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題名 ESG投資的從眾行為：台灣股市之實證分析
An Empirical Study on Herding Effect of ESG Investing in Taiwan Stock Market作者 林欣頤
Lin, Xin-Yi貢獻者 徐政義
Shiu, Cheng-Yi
林欣頤
Lin, Xin-Yi關鍵詞 ESG投資
機構投資人
從眾行為
ESG Investing
Institutional Investor
Herding Behavior日期 2023 上傳時間 2-Aug-2023 13:12:19 (UTC+8) 摘要 本研究旨為觀察投資台灣上市公司之機構投資人是否會在企業的ESG分數出現大幅度變化時，因為參考ESG總分以及E分數、S分數、G分數各面向的評分指標，進而出現集體改變持股決策的現象。本研究所採用的樣本期間為2015至2021年，由台灣經濟新報(TEJ)所發布之TESG評分以及FactSet資料庫之機構投資人持股比率數據進行分析，資料頻率為年資料。而統計檢定結果顯示，不管是整體機構投資人或是具ESG投資特性的機構投資人，在面對企業ESG總分以及G分數出現大幅衰退時，皆有集體出售持股的現象，即Herding Out現象顯著，而單獨考慮E分數與S分數出現大幅衰退時，則無發現明顯的從眾效應。此外，本研究亦發現當企業的ESG總分以及各面向分數大幅改善時，機構投資人的持股比率皆無出現顯著的增加，台灣市場Herding In的現象不明顯，也說明了機構投資人面對正負面消息有著不對稱的反應。因此，藉由本研究的結果，我們發現機構投資人較重視企業整體的ESG表現以及公司治理面向的變化，且發現面對ESG表現之衰退，投資於台灣市場之機構投資人有明顯出售持股的行為，顯示ESG評分的變化確實會對投資人的持股行為造成影響。
The purpose of this study is to examine whether institutional investors investing in Taiwanese listed companies will change their holding decisions in response to significant changes in the companies` ESG scores. The study uses data from 2015 to 2021 and analyzes the TESG ratings provided by TEJ and institutional ownership data from the FactSet database, with an annual frequency. Our results show that both overall institutional investors and ESG institutional investors exhibit significant herding out behavior, indicating collective selling of stocks, with substantial declines in companies` overall ESG scores and governance scores. However, no significant herding effect is observed when considering significant declines in environmental or social scores. Furthermore, the study finds no significant increase in institutional ownership when companies experience significant improvements in their overall ESG scores and each dimension scores, suggesting a lack of significant herding in behavior in the Taiwan stock market. These results imply that institutional investors care more about changes in overall ESG performance and corporate governance, and their response to positive and negative information is asymmetric. In conclusion, this study documents that institutional investors in Taiwan exhibit collective selling behavior in response to declines in ESG performance, indicating the impact of ESG rating changes on investors` holding decisions.參考文獻 中文文獻[1] 周賓凰、池祥萱、周冠男、龔怡霖 (2002)。行為財務學--文獻回顧與展望。證券市場發展季刊，14:2=54卷，頁1-48。英文文獻[1] Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of Political Economy, 100(5), 992-1026.[2] Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.[3] Gavrilakis, N., & Floros, C. (2023). ESG performance, herding behavior and stock market returns: evidence from Europe. Operational Research, 23(1), 3.[4] Jacobsen, B., Lee, W., & Ma, C. (2019). The alpha, beta, and sigma of esg: Better beta, additional alpha?. The Journal of Portfolio Management, 45(6), 6-15.[5] Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 264-291.[6] Kempf, A., & Osthoff, P. (2007). The effect of socially responsible investing on portfolio performance. European Financial Management, 13(5), 908-922.[7] McQueen, G., Pinegar, M., & Thorley, S. (1996). Delayed reaction to good news and the cross‐autocorrelation of portfolio returns. The Journal of Finance, 51(3), 889-919.[8] Nofsinger, J. R., & Sias, R. W. (1999). Herding and feedback trading by institutional and individual investors. The Journal of Finance, 54(6), 2263-2295.[9] Rubbaniy, G., Ali, S., Siriopoulos, C., & Samitas, A. (2021). Global financial crisis, COVID-19, lockdown, and herd behavior in the US ESG leader stocks. COVID-19, Lockdown, and Herd Behavior in the US ESG Leader Stocks (June 16, 2021).[10] Shanaev, S., & Ghimire, B. (2022). When ESG meets AAA: The effect of ESG rating changes on stock returns. Finance Research Letters, 46, 102302.[11] Shiller, R. J., Fischer, S., & Friedman, B. M. (1984). Stock prices and social dynamics. Brookings Papers on Economic Activity, 1984(2), 457-510.[12] Sias, R. W. (2004). Institutional herding. The Review of Financial Studies, 17(1), 165-206.[13] Wermers, R. (1999). Mutual fund herding and the impact on stock prices. The Journal of Finance, 54(2), 581-622.[14] Ziegler, A., Schröder, M., & Rennings, K. (2007). The effect of environmental and social performance on the stock performance of European corporations. Environmental and Resource Economics, 37, 661-680. 描述 碩士
國立政治大學
國際經營與貿易學系
110351030資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110351030 資料類型 thesis dc.contributor.advisor 徐政義 zh_TW dc.contributor.advisor Shiu, Cheng-Yi en_US dc.contributor.author (Authors) 林欣頤 zh_TW dc.contributor.author (Authors) Lin, Xin-Yi en_US dc.creator (作者) 林欣頤 zh_TW dc.creator (作者) Lin, Xin-Yi en_US dc.date (日期) 2023 en_US dc.date.accessioned 2-Aug-2023 13:12:19 (UTC+8) - dc.date.available 2-Aug-2023 13:12:19 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2023 13:12:19 (UTC+8) - dc.identifier (Other Identifiers) G0110351030 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146340 - 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) 110351030 zh_TW dc.description.abstract (摘要) 本研究旨為觀察投資台灣上市公司之機構投資人是否會在企業的ESG分數出現大幅度變化時，因為參考ESG總分以及E分數、S分數、G分數各面向的評分指標，進而出現集體改變持股決策的現象。本研究所採用的樣本期間為2015至2021年，由台灣經濟新報(TEJ)所發布之TESG評分以及FactSet資料庫之機構投資人持股比率數據進行分析，資料頻率為年資料。而統計檢定結果顯示，不管是整體機構投資人或是具ESG投資特性的機構投資人，在面對企業ESG總分以及G分數出現大幅衰退時，皆有集體出售持股的現象，即Herding Out現象顯著，而單獨考慮E分數與S分數出現大幅衰退時，則無發現明顯的從眾效應。此外，本研究亦發現當企業的ESG總分以及各面向分數大幅改善時，機構投資人的持股比率皆無出現顯著的增加，台灣市場Herding In的現象不明顯，也說明了機構投資人面對正負面消息有著不對稱的反應。因此，藉由本研究的結果，我們發現機構投資人較重視企業整體的ESG表現以及公司治理面向的變化，且發現面對ESG表現之衰退，投資於台灣市場之機構投資人有明顯出售持股的行為，顯示ESG評分的變化確實會對投資人的持股行為造成影響。 zh_TW dc.description.abstract (摘要) The purpose of this study is to examine whether institutional investors investing in Taiwanese listed companies will change their holding decisions in response to significant changes in the companies` ESG scores. The study uses data from 2015 to 2021 and analyzes the TESG ratings provided by TEJ and institutional ownership data from the FactSet database, with an annual frequency. Our results show that both overall institutional investors and ESG institutional investors exhibit significant herding out behavior, indicating collective selling of stocks, with substantial declines in companies` overall ESG scores and governance scores. However, no significant herding effect is observed when considering significant declines in environmental or social scores. Furthermore, the study finds no significant increase in institutional ownership when companies experience significant improvements in their overall ESG scores and each dimension scores, suggesting a lack of significant herding in behavior in the Taiwan stock market. These results imply that institutional investors care more about changes in overall ESG performance and corporate governance, and their response to positive and negative information is asymmetric. In conclusion, this study documents that institutional investors in Taiwan exhibit collective selling behavior in response to declines in ESG performance, indicating the impact of ESG rating changes on investors` holding decisions. en_US dc.description.tableofcontents 謝辭 i中文摘要 ii英文摘要 iii第一章 緒論 1第一節 研究背景 1第二節 研究動機與目的 2第三節 研究架構 3第二章 文獻探討 4第一節 從眾效應相關文獻 4第二節 ESG與投資績效 6第三節 ESG與從眾行為 8第三章 研究資料與方法 10第一節 樣本與資料來源 10第二節 研究方法 13第四章 研究結果與分析 21第一節 敘述統計 21第二節 假設檢定結果 29第三節 迴歸結果分析 37第五章 結論與建議 45第一節 結論 45第二節 延伸與建議 47第六章 參考文獻 48附錄 50 zh_TW dc.format.extent 1992917 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110351030 en_US dc.subject (關鍵詞) ESG投資 zh_TW dc.subject (關鍵詞) 機構投資人 zh_TW dc.subject (關鍵詞) 從眾行為 zh_TW dc.subject (關鍵詞) ESG Investing en_US dc.subject (關鍵詞) Institutional Investor en_US dc.subject (關鍵詞) Herding Behavior en_US dc.title (題名) ESG投資的從眾行為：台灣股市之實證分析 zh_TW dc.title (題名) An Empirical Study on Herding Effect of ESG Investing in Taiwan Stock Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文文獻[1] 周賓凰、池祥萱、周冠男、龔怡霖 (2002)。行為財務學--文獻回顧與展望。證券市場發展季刊，14:2=54卷，頁1-48。英文文獻[1] Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of Political Economy, 100(5), 992-1026.[2] Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.[3] Gavrilakis, N., & Floros, C. (2023). ESG performance, herding behavior and stock market returns: evidence from Europe. Operational Research, 23(1), 3.[4] Jacobsen, B., Lee, W., & Ma, C. (2019). The alpha, beta, and sigma of esg: Better beta, additional alpha?. The Journal of Portfolio Management, 45(6), 6-15.[5] Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 264-291.[6] Kempf, A., & Osthoff, P. (2007). The effect of socially responsible investing on portfolio performance. European Financial Management, 13(5), 908-922.[7] McQueen, G., Pinegar, M., & Thorley, S. (1996). Delayed reaction to good news and the cross‐autocorrelation of portfolio returns. The Journal of Finance, 51(3), 889-919.[8] Nofsinger, J. R., & Sias, R. W. (1999). Herding and feedback trading by institutional and individual investors. The Journal of Finance, 54(6), 2263-2295.[9] Rubbaniy, G., Ali, S., Siriopoulos, C., & Samitas, A. (2021). Global financial crisis, COVID-19, lockdown, and herd behavior in the US ESG leader stocks. COVID-19, Lockdown, and Herd Behavior in the US ESG Leader Stocks (June 16, 2021).[10] Shanaev, S., & Ghimire, B. (2022). When ESG meets AAA: The effect of ESG rating changes on stock returns. Finance Research Letters, 46, 102302.[11] Shiller, R. J., Fischer, S., & Friedman, B. M. (1984). Stock prices and social dynamics. Brookings Papers on Economic Activity, 1984(2), 457-510.[12] Sias, R. W. (2004). Institutional herding. The Review of Financial Studies, 17(1), 165-206.[13] Wermers, R. (1999). Mutual fund herding and the impact on stock prices. The Journal of Finance, 54(2), 581-622.[14] Ziegler, A., Schröder, M., & Rennings, K. (2007). The effect of environmental and social performance on the stock performance of European corporations. Environmental and Resource Economics, 37, 661-680. zh_TW
