 108357021 zh_TW dc.description.abstract (摘要) 本研究主要探討ESG基金相較非ESG基金是否能吸引較多資金流入，以及是否能創造更高的報酬。本研究亦探討ESG基金的資金流量及績效是否與其ESG分數有關。本研究將每檔ESG基金依據基金規模及投資屬性選取三檔非ESG基金作為配對基金。實證研究結果顯示ESG基金相較於配對之非ESG基金擁有較好的績效表現，但未能得出ESG基金吸引較多資金流入的一致結果。此外，在ESG分數相對較低的基金中，ESG分數與績效表現呈正相關；但在ESG分數相對較高的基金中，提高ESG分數未必有利於績效。 zh_TW dc.description.abstract (摘要) This paper investigates whether ESG funds attract more fund flow and deliver better performance than their non-ESG counterparts. In addition, we examine if higher ESG scores attract more fund flow or have better performance. Since there is a large difference between the sample size of ESG funds and non-ESG funds, we use the matching approach before we run our test, in which we match three non-ESG funds for every ESG fund. The empirical results find it hard to conclude whether investors have a stronger preference for ESG funds, and we find that when it comes to flows, the role of ESG scores for ESG investors is not statistically significant. The study also finds that ESG funds tend to deliver better performance than their non-ESG counterparts, and for funds with relatively high ESG scores, increasing ESG score might narrow down their investment pool and thus harm their performance. On the contrary, for funds with relatively low ESG-score, increasing ESG scores might enhance their performance. en_US dc.description.tableofcontents 1.Introduction 12.Literature Review 42.1 Motivation for ESG Investing 42.2 Studies of ESG Performance 42.3 Fund Matching Approach 53.Data and Methodology 63.1 Data and Selection of ESG funds 63.2 ESG Score Calculation 73.3 Sample Matching 83.3.1 Score Matching 83.3.2 Style Number and TNA Matching 83.4 Linear Regression 104.Empirical Results 114.1 Dependent Variable: Flow 114.2 Dependent Variable: Performance 165.Future Research 236.Conclusion 24References 27 zh_TW dc.format.extent 1441604 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108357021 en_US dc.subject (關鍵詞) ESG zh_TW dc.subject (關鍵詞) ESG分數 zh_TW dc.subject (關鍵詞) 共同基金 zh_TW dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) ESG score en_US dc.subject (關鍵詞) mutual funds en_US dc.title (題名) ESG基金之持股狀況對基金流量及基金績效之影響 zh_TW dc.title (題名) A Study of the Impact of ESG Fund Holdings on Fund Flow and Fund Performance en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Alda, M. (2020). ESG fund scores in UK SRI and conventional pension funds: Are the ESG concerns of the SRI niche affecting the conventional mainstream? Finance Research Letters, 36, 101313.Benson, K. L., & Humphrey, J. E. (2008). Socially responsible investment funds: Investor reaction to current and past returns. Journal of Banking & Finance, 32(9), 1850-1859.Bollen, N. P. (2007). Mutual fund attributes and investor behavior. Journal of Financial and Quantitative Analysis, 42, 683-708.Derwall, J., Koedijk, K., & Ter Horst, J. (2011). A tale of values-driven and profit-seeking social investors. Journal of Banking & Finance, 35(8), 2137-2147.Diouf, D., & Hebb, T. (2016). Exploring factors that influence social retail investors’ decisions: Evidence from Desjardins fund. Journal of Business Ethics, 134(1), 45-67.Durán-Santomil, P., Otero-González, L., Correia-Domingues, R. H., & Reboredo, J. C. (2019). Does sustainability score impact mutual fund performance? Sustainability, 11(10), 2972.Díaz, V., Ibrushi, D., & Zhao, J. (2021). Reconsidering systematic factors during the Covid-19 pandemic–The rising importance of ESG. Finance Research Letters, 38, 101870.Filbeck, A., Filbeck, G., & Zhao, X. (2019). Performance assessment of firms following sustainalytics ESG principles. The Journal of Investing, 28(2), 7-20.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.Innes, R., & Sam, A. G. (2008). Voluntary pollution reductions and the enforcement of environmental law: An empirical study of the 33/50 program. The Journal of Law and Economics, 51(2), 271-296.Mallin, C. A., Saadouni, B., & Briston, R. J. (1995). The financial performance of ethical investment funds. Journal of Business Finance and Accounting, 22, 483-483.Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193.Ozaki, R. (2011). Adopting sustainable innovation: what makes consumers sign up to green electricity? Business strategy and the environment, 20(1), 1-17.Peifer, J. L. (2011). Morality in the financial market? A look at religiously affiliated mutual funds in the USA. Socio-Economic Review, 9(2), 235-259.Plagge, J.-C., & Grim, D. M. (2020). Have investors paid a performance price? Examining the behavior of ESG equity funds. The Journal of Portfolio Management, 46(3), 123-140.Renneboog, L., Ter Horst, J., & Zhang, C. (2008). The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of corporate finance, 14(3), 302-322.Renneboog, L., Ter Horst, J., & Zhang, C. (2011). Is ethical money financially smart? Nonfinancial attributes and money flows of socially responsible investment funds. Journal of Financial Intermediation, 20(4), 562-588.Riedl, A., & Smeets, P. (2017). Why do investors hold socially responsible mutual funds? The Journal of Finance, 72(6), 2505-2550.Sherwood, M. W., & Pollard, J. L. (2018). The risk-adjusted return potential of integrating ESG strategies into emerging market equities. Journal of Sustainable Finance & Investment, 8(1), 26-44.SIF, (2020). US SIF Trends Report 2020.Statman, M. (2000). Socially responsible mutual funds (corrected). Financial Analysts Journal, 56(3), 30-39.Street, J. O., Carroll, R. J., & Ruppert, D. (1988). A note on computing robust regression estimates via iteratively reweighted least squares. The American Statistician, 42(2), 152-154.Van Duuren, E., Plantinga, A., & Scholtens, B. (2016). ESG integration and the investment management process: Fundamental investing reinvented. Journal of Business Ethics, 138(3), 525-533.Wimmer, M. (2013). ESG-persistence in socially responsible mutual funds. J. Mgmt. & Sustainability, 3, 9. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100617 en_US
