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題名 增進風險調整報酬的永續主題策略之研究
A Study on the Sustainable Investing Strategy of Enhancing Risk-Adjusted Return作者 黃晨綱
Huang, Chen-Gang貢獻者 李志宏
黃晨綱
Huang, Chen-Gang關鍵詞 ESG
SRI
主流永續策略
基金
風險調整報酬
ESG
SRI
Mainstream sustainable investment strategies
Funds
Risk-adjusted returns日期 2022 上傳時間 1-三月-2022 16:40:36 (UTC+8) 摘要 本研究探討主流永續投資策略之基金是否較非使用主流永續投資策略之基金有較佳之風險調整報酬。結果顯示，CAPM模型中，有採主流永續投資策略之基金並不具較佳的Alpha表現，在將穩健性檢定下，也得出並採用主流永續投資策略與Alpha間並無顯著關聯。
The study examines whether funds with mainstream sustainable investing strategies have better risk-adjusted returns than funds that do not use mainstream sustainable investing strategies. The results show that in the CAPM model, funds that adopt mainstream sustainable investment strategies do not have better Alpha performance. Under the robustness test, it is also concluded that there is no significant correlation between adopting mainstream sustainable investment strategies and Alpha performance.參考文獻 1.Amel-Zadeh, A., & Serafeim, G. (2018). Why and how investors use ESG information： Evidence from a global survey. Financial Analysts Journal, 74(3), 87-103.2.Barber, B. M., Morse, A., & Yasuda, A. (2021). Impact investing. Journal of Financial Economics, 139(1), 162-185.3.Barko, T., Cremers, M., & Renneboog, L. (2021). Shareholder engagement on environmental, social, and governance performance. Journal of Business Ethics, 1-36.4.Barnett, M. L., and Salomon, R. M. (2006). “Beyond dichotomy： The curvilinear relationship between social responsibility and financial performance.” Strategic Management Journal, 27 (11)： 1101-1122.5.Bauer, R., Koedijk, K., & Otten, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance, 29(7), 1751-1767.6.Brav, A., Jiang, W., Partnoy, F., & Thomas, R. (2008). Hedge fund activism, corporate governance, and firm performance. The Journal of Finance, 63(4), 1729-1775.7.Capelle‐Blancard, G., & Monjon, S. (2014). The performance of socially responsible funds： does the screening process matter?. European Financial Management, 20(3), 494-520.8.Chen, J., Hong, H., Huang, M., & Kubik, J. D. (2004). Does fund size erode mutual fund performance? The role of liquidity and organization. American Economic Review, 94(5), 1276-1302.9.Clarkin, J. E., & Cangioni, C. L. (2016). Impact investing： A primer and review of the literature. Entrepreneurship Research Journal, 6(2), 135-173.10.Cole, S., Melecky, M., Mölders, F., & Reed, T. (2020). Long-run Returns to Impact Investing in Emerging Markets and Developing Economies (No. w27870). National Bureau of Economic Research.11.Eckhart, M. (2020). Financial Regulations and ESG Investing： Looking Back and Forward. In Values at Work (pp. 211-228). Palgrave Macmillan, Cham.12.Eurosif. (2014). European SRI study. Brussels： Eurosif.13.Fabozzi, F. J., Ma, K. C., & Oliphant, B. J. (2008). Sin stock returns. The Journal of Portfolio Management, 35(1), 82-94.14.Fama, E. F. (1960). Efficient market hypothesis. Diss. PhD Thesis, Ph. D. dissertation.15.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.16.Freeman, R. E. (1984). Strategic management： a stakeholder approach.17.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), 210-233.18.Global Sustainable Investment Alliance(2020). Global Sustainable Investment Review 2020.19.Hong, H., & Kacperczyk, M. (2009). The price of sin： The effects of social norms on markets. Journal of financial economics, 93(1), 15-3620.Ielasi, F., Rossolini, M., & Limberti, S. (2018). Sustainability-themed mutual funds： an empirical examination of risk and performance. The Journal of Risk Finance.21.Ielasi, F., & Rossolini, M. (2019). Responsible or thematic? The true nature of sustainability-themed mutual funds. Sustainability, 11(12), 3304.22.Kaiser, L. (2020). ESG integration： value, growth and momentum. Journal of Asset Management, 21(1), 32-51.23.Markowitz, H. (1952). Portfolio Selection in The Journal of Finance Vol. 7.24.Martin, M. (2013). Making impact investible.25.Matallín-Sáez, J. C., Soler-Domínguez, A., Tortosa-Ausina, E., & de Mingo-López, D. V. (2019). Ethical strategy focus and mutual fund management： Performance and persistence. Journal of cleaner production, 213, 618-633.26.Nelson, J. M. (2006). The “CalPERS effect” revisited again. Journal of Corporate Finance, 12(2), 187-213.27.Newey, W. K., & West, K. D. (1986). A simple, positive semi-definite, heteroskedasticity and autocorrelationconsistent covariance matrix.28.Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193.29.Principles for Responsible Investment. Principles for Responsible Investment Annual Report 2021.30.Renneboog, L., Ter Horst, J., & Zhang, C. (2008). Socially responsible investments： Institutional aspects, performance, and investor behavior. Journal of banking & finance, 32(9), 1723-1742.31.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), 302-322.32.Sandberg, J., Juravle, C., Hedesström, T. M., & Hamilton, I. (2009). The heterogeneity of socially responsible investment. Journal of Business Ethics, 87(4), 519-533.33.Townsend, B. (2020). From sri to esg： The origins of socially responsible and sustainable investing. The Journal of Impact and ESG Investing, 1(1), 10-25.34.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. 描述 碩士
國立政治大學
財務管理學系
108357030資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108357030 資料類型 thesis dc.contributor.advisor 李志宏 zh_TW dc.contributor.author (作者) 黃晨綱 zh_TW dc.contributor.author (作者) Huang, Chen-Gang en_US dc.creator (作者) 黃晨綱 zh_TW dc.creator (作者) Huang, Chen-Gang en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-三月-2022 16:40:36 (UTC+8) - dc.date.available 1-三月-2022 16:40:36 (UTC+8) - dc.date.issued (上傳時間) 1-三月-2022 16:40:36 (UTC+8) - dc.identifier (其他 識別碼) G0108357030 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/139142 - 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) 108357030 zh_TW dc.description.abstract (摘要) 本研究探討主流永續投資策略之基金是否較非使用主流永續投資策略之基金有較佳之風險調整報酬。結果顯示，CAPM模型中，有採主流永續投資策略之基金並不具較佳的Alpha表現，在將穩健性檢定下，也得出並採用主流永續投資策略與Alpha間並無顯著關聯。 zh_TW dc.description.abstract (摘要) The study examines whether funds with mainstream sustainable investing strategies have better risk-adjusted returns than funds that do not use mainstream sustainable investing strategies. The results show that in the CAPM model, funds that adopt mainstream sustainable investment strategies do not have better Alpha performance. Under the robustness test, it is also concluded that there is no significant correlation between adopting mainstream sustainable investment strategies and Alpha performance. en_US dc.description.tableofcontents 第一章 緒論 7第一節 研究動機與目的 7第二節 研究架構 8第二章 文獻回顧 9第一節 永續投資 9第二節 參與公司治理 10第三節 ESG整合 11第四節 影響力投資 11第五節 篩選策略 12第六節 永續主題投資 13第三章 研究方法 14第一節 研究樣本 14第二節 研究假說 16第三節 實證模型 17第四章 實證結果分析 19第一節 敘述統計 19第二節 實證結果分析 21第五章 結論 24第一節 研究結論 24第二節 研究限制與建議 24第六章 附錄 25參考文獻 27 zh_TW dc.format.extent 1107928 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108357030 en_US dc.subject (關鍵詞) ESG zh_TW dc.subject (關鍵詞) SRI zh_TW dc.subject (關鍵詞) 主流永續策略 zh_TW dc.subject (關鍵詞) 基金 zh_TW dc.subject (關鍵詞) 風險調整報酬 zh_TW dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) SRI en_US dc.subject (關鍵詞) Mainstream sustainable investment strategies en_US dc.subject (關鍵詞) Funds en_US dc.subject (關鍵詞) Risk-adjusted returns en_US dc.title (題名) 增進風險調整報酬的永續主題策略之研究 zh_TW dc.title (題名) A Study on the Sustainable Investing Strategy of Enhancing Risk-Adjusted Return en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1.Amel-Zadeh, A., & Serafeim, G. (2018). Why and how investors use ESG information： Evidence from a global survey. Financial Analysts Journal, 74(3), 87-103.2.Barber, B. M., Morse, A., & Yasuda, A. (2021). Impact investing. Journal of Financial Economics, 139(1), 162-185.3.Barko, T., Cremers, M., & Renneboog, L. (2021). Shareholder engagement on environmental, social, and governance performance. Journal of Business Ethics, 1-36.4.Barnett, M. L., and Salomon, R. M. (2006). “Beyond dichotomy： The curvilinear relationship between social responsibility and financial performance.” Strategic Management Journal, 27 (11)： 1101-1122.5.Bauer, R., Koedijk, K., & Otten, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance, 29(7), 1751-1767.6.Brav, A., Jiang, W., Partnoy, F., & Thomas, R. (2008). Hedge fund activism, corporate governance, and firm performance. The Journal of Finance, 63(4), 1729-1775.7.Capelle‐Blancard, G., & Monjon, S. (2014). The performance of socially responsible funds： does the screening process matter?. European Financial Management, 20(3), 494-520.8.Chen, J., Hong, H., Huang, M., & Kubik, J. D. (2004). Does fund size erode mutual fund performance? The role of liquidity and organization. American Economic Review, 94(5), 1276-1302.9.Clarkin, J. E., & Cangioni, C. L. (2016). Impact investing： A primer and review of the literature. Entrepreneurship Research Journal, 6(2), 135-173.10.Cole, S., Melecky, M., Mölders, F., & Reed, T. (2020). Long-run Returns to Impact Investing in Emerging Markets and Developing Economies (No. w27870). National Bureau of Economic Research.11.Eckhart, M. (2020). Financial Regulations and ESG Investing： Looking Back and Forward. In Values at Work (pp. 211-228). Palgrave Macmillan, Cham.12.Eurosif. (2014). European SRI study. Brussels： Eurosif.13.Fabozzi, F. J., Ma, K. C., & Oliphant, B. J. (2008). Sin stock returns. The Journal of Portfolio Management, 35(1), 82-94.14.Fama, E. F. (1960). Efficient market hypothesis. Diss. PhD Thesis, Ph. D. dissertation.15.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.16.Freeman, R. E. (1984). Strategic management： a stakeholder approach.17.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), 210-233.18.Global Sustainable Investment Alliance(2020). Global Sustainable Investment Review 2020.19.Hong, H., & Kacperczyk, M. (2009). The price of sin： The effects of social norms on markets. Journal of financial economics, 93(1), 15-3620.Ielasi, F., Rossolini, M., & Limberti, S. (2018). Sustainability-themed mutual funds： an empirical examination of risk and performance. The Journal of Risk Finance.21.Ielasi, F., & Rossolini, M. (2019). Responsible or thematic? The true nature of sustainability-themed mutual funds. Sustainability, 11(12), 3304.22.Kaiser, L. (2020). ESG integration： value, growth and momentum. Journal of Asset Management, 21(1), 32-51.23.Markowitz, H. (1952). Portfolio Selection in The Journal of Finance Vol. 7.24.Martin, M. (2013). Making impact investible.25.Matallín-Sáez, J. C., Soler-Domínguez, A., Tortosa-Ausina, E., & de Mingo-López, D. V. (2019). Ethical strategy focus and mutual fund management： Performance and persistence. Journal of cleaner production, 213, 618-633.26.Nelson, J. M. (2006). The “CalPERS effect” revisited again. Journal of Corporate Finance, 12(2), 187-213.27.Newey, W. K., & West, K. D. (1986). A simple, positive semi-definite, heteroskedasticity and autocorrelationconsistent covariance matrix.28.Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193.29.Principles for Responsible Investment. Principles for Responsible Investment Annual Report 2021.30.Renneboog, L., Ter Horst, J., & Zhang, C. (2008). Socially responsible investments： Institutional aspects, performance, and investor behavior. Journal of banking & finance, 32(9), 1723-1742.31.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), 302-322.32.Sandberg, J., Juravle, C., Hedesström, T. M., & Hamilton, I. (2009). The heterogeneity of socially responsible investment. Journal of Business Ethics, 87(4), 519-533.33.Townsend, B. (2020). From sri to esg： The origins of socially responsible and sustainable investing. The Journal of Impact and ESG Investing, 1(1), 10-25.34.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. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200176 en_US
