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| Title | 硬投資人情緒之於 ESG 動能的影響 On the Impacts of Hard Investor Sentiment on ESG Momentum |
| Creator | 林旻致 Lin, Min-Chih |
| Contributor | 江彌修 Chiang, Mi-Hsiu 林旻致 Lin, Min-Chih |
| Key Words | ESG 動能 硬投資人情緒 光暈效應 ESG Momentum Hard Investor Sentiment Halo Effect |
| Date | 2021 |
| Date Issued | 4-Aug-2021 14:50:28 (UTC+8) |
| Summary | Serafeim(2020)發現市場對於 ESG 的負面情緒動量(Sentiment Momentum)能 辨認出股價受到低估的高 ESG 公司，而正面的情緒動量則否。然而，考量到 Liberti 與 Petersen (2019)曾提及財務資料具有不同面向，僅由文本分析所得的『軟情緒』 於 ESG 動能的研究尚有未臻之處，本文嘗試以基於量化數據的『硬情緒』(The BW Sentiment)進行分析，發現整體樣本期間的 ESG 動能雖然不存在顯著的超額 報酬，但若在短期硬情緒消極或長期硬情緒積極的兩種情況下，由 ESG 變化所 建構的動能策略將產生顯著的異常正報酬，體現了光暈效應(Halo Effect)對投資 人的影響，而 ESG 分數的動能策略僅在短期情緒消極時產生顯著的異常報酬負 報酬。另外，由兩階段排序(double sorting)的實證結果顯示，進行 ESG 分數高低 篩選後的 ESG 變化動能策略，能夠產生顯著且更高的異常報酬率。本研究說明 了硬情緒與軟情緒之於 ESG 動能的異同之處，亦指出考量硬投資人情緒的 ESG 動能辦認市場上被低估的 ESG 價值。 Serafeim (2020) found that the negative market sentiment momentum for ESG (Sentiment Momentum) can identify good ESG companies whose stock prices are undervalued, while positive sentiment momentum does not. However, considering that Liberti and Petersen (2019) have mentioned that financial data has different aspects, the "soft investor sentiment" derived from text analysis is still unfinished in the study of ESG momentum. This article attempts to use quantitative data based "hard investor sentiment"(The BW Sentiment) to conduct an analysis and found that although there was no significant excess return in ESG Momentum during the overall sample period. However, the ESG momentum constructed by ESG changes in the two cases of negative short-term hard sentiment or positive long-term hard sentiment will generate significant abnormal positive returns, reflecting the impact of the Halo Effect on investors, while the ESG score momentum will only generate significant abnormal negative returns when the short-term hard sentiment is negative. In addition, the empirical results of double sorting show that the ESG change momentum strategy after screening the ESG scores can produce a significant and higher abnormal rate of return. This research illustrates the similarities and differences between hard sentiment and soft sentiment in ESG momentum. It also points out that ESG momentum that considers hard investor sentiment can recognize the underestimated ESG value in the market. |
| 參考文獻 | 邱信瑜, 黃書安, & 江彌修. (2018). 基於流動性風險衡量下之 beta 套利交易策 略. 證券市場發展季刊, 30(3), 41-74. 陳宜群, 林煜恩, 池祥萱, & 江彌修. (2019). 公司治理與獨特性風險異象. 證券 市場發展季刊, 31(1), 141-170. Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2016). Investor sentiment, beta, and the cost of equity capital. Management Science, 62(2), 347-367. Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680. Berg, F., Koelbel, J. F., & Rigobon, R. (2019). Aggregate confusion: The divergence of ESG ratings. MIT Sloan School of Management. 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), 32-42. Christensen, D. M., Serafeim, G., & Sikochi, S. (2021). Why is corporate virtue in the eye of the beholder? The case of ESG ratings. The Accounting Review, https://doi. org/10.2308/TAR-2019-0506 Delevingne, L., Gründler, A., Kane, S., & Koller, T. (2020). The ESG premium: New perspectives on value and performance. McKinsey on Finance, 73. Frazzini, A., & Pedersen, L. H. (2014). Betting against beta. Journal of Financial Economics, 111(1), 1-25. 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. Grewal, J., Hauptmann, C., & Serafeim, G. (2020). Material sustainability information and stock price informativeness. Journal of Business Ethics, 1-32. Hartzmark, S. M., & Solomon, D. H. (2019). The dividend disconnect. The Journal of Finance, 74(5), 2153-2199. Hartzmark, S. M., & Sussman, A. B. (2019). Do investors value sustainability? A natural experiment examining ranking and fund flows. The Journal of Finance, 74(6), 2789-2837. Hong, H., & Liskovich, I. (2015). Crime, punishment and the halo effect of corporate social responsibility (No. w21215). National Bureau of Economic Research. Maiti, M. (2020). Is ESG the succeeding risk factor?. Journal of Sustainable Finance & Investment, 1-15. Ribando, J. M., & Bonne, G. (2010). A new quality factor: Finding alpha with ASSET4 ESG data. Starmine Research Note, Thomson Reuters, 31. Serafeim, G. (2020). Public sentiment and the price of corporate sustainability. Financial Analysts Journal, 76(2), 26-46. Stambaugh, R. F., Yu, J., & Yuan, Y. (2012). The short of it: Investor sentiment and anomalies. Journal of Financial Economics, 104(2), 288-302. |
| Description | 碩士 國立政治大學 金融學系 108352015 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0108352015 |
| Type | thesis |
| dc.contributor.advisor | 江彌修 | zh_TW |
| dc.contributor.advisor | Chiang, Mi-Hsiu | en_US |
| dc.contributor.author (Authors) | 林旻致 | zh_TW |
| dc.contributor.author (Authors) | Lin, Min-Chih | en_US |
| dc.creator (作者) | 林旻致 | zh_TW |
| dc.creator (作者) | Lin, Min-Chih | en_US |
| dc.date (日期) | 2021 | en_US |
| dc.date.accessioned | 4-Aug-2021 14:50:28 (UTC+8) | - |
| dc.date.available | 4-Aug-2021 14:50:28 (UTC+8) | - |
| dc.date.issued (上傳時間) | 4-Aug-2021 14:50:28 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0108352015 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/136357 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融學系 | zh_TW |
| dc.description (描述) | 108352015 | zh_TW |
| dc.description.abstract (摘要) | Serafeim(2020)發現市場對於 ESG 的負面情緒動量(Sentiment Momentum)能 辨認出股價受到低估的高 ESG 公司，而正面的情緒動量則否。然而，考量到 Liberti 與 Petersen (2019)曾提及財務資料具有不同面向，僅由文本分析所得的『軟情緒』 於 ESG 動能的研究尚有未臻之處，本文嘗試以基於量化數據的『硬情緒』(The BW Sentiment)進行分析，發現整體樣本期間的 ESG 動能雖然不存在顯著的超額 報酬，但若在短期硬情緒消極或長期硬情緒積極的兩種情況下，由 ESG 變化所 建構的動能策略將產生顯著的異常正報酬，體現了光暈效應(Halo Effect)對投資 人的影響，而 ESG 分數的動能策略僅在短期情緒消極時產生顯著的異常報酬負 報酬。另外，由兩階段排序(double sorting)的實證結果顯示，進行 ESG 分數高低 篩選後的 ESG 變化動能策略，能夠產生顯著且更高的異常報酬率。本研究說明 了硬情緒與軟情緒之於 ESG 動能的異同之處，亦指出考量硬投資人情緒的 ESG 動能辦認市場上被低估的 ESG 價值。 | zh_TW |
| dc.description.abstract (摘要) | Serafeim (2020) found that the negative market sentiment momentum for ESG (Sentiment Momentum) can identify good ESG companies whose stock prices are undervalued, while positive sentiment momentum does not. However, considering that Liberti and Petersen (2019) have mentioned that financial data has different aspects, the "soft investor sentiment" derived from text analysis is still unfinished in the study of ESG momentum. This article attempts to use quantitative data based "hard investor sentiment"(The BW Sentiment) to conduct an analysis and found that although there was no significant excess return in ESG Momentum during the overall sample period. However, the ESG momentum constructed by ESG changes in the two cases of negative short-term hard sentiment or positive long-term hard sentiment will generate significant abnormal positive returns, reflecting the impact of the Halo Effect on investors, while the ESG score momentum will only generate significant abnormal negative returns when the short-term hard sentiment is negative. In addition, the empirical results of double sorting show that the ESG change momentum strategy after screening the ESG scores can produce a significant and higher abnormal rate of return. This research illustrates the similarities and differences between hard sentiment and soft sentiment in ESG momentum. It also points out that ESG momentum that considers hard investor sentiment can recognize the underestimated ESG value in the market. | en_US |
| dc.description.tableofcontents | 第一章 緒論 6 第二章 文獻探討 10 第一節 ESG 因子文獻相關文獻 10 第二節 投資人情緒與投資異象 10 第三節 行為財務學相關文獻 12 第三章 研究方法 13 第一節 實證資料說明 13 第二節 情緒指標建構 15 第三節 投資組合建構 17 第四節 因子模型介紹 18 第四章 實證結果 20 第一節 ESG 評級與評級變化在實證期間的投資組合報酬 20 第二節 引入硬投資人情緒後的投組異常報酬 25 第三節 兩階段排序或篩選的投資組合異常報酬 30 第四節 考量流動性因子的檢定結果 40 第五節 軟情緒與硬情緒之於 ESG 動能的差異 42 第五章 結論 45 參考文獻 47 | zh_TW |
| dc.format.extent | 1735095 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0108352015 | en_US |
| dc.subject (關鍵詞) | ESG 動能 | zh_TW |
| dc.subject (關鍵詞) | 硬投資人情緒 | zh_TW |
| dc.subject (關鍵詞) | 光暈效應 | zh_TW |
| dc.subject (關鍵詞) | ESG Momentum | en_US |
| dc.subject (關鍵詞) | Hard Investor Sentiment | en_US |
| dc.subject (關鍵詞) | Halo Effect | en_US |
| dc.title (題名) | 硬投資人情緒之於 ESG 動能的影響 | zh_TW |
| dc.title (題名) | On the Impacts of Hard Investor Sentiment on ESG Momentum | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 邱信瑜, 黃書安, & 江彌修. (2018). 基於流動性風險衡量下之 beta 套利交易策 略. 證券市場發展季刊, 30(3), 41-74. 陳宜群, 林煜恩, 池祥萱, & 江彌修. (2019). 公司治理與獨特性風險異象. 證券 市場發展季刊, 31(1), 141-170. Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2016). Investor sentiment, beta, and the cost of equity capital. Management Science, 62(2), 347-367. Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680. Berg, F., Koelbel, J. F., & Rigobon, R. (2019). Aggregate confusion: The divergence of ESG ratings. MIT Sloan School of Management. 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), 32-42. Christensen, D. M., Serafeim, G., & Sikochi, S. (2021). Why is corporate virtue in the eye of the beholder? The case of ESG ratings. The Accounting Review, https://doi. org/10.2308/TAR-2019-0506 Delevingne, L., Gründler, A., Kane, S., & Koller, T. (2020). The ESG premium: New perspectives on value and performance. McKinsey on Finance, 73. Frazzini, A., & Pedersen, L. H. (2014). Betting against beta. Journal of Financial Economics, 111(1), 1-25. 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. Grewal, J., Hauptmann, C., & Serafeim, G. (2020). Material sustainability information and stock price informativeness. Journal of Business Ethics, 1-32. Hartzmark, S. M., & Solomon, D. H. (2019). The dividend disconnect. The Journal of Finance, 74(5), 2153-2199. Hartzmark, S. M., & Sussman, A. B. (2019). Do investors value sustainability? A natural experiment examining ranking and fund flows. The Journal of Finance, 74(6), 2789-2837. Hong, H., & Liskovich, I. (2015). Crime, punishment and the halo effect of corporate social responsibility (No. w21215). National Bureau of Economic Research. Maiti, M. (2020). Is ESG the succeeding risk factor?. Journal of Sustainable Finance & Investment, 1-15. Ribando, J. M., & Bonne, G. (2010). A new quality factor: Finding alpha with ASSET4 ESG data. Starmine Research Note, Thomson Reuters, 31. Serafeim, G. (2020). Public sentiment and the price of corporate sustainability. Financial Analysts Journal, 76(2), 26-46. Stambaugh, R. F., Yu, J., & Yuan, Y. (2012). The short of it: Investor sentiment and anomalies. Journal of Financial Economics, 104(2), 288-302. | zh_TW |
| dc.identifier.doi (DOI) | 10.6814/NCCU202100709 | en_US |