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題名 ESG評分和公司債報酬
ESG scores and return of corporate bonds
作者 陳仟袖
Chen, Chien-Hsiu
貢獻者 岳夢蘭
Yueh, Meng-Lan
陳仟袖
Chen, Chien-Hsiu
關鍵詞 企業社會責任
ESG
債券報酬
Corporate social responsibility
ESG
Bond return
日期 2023
上傳時間 2-Aug-2023 12:57:31 (UTC+8)
摘要 本研究採用2003年1月至2021年9月期間共4,518間美國企業所發行的債券資料及Refinitiv資料庫中的公司ESG分數，探討ESG與債券報酬間的關係。實證結果顯示，ESG分數與債券超額報酬呈負相關。以債券信用評等分類並控制風險因子後，投機級債券的ESG分數與超額報酬呈正相關，投資級債券則呈小程度負相關。
     此外，由環境、社會、公司治理項目分數的分析結果，顯示整體而言細項評分與ESG總分對債券超額報酬的影響趨勢一致，將樣本依信用評等分組並控制風險因子後，對於投機級債券，環境分數的影響最為顯著、公司治理分數無顯著影響；對於投資級債券，則為公司治理分數的影響較社會分數及環境分數顯著。
This study examines the relationship between ESG and bond return, using bond data of 4,518 US companies from January 2003 to September 2021 and companies’ ESG scores from Refinitiv database. The empirical results show that ESG scores are negatively correlated with bond excess returns. When categorized by bond credit rating and controlling risk, ESG scores for speculative-grade bonds are positively correlated with risk-adjusted excess returns, while investment-grade bonds are negatively correlated with risk-adjusted excess returns for a small degree.
     In addition, the analysis results of environmental, social, and governance scores show that the sub-item scores and ESG total scores have the similar impact on bond excess returns. After classifying samples according to credit ratings, for speculative-grade bonds, environmental score shows the most significant impact on risk-adjusted excess return, while governance score does not show significant impact; for investment-grade bonds, the impact of governance score is more significant than social and environmental scores.
參考文獻 Apergis, N., Poufinas, T., & Antonopoulos, A. (2022). ESG scores and cost of debt. Energy Economics, 112, 106186.
     Ashwin Kumar, N. C., Smith, C., Badis, L., Wang, N., Ambrosy, P., & Tavares, R. (2016). ESG factors and risk-adjusted performance: A new quantitative model. Journal of Sustainable Finance & Investment, 6(4), 292-300.
     Avramov, D., Chordia, T., Jostova, G., & Philipov, A. (2007). Momentum and credit rating. The Journal of Finance, 62(5), 2503-2520.
     Bai, J., Bali, T. G., & Wen, Q. (2019). Common risk factors in the cross-section of corporate bond returns. Journal of Financial Economics, 131(3), 619-642.
     Bai, J., Bali, T. G., & Wen, Q. (2021). Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence. Journal of Financial Economics, 142(3), 1017-1037.
     Baker, M., Bergstresser, D., Serafeim, G., & Wurgler, J. (2022). The pricing and ownership of US green bonds. Annual Review of Financial Economics, 14, 415-437.
     Bannier, C. E., Bofinger, Y., & Rock, B. (2019). Doing safe by doing good: ESG investing and corporate social responsibility in the US and Europe (No. 621). CFS Working Paper Series.
     Bao, J., Pan, J., & Wang, J. (2011). The illiquidity of corporate bonds. The Journal of Finance, 66(3), 911-946.
     Bauer, R., & Hann, D. (2010). Corporate environmental management and credit risk. Available at SSRN 1660470.
     Ben Slimane, M., Le Guenedal, T., Roncalli, T., & Sekine, T. (2019). ESG investing in corporate bonds: Mind the gap. Théo and Roncalli, Thierry and Sekine, Takaya, ESG Investing in Corporate Bonds: Mind the Gap (November 30, 2019).
     Bessembinder, H., Panayides, M., & Venkataraman, K. (2009). Hidden liquidity: an analysis of order exposure strategies in electronic stock markets. Journal of Financial Economics, 94(3), 361-383.
     Bhojraj, S., & Sengupta, P. (2003). Effect of corporate governance on bond ratings and yields: The role of institutional investors and outside directors. Journal of Business, 76(3), 455-475.
     Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35(3), 97-116.
     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.
     Brennan, M. J., Chordia, T., & Subrahmanyam, A. (1998). Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics, 49(3), 345-373.
     Elton, E. J., Gruber, M. J., & Blake, C. R. (1995). Fundamental economic variables, expected returns, and bond fund performance. The Journal of Finance, 50(4), 1229-1256.
     Engelhardt, N., Ekkenga, J., & Posch, P. (2021). ESG ratings and stock performance during the COVID-19 crisis. Sustainability, 13(13), 7133.
     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.
     Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.
     Fatemi, A., Glaum, M., & Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global Finance Journal, 38, 45-64.
     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.
     Greenwood, R., & Hanson, S. G. (2013). Issuer quality and corporate bond returns. Review of Financial Studies, 26(6), 1483-1525.
     Halbritter, G., & Dorfleitner, G. (2015). The wages of social responsibility—where are they? A critical review of ESG investing. Review of Financial Economics, 26, 25-35.
     Hovakimian, A., Kayhan, A., & Titman, S. (2009). Credit rating targets. Available at SSRN 1098351.
     Jostova, G., Nikolova, S., Philipov, A., & Stahel, C. W. (2013). Momentum in corporate bond returns. Review of Financial Studies, 26(7), 1649-1693.
     Kaiser, L. (2020). ESG integration: Value, growth and momentum. Journal of Asset Management, 21(1), 32-51.
     Kim, S., & Li, Z. (2021). Understanding the impact of ESG practices in corporate finance. Sustainability, 13(7), 3746.
     Kim, S., Kumar, N., Lee, J., & Oh, J. (2022). ESG lending. In Proceedings of Paris December 2021 Finance Meeting EUROFIDAI-ESSEC.
     Li, H., Zhang, X., & Zhao, Y. (2022). ESG and firm`s default risk. Finance Research Letters, 47, 102713.
     Lin, H., Wang, J., & Wu, C. (2011). Liquidity risk and expected corporate bond returns. Journal of Financial Economics, 99(3), 628-650.
     Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social capital, trust, and firm performance: The value of corporate social responsibility during the financial crisis. Journal of Finance, 72(4), 1785-1824.
     Newey, W. K., & West, K. D. (1986). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix.
     Polbennikov, S., Desclée, A., Dynkin, L., & Maitra, A. (2016). ESG ratings and performance of corporate bonds. The Journal of Fixed Income, 26(1), 21-41.
     Preston, L. E., & O`bannon, D. P. (1997). The corporate social-financial performance relationship: A typology and analysis. Business & Society, 36(4), 419-429.
     Sassen, R., Hinze, A. K., & Hardeck, I. (2016). Impact of ESG factors on firm risk in Europe. Journal of Business Economics, 86, 867-904.
描述 碩士
國立政治大學
財務管理學系
110357003
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357003
資料類型 thesis
dc.contributor.advisor 岳夢蘭zh_TW
dc.contributor.advisor Yueh, Meng-Lanen_US
dc.contributor.author (Authors) 陳仟袖zh_TW
dc.contributor.author (Authors) Chen, Chien-Hsiuen_US
dc.creator (作者) 陳仟袖zh_TW
dc.creator (作者) Chen, Chien-Hsiuen_US
dc.date (日期) 2023en_US
dc.date.accessioned 2-Aug-2023 12:57:31 (UTC+8)-
dc.date.available 2-Aug-2023 12:57:31 (UTC+8)-
dc.date.issued (上傳時間) 2-Aug-2023 12:57:31 (UTC+8)-
dc.identifier (Other Identifiers) G0110357003en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146277-
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) 110357003zh_TW
dc.description.abstract (摘要) 本研究採用2003年1月至2021年9月期間共4,518間美國企業所發行的債券資料及Refinitiv資料庫中的公司ESG分數，探討ESG與債券報酬間的關係。實證結果顯示，ESG分數與債券超額報酬呈負相關。以債券信用評等分類並控制風險因子後，投機級債券的ESG分數與超額報酬呈正相關，投資級債券則呈小程度負相關。
     此外，由環境、社會、公司治理項目分數的分析結果，顯示整體而言細項評分與ESG總分對債券超額報酬的影響趨勢一致，將樣本依信用評等分組並控制風險因子後，對於投機級債券，環境分數的影響最為顯著、公司治理分數無顯著影響；對於投資級債券，則為公司治理分數的影響較社會分數及環境分數顯著。		zh_TW
dc.description.abstract (摘要) This study examines the relationship between ESG and bond return, using bond data of 4,518 US companies from January 2003 to September 2021 and companies’ ESG scores from Refinitiv database. The empirical results show that ESG scores are negatively correlated with bond excess returns. When categorized by bond credit rating and controlling risk, ESG scores for speculative-grade bonds are positively correlated with risk-adjusted excess returns, while investment-grade bonds are negatively correlated with risk-adjusted excess returns for a small degree.
     In addition, the analysis results of environmental, social, and governance scores show that the sub-item scores and ESG total scores have the similar impact on bond excess returns. After classifying samples according to credit ratings, for speculative-grade bonds, environmental score shows the most significant impact on risk-adjusted excess return, while governance score does not show significant impact; for investment-grade bonds, the impact of governance score is more significant than social and environmental scores.		en_US
dc.description.tableofcontents 誌謝 i
     摘要 ii
     Abstract iii
     目次 iv
     表次 v
     第一章 緒論 1
     第一節 研究動機 1
     第二節 研究目的 2
     第三節 研究架構 2
     第二章 文獻回顧 3
     第一節 ESG與公司價值 3
     第二節 ESG與公司債 4
     第三節 研究假說 5
     第三章 研究設計與方法 7
     第一節 研究樣本與資料來源 7
     第二節 變數定義 7
     第三節 研究方法 11
     第四章 實證結果與分析 14
     第一節 敘述性統計 14
     第二節 相關性分析 16
     第三節 迴歸分析 18
     第五章 結論與建議 36
     第一節 研究結論 36
     第二節 研究限制與建議 37
     參考文獻 38		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357003en_US
dc.subject (關鍵詞) 企業社會責任zh_TW
dc.subject (關鍵詞) ESGzh_TW
dc.subject (關鍵詞) 債券報酬zh_TW
dc.subject (關鍵詞) Corporate social responsibilityen_US
dc.subject (關鍵詞) ESGen_US
dc.subject (關鍵詞) Bond returnen_US
dc.title (題名) ESG評分和公司債報酬zh_TW
dc.title (題名) ESG scores and return of corporate bondsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Apergis, N., Poufinas, T., & Antonopoulos, A. (2022). ESG scores and cost of debt. Energy Economics, 112, 106186.
     Ashwin Kumar, N. C., Smith, C., Badis, L., Wang, N., Ambrosy, P., & Tavares, R. (2016). ESG factors and risk-adjusted performance: A new quantitative model. Journal of Sustainable Finance & Investment, 6(4), 292-300.
     Avramov, D., Chordia, T., Jostova, G., & Philipov, A. (2007). Momentum and credit rating. The Journal of Finance, 62(5), 2503-2520.
     Bai, J., Bali, T. G., & Wen, Q. (2019). Common risk factors in the cross-section of corporate bond returns. Journal of Financial Economics, 131(3), 619-642.
     Bai, J., Bali, T. G., & Wen, Q. (2021). Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence. Journal of Financial Economics, 142(3), 1017-1037.
     Baker, M., Bergstresser, D., Serafeim, G., & Wurgler, J. (2022). The pricing and ownership of US green bonds. Annual Review of Financial Economics, 14, 415-437.
     Bannier, C. E., Bofinger, Y., & Rock, B. (2019). Doing safe by doing good: ESG investing and corporate social responsibility in the US and Europe (No. 621). CFS Working Paper Series.
     Bao, J., Pan, J., & Wang, J. (2011). The illiquidity of corporate bonds. The Journal of Finance, 66(3), 911-946.
     Bauer, R., & Hann, D. (2010). Corporate environmental management and credit risk. Available at SSRN 1660470.
     Ben Slimane, M., Le Guenedal, T., Roncalli, T., & Sekine, T. (2019). ESG investing in corporate bonds: Mind the gap. Théo and Roncalli, Thierry and Sekine, Takaya, ESG Investing in Corporate Bonds: Mind the Gap (November 30, 2019).
     Bessembinder, H., Panayides, M., & Venkataraman, K. (2009). Hidden liquidity: an analysis of order exposure strategies in electronic stock markets. Journal of Financial Economics, 94(3), 361-383.
     Bhojraj, S., & Sengupta, P. (2003). Effect of corporate governance on bond ratings and yields: The role of institutional investors and outside directors. Journal of Business, 76(3), 455-475.
     Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35(3), 97-116.
     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.
     Brennan, M. J., Chordia, T., & Subrahmanyam, A. (1998). Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics, 49(3), 345-373.
     Elton, E. J., Gruber, M. J., & Blake, C. R. (1995). Fundamental economic variables, expected returns, and bond fund performance. The Journal of Finance, 50(4), 1229-1256.
     Engelhardt, N., Ekkenga, J., & Posch, P. (2021). ESG ratings and stock performance during the COVID-19 crisis. Sustainability, 13(13), 7133.
     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.
     Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.
     Fatemi, A., Glaum, M., & Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global Finance Journal, 38, 45-64.
     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.
     Greenwood, R., & Hanson, S. G. (2013). Issuer quality and corporate bond returns. Review of Financial Studies, 26(6), 1483-1525.
     Halbritter, G., & Dorfleitner, G. (2015). The wages of social responsibility—where are they? A critical review of ESG investing. Review of Financial Economics, 26, 25-35.
     Hovakimian, A., Kayhan, A., & Titman, S. (2009). Credit rating targets. Available at SSRN 1098351.
     Jostova, G., Nikolova, S., Philipov, A., & Stahel, C. W. (2013). Momentum in corporate bond returns. Review of Financial Studies, 26(7), 1649-1693.
     Kaiser, L. (2020). ESG integration: Value, growth and momentum. Journal of Asset Management, 21(1), 32-51.
     Kim, S., & Li, Z. (2021). Understanding the impact of ESG practices in corporate finance. Sustainability, 13(7), 3746.
     Kim, S., Kumar, N., Lee, J., & Oh, J. (2022). ESG lending. In Proceedings of Paris December 2021 Finance Meeting EUROFIDAI-ESSEC.
     Li, H., Zhang, X., & Zhao, Y. (2022). ESG and firm`s default risk. Finance Research Letters, 47, 102713.
     Lin, H., Wang, J., & Wu, C. (2011). Liquidity risk and expected corporate bond returns. Journal of Financial Economics, 99(3), 628-650.
     Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social capital, trust, and firm performance: The value of corporate social responsibility during the financial crisis. Journal of Finance, 72(4), 1785-1824.
     Newey, W. K., & West, K. D. (1986). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix.
     Polbennikov, S., Desclée, A., Dynkin, L., & Maitra, A. (2016). ESG ratings and performance of corporate bonds. The Journal of Fixed Income, 26(1), 21-41.
     Preston, L. E., & O`bannon, D. P. (1997). The corporate social-financial performance relationship: A typology and analysis. Business & Society, 36(4), 419-429.
     Sassen, R., Hinze, A. K., & Hardeck, I. (2016). Impact of ESG factors on firm risk in Europe. Journal of Business Economics, 86, 867-904.		zh_TW