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題名 環境、社會和公司治理（ESG）篩選與台股產業投資之績效探討
ESG ratings and relative stock performance among industry peers in Taiwan作者 洪紫瑄
Hong, Zih-Syuan貢獻者 鍾令德
洪紫瑄
Hong, Zih-Syuan關鍵詞 ESG投資
社會責任投資
台股產業
ESG rating
ESG investing
Socially responsible investing
Industry peers in Taiwan日期 2022 上傳時間 1-Aug-2022 17:04:30 (UTC+8) 摘要 ESG（Environmental, Social, and Governance）原則逐年受到重視，許多投資人陸續實踐社會責任投資（Socially Responsible Investment, SRI）。然而，以ESG為因子的篩選機制是否能提高投資績效，仍是個待解的問題。因此，本研究欲探討在台灣各個產業下，以ESG的篩選機制，來分析其報酬率，且使用多空策略下，相較於台灣加權指數是否具有顯著的超額報酬。本研究之研究對象為台灣上市公司，且有ESG相關數據的公司，共計140家，研究期間為2010年1月至2021年11月，企業的調整後股價月報酬取自台灣經濟新報資料庫TEJ，Refinitiv ESG評分則是主要來自Thomson Reuters Eikon資訊平台，資料期間為2010年至2020年的年頻率數據。實證結果發現在各產業下，以買ESG相關評分較佳的企業股票（前30%）和賣ESG相關表現較差的企業股票（後30%）的投資組合為多空策略，在10%的顯著水準下，僅有3個投資組合具有顯著的超額報酬，分別是以ESG分數作為篩選方式的整體產業，以ESG和公司治理分數作為篩選方式的高科技產品製造業，而高科技產品製造業的超額報酬大於整體產業，雖然大部分的投資組合，皆未有顯著的超額報酬，與國外文獻部分相符，但投資於ESG投資組合能提供企業推行可持續發展的誘因。此外，從產業下來看，消費財業和金融業相關的ESG評分高於製造業。相較於其他產業，高科技產品服務業和製造業不具顯著的報酬率。雖然以ESG排序的多空策略並不全皆能產生顯著的超額報酬，但股票報酬率與ESG評分通常呈現正趨勢。
ESG (Environmental, Social, and Governance) has played an important role in the financial market year by year, and many investors begin to engage in SRI (Socially Responsible Investment). However, whether ESG screening can enhance investment returns is still open to debate. Hence, this thesis analyzes the investment performance of ESG screening for industry peers in Taiwan and tests whether these ESG rating sorted long-short strategies can generate significant excess returns compared to the TAIEX (Taiwan Capitalization Weighted Stock Index).My sample consists of 140 Taiwan public companies that have ESG ratings, and the sampling period is from January 2010 to November 2021. Monthly stock returns are from the TEJ database and the annual Refinitiv ESG ratings are from the Thomson Reuters Eikon platform.I find that only three long-short strategies constructed from buying stocks of relatively good ESG companies (top 30%) and short-selling stocks of relatively bad ESG companies (bottom 30%) can generate significant excess returns under 10% significant level. These investment portfolios include overall industries by using ESG Score screening, high-tech product producers by using ESG Score, and Governance Pillar Score screening. Additionally, the excess stock return of high-tech product producers is higher than overall industries. Although most of the investment portfolios do not generate significant excess returns, in line with the SRI literature, ESG investing is beneficial to the society by incentivizing sustainable development in the corporate sector.Moreover, the ESG ratings of consumer industry and finance industry are on average higher than manufacturing industry. The stock returns of high-tech service producers and manufacturing industry do not outperform the other industries. Even though most ESG-sorted strategies do not produce significant returns, these exists a general positive trend between ESG ratings and stock returns.參考文獻 Alessandrini, F., & Jondeau, E. (2020). ESG Investing: From Sin Stocks to Smart Beta, Journal of Portfolio Management, 46(3), 75–94.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.Barnett, M. L., & Salomon, R. M. (2006). Beyond dichotomy: the curvilinear relationship between social responsibility and financial performance, Strategic Management Journal, 27(11), 1101–1122.Bauer, Koedijk, K., & Otten, R. (2005). International Evidence on Ethical Mutual Fund Performance and Investment Style, Journal of Banking & Finance, 29(7), 1751–1767.Bollen, N. P. B. (2007). Mutual Fund Attributes and Investor Behavior, Journal of Financial and Quantitative Analysis, 42(3), 683–708.Broadstock, D., 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.Diltz, J. D. (1995). Does Social Screening Affect Portfolio Performance?, The Journal of Investing, 4, 64–69.Duque-Grisales, E. & Aguilera-Caracuel, J. (2021). Environmental, Social and Governance (ESG) Scores and Financial Performance of Multilatinas: Moderating Effects ofGeographic International Diversification and Financial Slack, Journal of Business Ethics, 168(2), 315–334.Edmans, A. (2011). Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices, Journal of Financial Economics, 101(3), 621–640.El Ghoul, S., Guedhami, O., Kwok, C. C. Y., & Mishra, D. (2011). Does Corporate Social Responsibility Affect the Cost of Capital?, Journal of Banking & Finance, 35(9), 2388–2406.Eurosif. (2021). Responsible Investment Strategies. Eurosif. Retrieved from: https://www.eurosif.org/responsible-investment-strategies/.Garcia, A. S., Mendes-Da-Silva, W., & Orsato, R. J. (2017). Sensitive Industries Produce Better ESG Performance: Evidence from Emerging Markets, Journal of Cleaner Production, 150, 135–147.Guerard, J. B. (1997). Is there a Cost to Being Socially Responsible in Investing, Journal of Forecasting, 16(7), 475–490.Kempf, A., & P. Osthoff. (2007). The Effect of Socially Responsible Investing on Portfolio Performance, European Financial Management, 13(5), 908–922.Luo, X. & Bhattacharya, C. B. (2009). The Debate over Doing Good: Corporate Social Performance, Strategic Marketing Levers, and Firm-idiosyncratic Risk, Journal of Marketing, 73, 198–213.Markowitz, H. (1952). Portfolio Selection, Journal of Finance, 7(1), 77–91.Principles for Responsible Investment. (2021). What are the Six Principles for Responsible Investment. PRI. Retrieved from: https://www.unpri.org/about-us/about-the-pri.Refinitiv. (2016). Environmental, Social and Governance Scores from Refinitiv. Refinitiv. Retrieved from: https://www.refinitiv.com/content/dam/marketing/en_us/documents/methodology/refinitiv-esg-scores-methodology.pdf.Renneboog, T. H. J. & Zhang, C. (2008). Socially Responsible Investments: Institutional Aspects, Performance, and Investor Behavior, Journal of Banking & Finance, 32(9), 1723–1742.Sava, A. (2016). Does Socially Responsible Investing Make Financial Sense. The Wall Street Journal. Retrieved from: https://www.wsj.com/articles/does-socially-responsible-investing-make-financial-sense-1456715888.Schueth, S. (2003). Socially Responsible Investing in the United States, Journal of BusinessEthics, 43(3), 189–194.Schuler, D. A. & Cording, M. (2006). A Corporate Social Performance-Corporate Financial Performance Behavioral Model for Consumers, Academy of Management Review, 31(3), 540–558.Statman, M., & Glushkov, D. (2009). The Wages of Social Responsibility, Financial Analysts Journal, 65 (4), 33–46.van Duuren, E. (2016). ESG Integration and the Investment Management Process: Fundamental Investing Reinvented, Journal of Business Ethics, 138(3), 525–533.Woll, L. (2020). US SIF Trends Report 2020 Executive Summary. US SIF Foundation. Retrieved from: https://www.ussif.org/files/US%20SIF%20Trends%20Report%202020%20Executive%20Summary.pdf.證券期貨局證券發行組（2021）。金管會提醒上市櫃公司及時因應ESG資訊揭露措施。金融監督管理委員會。檢自：https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202111110001&dtable=News. 描述 碩士
國立政治大學
國際經營與貿易學系
109351024資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109351024 資料類型 thesis dc.contributor.advisor 鍾令德 zh_TW dc.contributor.author (Authors) 洪紫瑄 zh_TW dc.contributor.author (Authors) Hong, Zih-Syuan en_US dc.creator (作者) 洪紫瑄 zh_TW dc.creator (作者) Hong, Zih-Syuan en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Aug-2022 17:04:30 (UTC+8) - dc.date.available 1-Aug-2022 17:04:30 (UTC+8) - dc.date.issued (上傳時間) 1-Aug-2022 17:04:30 (UTC+8) - dc.identifier (Other Identifiers) G0109351024 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140971 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 109351024 zh_TW dc.description.abstract (摘要) ESG（Environmental, Social, and Governance）原則逐年受到重視，許多投資人陸續實踐社會責任投資（Socially Responsible Investment, SRI）。然而，以ESG為因子的篩選機制是否能提高投資績效，仍是個待解的問題。因此，本研究欲探討在台灣各個產業下，以ESG的篩選機制，來分析其報酬率，且使用多空策略下，相較於台灣加權指數是否具有顯著的超額報酬。本研究之研究對象為台灣上市公司，且有ESG相關數據的公司，共計140家，研究期間為2010年1月至2021年11月，企業的調整後股價月報酬取自台灣經濟新報資料庫TEJ，Refinitiv ESG評分則是主要來自Thomson Reuters Eikon資訊平台，資料期間為2010年至2020年的年頻率數據。實證結果發現在各產業下，以買ESG相關評分較佳的企業股票（前30%）和賣ESG相關表現較差的企業股票（後30%）的投資組合為多空策略，在10%的顯著水準下，僅有3個投資組合具有顯著的超額報酬，分別是以ESG分數作為篩選方式的整體產業，以ESG和公司治理分數作為篩選方式的高科技產品製造業，而高科技產品製造業的超額報酬大於整體產業，雖然大部分的投資組合，皆未有顯著的超額報酬，與國外文獻部分相符，但投資於ESG投資組合能提供企業推行可持續發展的誘因。此外，從產業下來看，消費財業和金融業相關的ESG評分高於製造業。相較於其他產業，高科技產品服務業和製造業不具顯著的報酬率。雖然以ESG排序的多空策略並不全皆能產生顯著的超額報酬，但股票報酬率與ESG評分通常呈現正趨勢。 zh_TW dc.description.abstract (摘要) ESG (Environmental, Social, and Governance) has played an important role in the financial market year by year, and many investors begin to engage in SRI (Socially Responsible Investment). However, whether ESG screening can enhance investment returns is still open to debate. Hence, this thesis analyzes the investment performance of ESG screening for industry peers in Taiwan and tests whether these ESG rating sorted long-short strategies can generate significant excess returns compared to the TAIEX (Taiwan Capitalization Weighted Stock Index).My sample consists of 140 Taiwan public companies that have ESG ratings, and the sampling period is from January 2010 to November 2021. Monthly stock returns are from the TEJ database and the annual Refinitiv ESG ratings are from the Thomson Reuters Eikon platform.I find that only three long-short strategies constructed from buying stocks of relatively good ESG companies (top 30%) and short-selling stocks of relatively bad ESG companies (bottom 30%) can generate significant excess returns under 10% significant level. These investment portfolios include overall industries by using ESG Score screening, high-tech product producers by using ESG Score, and Governance Pillar Score screening. Additionally, the excess stock return of high-tech product producers is higher than overall industries. Although most of the investment portfolios do not generate significant excess returns, in line with the SRI literature, ESG investing is beneficial to the society by incentivizing sustainable development in the corporate sector.Moreover, the ESG ratings of consumer industry and finance industry are on average higher than manufacturing industry. The stock returns of high-tech service producers and manufacturing industry do not outperform the other industries. Even though most ESG-sorted strategies do not produce significant returns, these exists a general positive trend between ESG ratings and stock returns. en_US dc.description.tableofcontents 第一章 緒論 7第一節 研究背景與動機 7第二節 研究目的 8第二章 文獻探討 10第一節 將ESG納入投資考量之原因與影響 10第二節 ESG投資是否帶來超額報酬 11第三節 ESG投資組合 12第三章 研究方法 15第一節 研究樣本及資料來源 15第二節 建構ESG投資組合與模型架構 17第四章 研究結果與分析 20第一節 敘述性分析 20第二節 實證結果分析 33第五章 結論與建議 38第一節 結論 38第二節 限制與建議 38參考文獻 39 zh_TW dc.format.extent 2246960 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109351024 en_US dc.subject (關鍵詞) ESG投資 zh_TW dc.subject (關鍵詞) 社會責任投資 zh_TW dc.subject (關鍵詞) 台股產業 zh_TW dc.subject (關鍵詞) ESG rating en_US dc.subject (關鍵詞) ESG investing en_US dc.subject (關鍵詞) Socially responsible investing en_US dc.subject (關鍵詞) Industry peers in Taiwan en_US dc.title (題名) 環境、社會和公司治理（ESG）篩選與台股產業投資之績效探討 zh_TW dc.title (題名) ESG ratings and relative stock performance among industry peers in Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Alessandrini, F., & Jondeau, E. (2020). ESG Investing: From Sin Stocks to Smart Beta, Journal of Portfolio Management, 46(3), 75–94.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.Barnett, M. L., & Salomon, R. M. (2006). Beyond dichotomy: the curvilinear relationship between social responsibility and financial performance, Strategic Management Journal, 27(11), 1101–1122.Bauer, Koedijk, K., & Otten, R. (2005). International Evidence on Ethical Mutual Fund Performance and Investment Style, Journal of Banking & Finance, 29(7), 1751–1767.Bollen, N. P. B. (2007). Mutual Fund Attributes and Investor Behavior, Journal of Financial and Quantitative Analysis, 42(3), 683–708.Broadstock, D., 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.Diltz, J. D. (1995). Does Social Screening Affect Portfolio Performance?, The Journal of Investing, 4, 64–69.Duque-Grisales, E. & Aguilera-Caracuel, J. (2021). Environmental, Social and Governance (ESG) Scores and Financial Performance of Multilatinas: Moderating Effects ofGeographic International Diversification and Financial Slack, Journal of Business Ethics, 168(2), 315–334.Edmans, A. (2011). Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices, Journal of Financial Economics, 101(3), 621–640.El Ghoul, S., Guedhami, O., Kwok, C. C. Y., & Mishra, D. (2011). Does Corporate Social Responsibility Affect the Cost of Capital?, Journal of Banking & Finance, 35(9), 2388–2406.Eurosif. (2021). Responsible Investment Strategies. Eurosif. Retrieved from: https://www.eurosif.org/responsible-investment-strategies/.Garcia, A. S., Mendes-Da-Silva, W., & Orsato, R. J. (2017). Sensitive Industries Produce Better ESG Performance: Evidence from Emerging Markets, Journal of Cleaner Production, 150, 135–147.Guerard, J. B. (1997). Is there a Cost to Being Socially Responsible in Investing, Journal of Forecasting, 16(7), 475–490.Kempf, A., & P. Osthoff. (2007). The Effect of Socially Responsible Investing on Portfolio Performance, European Financial Management, 13(5), 908–922.Luo, X. & Bhattacharya, C. B. (2009). The Debate over Doing Good: Corporate Social Performance, Strategic Marketing Levers, and Firm-idiosyncratic Risk, Journal of Marketing, 73, 198–213.Markowitz, H. (1952). Portfolio Selection, Journal of Finance, 7(1), 77–91.Principles for Responsible Investment. (2021). What are the Six Principles for Responsible Investment. PRI. Retrieved from: https://www.unpri.org/about-us/about-the-pri.Refinitiv. (2016). Environmental, Social and Governance Scores from Refinitiv. Refinitiv. Retrieved from: https://www.refinitiv.com/content/dam/marketing/en_us/documents/methodology/refinitiv-esg-scores-methodology.pdf.Renneboog, T. H. J. & Zhang, C. (2008). Socially Responsible Investments: Institutional Aspects, Performance, and Investor Behavior, Journal of Banking & Finance, 32(9), 1723–1742.Sava, A. (2016). Does Socially Responsible Investing Make Financial Sense. The Wall Street Journal. Retrieved from: https://www.wsj.com/articles/does-socially-responsible-investing-make-financial-sense-1456715888.Schueth, S. (2003). Socially Responsible Investing in the United States, Journal of BusinessEthics, 43(3), 189–194.Schuler, D. A. & Cording, M. (2006). A Corporate Social Performance-Corporate Financial Performance Behavioral Model for Consumers, Academy of Management Review, 31(3), 540–558.Statman, M., & Glushkov, D. (2009). The Wages of Social Responsibility, Financial Analysts Journal, 65 (4), 33–46.van Duuren, E. (2016). ESG Integration and the Investment Management Process: Fundamental Investing Reinvented, Journal of Business Ethics, 138(3), 525–533.Woll, L. (2020). US SIF Trends Report 2020 Executive Summary. US SIF Foundation. Retrieved from: https://www.ussif.org/files/US%20SIF%20Trends%20Report%202020%20Executive%20Summary.pdf.證券期貨局證券發行組（2021）。金管會提醒上市櫃公司及時因應ESG資訊揭露措施。金融監督管理委員會。檢自：https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202111110001&dtable=News. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200740 en_US
