學術產出-學位論文

文章檢視/開啟

書目匯出

Google ScholarTM

政大圖書館

引文資訊

  • 資料載入中...
    資料載入中...

TAIR相關學術產出

題名 硬投資人情緒之於 ESG 動能的影響
On the Impacts of Hard Investor Sentiment on ESG Momentum
作者 林旻致
Lin, Min-Chih
貢獻者 江彌修
Chiang, Mi-Hsiu
林旻致
Lin, Min-Chih
關鍵詞 ESG 動能
硬投資人情緒
光暈效應
ESG Momentum
Hard Investor Sentiment
Halo Effect
日期 2021
上傳時間 4-八月-2021 14:50:28 (UTC+8)
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。
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.
描述 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
資料類型 thesis
dc.contributor.advisor 江彌修zh_TW
dc.contributor.advisor Chiang, Mi-Hsiuen_US
dc.contributor.author (作者) 林旻致zh_TW
dc.contributor.author (作者) Lin, Min-Chihen_US
dc.creator (作者) 林旻致zh_TW
dc.creator (作者) Lin, Min-Chihen_US
dc.date (日期) 2021en_US
dc.date.accessioned 4-八月-2021 14:50:28 (UTC+8)-
dc.date.available 4-八月-2021 14:50:28 (UTC+8)-
dc.date.issued (上傳時間) 4-八月-2021 14:50:28 (UTC+8)-
dc.identifier (其他 識別碼) G0108352015en_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) 108352015zh_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/#G0108352015en_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 Momentumen_US
dc.subject (關鍵詞) Hard Investor Sentimenten_US
dc.subject (關鍵詞) Halo Effecten_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 Momentumen_US
dc.type (資料類型) thesisen_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/NCCU202100709en_US