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題名 ESG評級收斂之探討 : 以三間評級公司為例
On The Convergence of ESG Ratings: Using Three Major Rating Agencies as Examples作者 余彥良
Yu, Yan-Liang貢獻者 江彌修
Chiang, Mi-Hsiu
余彥良
Yu, Yan-Liang關鍵詞 ESG
ESG投資
ESG評級
評級機構
ESG
ESG Investing
ESG Rating
Rating Agency
ESG ETF日期 2021 上傳時間 4-Aug-2021 14:50:39 (UTC+8) 摘要 本研究使用兩種方法，包含 Pearson相關係數及排序後重複性檢驗，來探討收斂性，本研究會使用此兩 種方法，主要是因為在僅有公司ESG評級下，故僅採用 Pearson相關係數進行統計檢驗，並透過排序後的重複性來進行穩固性的檢驗。本研究採用的 2014年至 2019年內，三間國際評級機構對於台灣上市公司的評級資料進行統計測試，實證結果發現目前在國際評級機構間 對於評級的收斂性不存在，此可能對於金融機構所發行的金融產品造成潛在性的風險。並且針對在Covid疫情下，台灣金融市場內以ESG為主題之ETF表現，發現並無顯著的超額報酬及風險轉移的效果存在。
In this paper, we implement two methods, including Pearson correlation coefficient and post-ranking repeatability, to explore convergence of ESG ratings. We use these two methods, mainly because we only have the company’s ESG ratings data, only Pearson correlation coefficient is used, and we use post-ranking repeatability comparison as robustness test. We use three international rating agencies’ ESG rating data of listed companies in Taiwan. The empirical results find that there is no convergence of ESG ratings among these three rating agencies. This may imply potential risks of the products which financial institutions issue. In additions, we find that ESG-themed ETFs in Taiwan were no significant excess return and risk transfer effect under the Covid epidemic.參考文獻 Avetisyan, E., & Hockerts, K. (2017). The consolidation of the ESG rating industry as an enactment of institutional retrogression. Business Strategy and the Environment, 26(3), 316-330.Broadstock, D. C., Chan, K., Cheng, L. T., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance research letters, 38, 101716.Chatterji, A., Durand, R., Levine, D., & Touboul, S. (2014). Do ratings of firms converge? Implications for strategy research. Strategic Management Journal.Chatterji, A. K., Levine, D. I., & Toffel, M. W. (2009). How well do social ratings actually measure corporate social responsibility? Journal of Economics & Management Strategy, 18(1), 125-169.Chatterji, A. K., & Toffel, M. W. (2010). How firms respond to being rated. Strategic Management Journal, 31(9), 917-945.Crilly, D., Zollo, M., & Hansen, M. T. (2012). Faking it or muddling through? Understanding decoupling in response to stakeholder pressures. Academy of Management Journal, 55(6), 1429-1448.Demers, E., Hendrikse, J., Joos, P., & Lev, B. (2021). ESG did not immunize stocks during the COVID‐19 crisis, but investments in intangible assets did. Journal of Business Finance & Accounting, 48(3-4), 433-462.Dorfleitner, G., Halbritter, G., & Nguyen, M. (2015). Measuring the level and risk of corporate responsibility–An empirical comparison of different ESG rating approaches. Journal of Asset Management, 16(7), 450-466.Drasgow, F. (2014). Polychoric and polyserial correlations. Wiley StatsRef: Statistics Reference Online.Galema, R., Plantinga, A., & Scholtens, B. (2008). The stocks at stake: Return and risk in socially responsible investment. Journal of Banking & Finance, 32(12), 2646-2654.Hübel, B., & Scholz, H. (2020). Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings. Journal of Asset Management, 21(1), 52-69.Mǎnescu, C. (2011). Stock returns in relation to environmental, social and governance performance: Mispricing or compensation for risk? Sustainable development, 19(2), 95-118.Olsson, U. (1979). Maximum likelihood estimation of the polychoric correlation coefficient. Psychometrika, 44(4), 443-460.Statman, M., & Glushkov, D. (2009). The wages of social responsibility. Financial Analysts Journal, 65(4), 33-46. 描述 碩士
國立政治大學
金融學系
108352017資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108352017 資料類型 thesis dc.contributor.advisor 江彌修 zh_TW dc.contributor.advisor Chiang, Mi-Hsiu en_US dc.contributor.author (Authors) 余彥良 zh_TW dc.contributor.author (Authors) Yu, Yan-Liang en_US dc.creator (作者) 余彥良 zh_TW dc.creator (作者) Yu, Yan-Liang en_US dc.date (日期) 2021 en_US dc.date.accessioned 4-Aug-2021 14:50:39 (UTC+8) - dc.date.available 4-Aug-2021 14:50:39 (UTC+8) - dc.date.issued (上傳時間) 4-Aug-2021 14:50:39 (UTC+8) - dc.identifier (Other Identifiers) G0108352017 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136358 - 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) 108352017 zh_TW dc.description.abstract (摘要) 本研究使用兩種方法，包含 Pearson相關係數及排序後重複性檢驗，來探討收斂性，本研究會使用此兩 種方法，主要是因為在僅有公司ESG評級下，故僅採用 Pearson相關係數進行統計檢驗，並透過排序後的重複性來進行穩固性的檢驗。本研究採用的 2014年至 2019年內，三間國際評級機構對於台灣上市公司的評級資料進行統計測試，實證結果發現目前在國際評級機構間 對於評級的收斂性不存在，此可能對於金融機構所發行的金融產品造成潛在性的風險。並且針對在Covid疫情下，台灣金融市場內以ESG為主題之ETF表現，發現並無顯著的超額報酬及風險轉移的效果存在。 zh_TW dc.description.abstract (摘要) In this paper, we implement two methods, including Pearson correlation coefficient and post-ranking repeatability, to explore convergence of ESG ratings. We use these two methods, mainly because we only have the company’s ESG ratings data, only Pearson correlation coefficient is used, and we use post-ranking repeatability comparison as robustness test. We use three international rating agencies’ ESG rating data of listed companies in Taiwan. The empirical results find that there is no convergence of ESG ratings among these three rating agencies. This may imply potential risks of the products which financial institutions issue. In additions, we find that ESG-themed ETFs in Taiwan were no significant excess return and risk transfer effect under the Covid epidemic. en_US dc.description.tableofcontents 致謝 i摘要 iiAbstract iii目 次 iv表 次 v圖 次 vi第一章 緒論 1第二章 文獻回顧 4第三章 資料與研究方法 6第一節 資料 6第二節 研究方法 11第二節之一 基於相關係數檢驗 12第二節之二 基於重複性檢驗 13第四章 實證結果 15第一節 Pearson 相關係數相關性檢定結果 15第一節之一 環境評級 (Environment)之相關係數檢定 15第一節之二 社會與文化 評級 (Social)之相關係數檢定 17第一節之三 公司治理 (Governance)評級之相關性檢定 19第一節之四 整體評級 (Combined)之相關係數檢定 21第二節 透過排序之重複性檢驗結果 24第二節之一 環境 ((Environment)評級排序後重複性檢驗 24第二節之二 社會與文化 (Social)評級排序後重複性檢驗 26第二節之三 公司治理 (Governance)評級排序後重複性檢驗 27第二節之四 整體 (Combined)評級排序後重複性檢驗 29第三節 台灣 ESG主題 ETF市場探討 31第三節之一 各 ETF產品報酬指數及 COVID下分析 33第三節之二 COVID疫情下成交量分析 37第五章 結論與後續研究建議 38第一節 結論 38第二節 後續研究建議 40參考文獻 42 zh_TW dc.format.extent 1874295 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108352017 en_US dc.subject (關鍵詞) ESG zh_TW dc.subject (關鍵詞) ESG投資 zh_TW dc.subject (關鍵詞) ESG評級 zh_TW dc.subject (關鍵詞) 評級機構 zh_TW dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) ESG Investing en_US dc.subject (關鍵詞) ESG Rating en_US dc.subject (關鍵詞) Rating Agency en_US dc.subject (關鍵詞) ESG ETF en_US dc.title (題名) ESG評級收斂之探討 : 以三間評級公司為例 zh_TW dc.title (題名) On The Convergence of ESG Ratings: Using Three Major Rating Agencies as Examples en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Avetisyan, E., & Hockerts, K. (2017). The consolidation of the ESG rating industry as an enactment of institutional retrogression. Business Strategy and the Environment, 26(3), 316-330.Broadstock, D. C., Chan, K., Cheng, L. T., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance research letters, 38, 101716.Chatterji, A., Durand, R., Levine, D., & Touboul, S. (2014). Do ratings of firms converge? Implications for strategy research. Strategic Management Journal.Chatterji, A. K., Levine, D. I., & Toffel, M. W. (2009). How well do social ratings actually measure corporate social responsibility? Journal of Economics & Management Strategy, 18(1), 125-169.Chatterji, A. K., & Toffel, M. W. (2010). How firms respond to being rated. Strategic Management Journal, 31(9), 917-945.Crilly, D., Zollo, M., & Hansen, M. T. (2012). Faking it or muddling through? Understanding decoupling in response to stakeholder pressures. Academy of Management Journal, 55(6), 1429-1448.Demers, E., Hendrikse, J., Joos, P., & Lev, B. (2021). ESG did not immunize stocks during the COVID‐19 crisis, but investments in intangible assets did. Journal of Business Finance & Accounting, 48(3-4), 433-462.Dorfleitner, G., Halbritter, G., & Nguyen, M. (2015). Measuring the level and risk of corporate responsibility–An empirical comparison of different ESG rating approaches. Journal of Asset Management, 16(7), 450-466.Drasgow, F. (2014). Polychoric and polyserial correlations. Wiley StatsRef: Statistics Reference Online.Galema, R., Plantinga, A., & Scholtens, B. (2008). The stocks at stake: Return and risk in socially responsible investment. Journal of Banking & Finance, 32(12), 2646-2654.Hübel, B., & Scholz, H. (2020). Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings. Journal of Asset Management, 21(1), 52-69.Mǎnescu, C. (2011). Stock returns in relation to environmental, social and governance performance: Mispricing or compensation for risk? Sustainable development, 19(2), 95-118.Olsson, U. (1979). Maximum likelihood estimation of the polychoric correlation coefficient. Psychometrika, 44(4), 443-460.Statman, M., & Glushkov, D. (2009). The wages of social responsibility. Financial Analysts Journal, 65(4), 33-46. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100665 en_US
