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題名 考量ESG評級不一致下ESG投資之探討
A Study of ESG Investing considering ESG Rating Uncertainty作者 陳又瑄
Chen, Yu-Hsuan貢獻者 楊曉文
Yang, Sharon
陳又瑄
Chen, Yu-Hsuan關鍵詞 ESG
ESG 評級不一致
非系統性風險
下檔風險
動能策略
ESG
ESG rating uncertainty
Idiosyncratic risk
Downside risk
Momentum strategy日期 2023 上傳時間 6-Jul-2023 16:47:12 (UTC+8) 摘要 本研究旨在探討將ESG評級不一致議題納入ESG投資考量的重要性。ESG評級不一致代表評級機構間對同一家公司的永續表現看法不一致，本研究以明晟(MSCI)、標普(S&P)及路孚特(Refinitiv)三家評級機構的ESG分數衡量ESG評級不一致，並以2017年至2022年美國市場資料進行分析。在考量ESG評級不一致後，本研究進行兩個議題的研究，第一探討ESG評級與投資風險的關係，其中衡量之風險類別包括總風險、非系統性風險以及下檔風險。第二延伸Chen and Yang (2021)之ESG動能策略，建立考量ESG評級不一致的動能策略。本研究的發現可歸結為以下三點：(1)當ESG評級不一致程度低時，ESG評級與投資風險有顯著反向關係。(2)ESG分數高的公司ESG評級不一致與投資風險有顯著正向關係。(3)ESG評級不一致動能策略有顯著正報酬。透過三點研究發現，本研究顯現將ESG評級不一致議題納入ESG投資考量的重要性。
This paper investigates the importance of incorporating the issue of ESG rating uncertainty into ESG investment considerations. ESG rating uncertainty refers to the divergence of ratings for the same firm issued by different ESG rating providers. I collect and study ESG ratings from three prominent ESG rating providers for firms in the US market between 2017 and 2022. I use data from MSCI, S&P Global, and Refinitiv. After considering ESG rating uncertainty, I pursue two objectives: First, I study the relationship between ESG rating and investment risk, which includes total risk, idiosyncratic risk, and downside risk. Second, I construct ESG rating uncertainty momentum strategy, following the approach suggested by Chen and Yang (2021). The empirical findings of this study can be concluded in three points. (1) The ESG rating is negatively associated with investment risk among stocks with low ESG rating uncertainty. (2) The investment risk is positively associated with ESG rating uncertainty among stocks with high ESG ratings. (3) The returns to ESG rating uncertainty momentum strategy are significantly positive. The results call for greater attention to incorporate the issue of ESG rating uncertainty into ESG investment considerations.參考文獻 Avramov, D., Cheng, S., Lioui, A., Tarelli, A. (2022). Sustainable investing with ESG rating uncertainty. Journal of Financial Economics, 145 (2), 642-664.Atilgan, Y., Bali, T. G., Ozgur Demirtas, K., & Doruk Gunaydin, A. (2020). Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns. Journal of Financial Economics, 135(3), 725–753.Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203–228.Berg, F., J. F. K¨olbel, and R. Rigobon. (2022). Aggregate confusion: The divergence of ESG ratings. Review of Finance, 26(6), 1315-1344.Bali, T. G., Ozgur Demirtas, K., & Levy, H. (2009). Is there an intertemporal relation between downside risk and expected returns? The Journal of Financial and Quantitative Analysts, 44(4), 883–909.Boyer, B., Mitton, T., & Vorkink, K. (2010). Expected idiosyncratic skewness. The Review of Financial Studies, 23(1), 169–202.Christensen, D. M., Serafeim, G., and Sikochi, A. (2021). Why is corporate virtue in the eye of the beholder? The case of ESG ratings, The Accounting Review, 97(1), 147-175.Chen, H.Y., and Yang, S. S. (2020). Do Investors Exaggerate Corporate ESG Information? Evidence of the ESG Momentum Effect in the Taiwanese Market. Pacific-Basin Finance Journal. 63, 101407.Deaves, R. (2005). Flawed self-directed retirement account decision-making and its implications. Canadian Investment Review (Spring), 6–15.De Bondt, Werner F. M. and Richard Thaler. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793-805.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56.Gibson Brandon, R., Krueger, P., and Schmidt, P. S. (2021). ESG rating disagreement and stock returns, Financial Analysts Journal, 77, 104–127.Jegadeesh, N. and Titman, S. (1993). Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance, 48, 65–91.Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics & Statistics, 47(1), 13–37.Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768–783.Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442.Shefrin, H., and M. Statman. (1995). Making Sense of Beta, Size and Book-to-Market. Journal of portfolio management, 21(2), 26-34.Tensie Whelan, Ulrich Atz, Tracy Van Holt, Casey Clark. (2021). ESG and Financial Performance: Uncovering the Relationship by Aggregating Evidence from 1,000 Plus Studies Published between 2015-2020, NYU Stern Center for Sustainable Bussiness, fromhttps://www.stern.nyu.edu/sites/default/files/assets/documents/NYU-RAM_ESG-Paper_2021%20Rev_0.pdf 描述 碩士
國立政治大學
金融學系
110352017資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110352017 資料類型 thesis dc.contributor.advisor 楊曉文 zh_TW dc.contributor.advisor Yang, Sharon en_US dc.contributor.author (Authors) 陳又瑄 zh_TW dc.contributor.author (Authors) Chen, Yu-Hsuan en_US dc.creator (作者) 陳又瑄 zh_TW dc.creator (作者) Chen, Yu-Hsuan en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 16:47:12 (UTC+8) - dc.date.available 6-Jul-2023 16:47:12 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 16:47:12 (UTC+8) - dc.identifier (Other Identifiers) G0110352017 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145861 - 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) 110352017 zh_TW dc.description.abstract (摘要) 本研究旨在探討將ESG評級不一致議題納入ESG投資考量的重要性。ESG評級不一致代表評級機構間對同一家公司的永續表現看法不一致，本研究以明晟(MSCI)、標普(S&P)及路孚特(Refinitiv)三家評級機構的ESG分數衡量ESG評級不一致，並以2017年至2022年美國市場資料進行分析。在考量ESG評級不一致後，本研究進行兩個議題的研究，第一探討ESG評級與投資風險的關係，其中衡量之風險類別包括總風險、非系統性風險以及下檔風險。第二延伸Chen and Yang (2021)之ESG動能策略，建立考量ESG評級不一致的動能策略。本研究的發現可歸結為以下三點：(1)當ESG評級不一致程度低時，ESG評級與投資風險有顯著反向關係。(2)ESG分數高的公司ESG評級不一致與投資風險有顯著正向關係。(3)ESG評級不一致動能策略有顯著正報酬。透過三點研究發現，本研究顯現將ESG評級不一致議題納入ESG投資考量的重要性。 zh_TW dc.description.abstract (摘要) This paper investigates the importance of incorporating the issue of ESG rating uncertainty into ESG investment considerations. ESG rating uncertainty refers to the divergence of ratings for the same firm issued by different ESG rating providers. I collect and study ESG ratings from three prominent ESG rating providers for firms in the US market between 2017 and 2022. I use data from MSCI, S&P Global, and Refinitiv. After considering ESG rating uncertainty, I pursue two objectives: First, I study the relationship between ESG rating and investment risk, which includes total risk, idiosyncratic risk, and downside risk. Second, I construct ESG rating uncertainty momentum strategy, following the approach suggested by Chen and Yang (2021). The empirical findings of this study can be concluded in three points. (1) The ESG rating is negatively associated with investment risk among stocks with low ESG rating uncertainty. (2) The investment risk is positively associated with ESG rating uncertainty among stocks with high ESG ratings. (3) The returns to ESG rating uncertainty momentum strategy are significantly positive. The results call for greater attention to incorporate the issue of ESG rating uncertainty into ESG investment considerations. en_US dc.description.tableofcontents 第一章 緒論 1第二章 文獻回顧 4第一節 ESG評級定義 4第二節 ESG評級不一致相關文獻 5第三節 ESG動能策略相關文獻 8第四節 研究假說 10第三章 研究方法 12第一節 投資組合分組方式 12第二節 風險變數衡量 13第三節 ESG不一致動能策略建構 15第四章 實證分析與結果 17第一節 研究資料及敘述統計 17第二節 風險指標分析 21第三節 ESG不一致動能策略分析 26第五章 結論 36第一節 研究結論 36第二節 研究限制與建議 37第六章 參考文獻 39 zh_TW dc.format.extent 2055222 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110352017 en_US dc.subject (關鍵詞) ESG zh_TW dc.subject (關鍵詞) ESG 評級不一致 zh_TW dc.subject (關鍵詞) 非系統性風險 zh_TW dc.subject (關鍵詞) 下檔風險 zh_TW dc.subject (關鍵詞) 動能策略 zh_TW dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) ESG rating uncertainty en_US dc.subject (關鍵詞) Idiosyncratic risk en_US dc.subject (關鍵詞) Downside risk en_US dc.subject (關鍵詞) Momentum strategy en_US dc.title (題名) 考量ESG評級不一致下ESG投資之探討 zh_TW dc.title (題名) A Study of ESG Investing considering ESG Rating Uncertainty en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Avramov, D., Cheng, S., Lioui, A., Tarelli, A. (2022). Sustainable investing with ESG rating uncertainty. Journal of Financial Economics, 145 (2), 642-664.Atilgan, Y., Bali, T. G., Ozgur Demirtas, K., & Doruk Gunaydin, A. (2020). Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns. Journal of Financial Economics, 135(3), 725–753.Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203–228.Berg, F., J. F. K¨olbel, and R. Rigobon. (2022). Aggregate confusion: The divergence of ESG ratings. Review of Finance, 26(6), 1315-1344.Bali, T. G., Ozgur Demirtas, K., & Levy, H. (2009). Is there an intertemporal relation between downside risk and expected returns? The Journal of Financial and Quantitative Analysts, 44(4), 883–909.Boyer, B., Mitton, T., & Vorkink, K. (2010). Expected idiosyncratic skewness. The Review of Financial Studies, 23(1), 169–202.Christensen, D. M., Serafeim, G., and Sikochi, A. (2021). Why is corporate virtue in the eye of the beholder? The case of ESG ratings, The Accounting Review, 97(1), 147-175.Chen, H.Y., and Yang, S. S. (2020). Do Investors Exaggerate Corporate ESG Information? Evidence of the ESG Momentum Effect in the Taiwanese Market. Pacific-Basin Finance Journal. 63, 101407.Deaves, R. (2005). Flawed self-directed retirement account decision-making and its implications. Canadian Investment Review (Spring), 6–15.De Bondt, Werner F. M. and Richard Thaler. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793-805.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56.Gibson Brandon, R., Krueger, P., and Schmidt, P. S. (2021). ESG rating disagreement and stock returns, Financial Analysts Journal, 77, 104–127.Jegadeesh, N. and Titman, S. (1993). Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance, 48, 65–91.Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics & Statistics, 47(1), 13–37.Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768–783.Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442.Shefrin, H., and M. Statman. (1995). Making Sense of Beta, Size and Book-to-Market. Journal of portfolio management, 21(2), 26-34.Tensie Whelan, Ulrich Atz, Tracy Van Holt, Casey Clark. (2021). ESG and Financial Performance: Uncovering the Relationship by Aggregating Evidence from 1,000 Plus Studies Published between 2015-2020, NYU Stern Center for Sustainable Bussiness, fromhttps://www.stern.nyu.edu/sites/default/files/assets/documents/NYU-RAM_ESG-Paper_2021%20Rev_0.pdf zh_TW
