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題名 透過模擬投資組合建構ESG投資組合-以台股為例
Constructing of Taiwan ESG Investment Portfolio through Mimicking Portfolio - Evidence from Taiwan Stock Market作者 陳春翰
Chen, Chun-Han貢獻者 羅秉政<br>呂桔誠
Kendro Vincent<br>Lyu, Jye-Cherng
陳春翰
Chen, Chun-Han關鍵詞 超額報酬
ESG
投資組合
ETF
模擬投資組合
MSCI ESG Index
Abnormal return
ESG
Portfolio
ETF
mimicking portfolio
MSCI ESG Index日期 2023 上傳時間 1-Dec-2023 10:46:19 (UTC+8) 摘要 隨著全球環保意識的抬頭與責任投資的浪潮興起，不論是法人機構抑或是一般投資者均開始關注ESG的相關議題，許多大型投資機構更是紛紛表態，對於那些對環境、社會不友善，或者是公司治理表現不佳的公司，比如像煙草、煤礦、軍火、賭博與酒精等爭議性或敏感性公司，將不再被納入其投資組合中，以符合其永續發展目標的相關投資策略。 但如果回歸到資本市場的本質，投資人之所以拿出錢來投資這間公司，無非是希望未來能獲取相當的報酬。有鑑於此，ESG投資是否能為投資人帶來超額報酬，變成為了一個相當重要的議題。不少投信、投顧機構均宣稱，就長期而言，ESG投資組合之累積報酬率相較於同期間之大盤指數來的更好，而針對ESG投資策略是否存在超額報酬，各種國內外文獻的研究結論亦相當不一致。因此，本研究想要探討台灣上市股票的ESG投資相較於大盤而言是否能為投資人帶來超額報酬，除了檢定台灣境內之主動式與被動式ESG基金外，並依據個別上市公司與MSCI ESG Leaders Index之貝他值，透過模擬投資組合建構台灣上市股票之ESG投資組合，再藉由CAPM模型檢定所建構之投資組合。根據實證的結果，無論是主動式或被動式ESG基金，以及本研究所建構之高ESG投資組合，相較於指標指數台灣發行量加權股價報酬指數而言，均不存在顯著的超額報酬，儘管如此，本研究觀察到大部分ESG投資組合的波動度相較於大盤來的較低。在績效方面，除了本文第一階段所建構之高ESG投資之績效有勝過台灣發行量加權股價報酬指數外，其餘包含投信公司所發行之ESG相關基金與ETF，以及排除營收及大盤影響後之高ESG投資組合均遜於大盤。
With the rise of global awareness of environmental protection and the rise of responsible investment, both corporate institutions and ordinary investors have begun to pay attention to ESG-related issues. Companies with poor corporate governance performance, such as controversial or sensitive companies such as tobacco, coal mines, arms, gambling and alcohol, will no longer be included in their investment portfolios to meet their sustainable development goals in order to follow their sustainable investment strategies. But the reason why investors spend money to invest in those companies is nothing more than hoping to get a considerable return in the future. As a result, whether ESG investment can bring excess returns to investors has become a very important issue. Many securities investment trust and consulting institutions claim that in the long run, the cumulative rate of return of ESG investment portfolios is better than that of the broader market index during the same period, and there are various domestic and foreign literatures debate on whether ESG investment strategies can make excess returns or not. The findings of the studies are also quite inconsistent. Therefore, this study intends to explore whether ESG investment in Taiwan’s listed stocks can bring investors excess returns compared with the broader market. In addition to testing active and passive ESG funds in Taiwan, we also calculate the beta value between individual listed companies and MSCI ESG Leaders Index to construct an ESG- mimicking portfolio, and verify the constructed portfolio through the CAPM model. According to the empirical results, both active or passive ESG funds, as well as the high ESG investment portfolio constructed by this research, there is no significant excess return compared with the TWSE Capitalization Weighted Stock Total Return Index. However, we do find that the volatility of most ESG portfolios is lower than that of the broader market. As to the performance, except for the high ESG investment portfolio constructed in the first stage of this article, which outperformed than TWSE Capitalization Weighted Stock Total Return Index, the rest included ESG related mutual funds and ETFs, as well as high-ESG portfolios excluding the impact of revenue and the broader market, is worse than the Taiwan TWSE Capitalization Weighted Stock Total Return Index.參考文獻 王慎中(2013)。以8十企業評價模式評估ESG基金投資組合之投資績效－以台灣上市股票為例。(碩士論文。國立中央大學) 呂牧洹（2022）。ESG投資組合風險曝險分析。(碩士論文。國立中山大學) 吳睿峰（2021)。ESG評分與超額報酬之關聯：台灣市場之實證。(碩士論文。國立中山大學) 周宣萱（2020）。台灣高ESG指數股票是否具有顯著超額報酬?以MSCI ESG評等為例。(碩士論文。國立中正大學) 林燕瑜（2018）。ESG投資導向分析-以MSCI ESG Index系列為例。(碩士論文。國立中興大學) 陳思羽(2018)。台灣ESG投資組合的建構與績效衡量。(碩士論文。國立中山大學) 張文姿（2021）。基金持股的ESG分數對基金績效之影響。(碩士論文。國立政治大學) 黃民志（2007），以風格分析法分析社會責任共同基金之報酬率。(碩士論文。國立政治大學) 鄒卓軒（2022）。台股市場ESG績效與股價溢酬之研究—兼論COVID-19之影響。(碩士論文。輔仁大學) 黃筱珺（2021）。ESG 篩選結合被動性投資策略之績效探討-以台灣股市為例。(碩士論文。國立政治大學) 葉承哲(2021)。整合ESG之價值、成長投資策略 - 台灣市場之探討。(碩士論文。國立政治大學) 黎彥成(2011)。採用ESG篩選準則對投資績效影響之研究。(碩士論文。國立中央大學) 鍾雨辰 (2012)。台灣社會責任投資之績效分析。(碩士論文。國立中央大學) 蘇佳寶(2023)。企業 ESG 評分對於其股票波動度影響之探討。(碩士論文。國立臺灣師範大學) Amir, A. Z., & George, S. (2018). Why and How Investors Use ESG Information: Evidence from a Global Survey. Financial Analysts Journal, 74 (3), 87-103. Auer, B. R., & Schuhmacher, F. (2016). Do socially (ir)responsible investments pay? New evidence from international ESG data. Quarterly Review of Economics and Finance 59, 51-62. Balduzzi, P., & Robotti, C. (2008). Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models. Journal of Business & Economic Statistics, 26(3), 354-368. 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. Branch, M., Goldberg, L. R., & Hand, P. (2019). A Guide to ESG Portfolio Construction. The Journal of Portfolio Management, 45(4), 61-66. Cerqueti, R., Ciciretti, R., Dalò, A., & Nicolosi, M. (2021). ESG investing: A chance to reduce systemic risk. Journal of Financial Stability, 54, 100887. Ciciretti, R., Dalò., A., & Dam, L. (2023). The contributions of betas versus characteristics to the ESG premium. Journal of Empirical Finance, 71, 104-124. Davidson, R. H., Dey, A., & Smith, A. J. (2019). CEO materialism and corporate social responsibility. The Accounting Review, 94(1), 101-126. Ditillo, A., & Lisi, I.E. (2016). Exploring Sustainability Control Systems' Integration: The Relevance of Sustainability Orientation. Journal of Management Accounting Research 28(2), 125-148. Eccles, R. G., Ioannou, I., & Serafeim, G. (2014). The impact of corporate sustainability on organizational processes and performance. Management Science, 60(11), 2835-2857. Ferson, W., Siegel, F. A., & Xu, P. (2006). Mimicking Portfolios with Conditioning Information. The Journal of Financial and Quantitative Analysis, 41(3), 607-635. Geczy, C. C., Stambaugh, R. F., & Levin, D. (2021). Investing in socially responsible mutual funds. The Review of Asset Pricing Studies, 11(2), 309-351. Greenwald. C. (2010). ESG and earnings performance. ASSET4. Thomson Reuters study. Hsu, P. H., Li, K., & Tsou, C. Y. (2022). The Pollution Premium. Journal of Finance, 78(3), 1343-1392. Jiang, C., Du, J., An, Y., & Zhang, J. (2020). Factor tracking: A new smart beta strategy that outperforms naïve diversification. Economic Modelling 96, 396-408. Jones, S., Van der Laan, S., Frost, G., & Loftus, J. (2008). The investment performance of socially responsible investment funds in Australia. Journal of Business Ethics, 80(2), 181-203. Jurczenko, E., & Teiletche, J. (2022). Macro Factor-Mimicking Portfolios. Kempf, A., & Osthoff, P. (2007). The Effect of Socially Responsible Investing on Portfolio Performance. European Financial Management, 13(5), 908–922. Kuntara, P., Richard, R., Wang J. L., & Tengfei, Z. (2019). A New Method for Factor-Mimicking Portfolio Construction. Renneboog, L., Ter Horst, J., and Zhang, C. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking and Finance, 32(9), 1723-1742. Richard, R., & Akshay, S. (2018). Mimicking Portfolios. The Journal of Portfolio Management, 44(5), 21-35. Shakil, M. H. (2022). Environmental, social and governance performance and stock price volatility: A moderating role of firm size. Journal of Public Affairs, 22(3), e2574. Shields, R., Ajour El Zein, S., & Vila Brunet, N. (2021). An analysis on the NASDAQ’s potential for sustainable investment practices during the financial shock from Covid-19. Sustainability, 13(7), 3748. Tarmuji, I., Maelah, R., & Tarmuji, N. H. (2016). The Impact of Environmental, Social and Governance Practices (ESG) on Economic Performance: Evidence from ESG Score. International Journal of Trade, Economics and Finance, 7(3), 67-74. Yuyama, T., Shirasu, Y., & Soichiro, M. (2019). ESG disclosure score and investment performance. Securities Analysts Journal, 57(10), 72-83. Zhao, X., & Murrell, A. J. (2016). Revisiting the corporate social performance-financial performance link: A replication of Waddock and Graves. Strategic Management Journal, 37(11), Special Issue: Replication in Strategic Management, 2378-2388. 描述 碩士
國立政治大學
國際金融碩士學位學程
111ZB1032資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111ZB1032 資料類型 thesis dc.contributor.advisor 羅秉政<br>呂桔誠 zh_TW dc.contributor.advisor Kendro Vincent<br>Lyu, Jye-Cherng en_US dc.contributor.author (Authors) 陳春翰 zh_TW dc.contributor.author (Authors) Chen, Chun-Han en_US dc.creator (作者) 陳春翰 zh_TW dc.creator (作者) Chen, Chun-Han en_US dc.date (日期) 2023 en_US dc.date.accessioned 1-Dec-2023 10:46:19 (UTC+8) - dc.date.available 1-Dec-2023 10:46:19 (UTC+8) - dc.date.issued (上傳時間) 1-Dec-2023 10:46:19 (UTC+8) - dc.identifier (Other Identifiers) G0111ZB1032 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/148501 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際金融碩士學位學程 zh_TW dc.description (描述) 111ZB1032 zh_TW dc.description.abstract (摘要) 隨著全球環保意識的抬頭與責任投資的浪潮興起，不論是法人機構抑或是一般投資者均開始關注ESG的相關議題，許多大型投資機構更是紛紛表態，對於那些對環境、社會不友善，或者是公司治理表現不佳的公司，比如像煙草、煤礦、軍火、賭博與酒精等爭議性或敏感性公司，將不再被納入其投資組合中，以符合其永續發展目標的相關投資策略。 但如果回歸到資本市場的本質，投資人之所以拿出錢來投資這間公司，無非是希望未來能獲取相當的報酬。有鑑於此，ESG投資是否能為投資人帶來超額報酬，變成為了一個相當重要的議題。不少投信、投顧機構均宣稱，就長期而言，ESG投資組合之累積報酬率相較於同期間之大盤指數來的更好，而針對ESG投資策略是否存在超額報酬，各種國內外文獻的研究結論亦相當不一致。因此，本研究想要探討台灣上市股票的ESG投資相較於大盤而言是否能為投資人帶來超額報酬，除了檢定台灣境內之主動式與被動式ESG基金外，並依據個別上市公司與MSCI ESG Leaders Index之貝他值，透過模擬投資組合建構台灣上市股票之ESG投資組合，再藉由CAPM模型檢定所建構之投資組合。根據實證的結果，無論是主動式或被動式ESG基金，以及本研究所建構之高ESG投資組合，相較於指標指數台灣發行量加權股價報酬指數而言，均不存在顯著的超額報酬，儘管如此，本研究觀察到大部分ESG投資組合的波動度相較於大盤來的較低。在績效方面，除了本文第一階段所建構之高ESG投資之績效有勝過台灣發行量加權股價報酬指數外，其餘包含投信公司所發行之ESG相關基金與ETF，以及排除營收及大盤影響後之高ESG投資組合均遜於大盤。 zh_TW dc.description.abstract (摘要) With the rise of global awareness of environmental protection and the rise of responsible investment, both corporate institutions and ordinary investors have begun to pay attention to ESG-related issues. Companies with poor corporate governance performance, such as controversial or sensitive companies such as tobacco, coal mines, arms, gambling and alcohol, will no longer be included in their investment portfolios to meet their sustainable development goals in order to follow their sustainable investment strategies. But the reason why investors spend money to invest in those companies is nothing more than hoping to get a considerable return in the future. As a result, whether ESG investment can bring excess returns to investors has become a very important issue. Many securities investment trust and consulting institutions claim that in the long run, the cumulative rate of return of ESG investment portfolios is better than that of the broader market index during the same period, and there are various domestic and foreign literatures debate on whether ESG investment strategies can make excess returns or not. The findings of the studies are also quite inconsistent. Therefore, this study intends to explore whether ESG investment in Taiwan’s listed stocks can bring investors excess returns compared with the broader market. In addition to testing active and passive ESG funds in Taiwan, we also calculate the beta value between individual listed companies and MSCI ESG Leaders Index to construct an ESG- mimicking portfolio, and verify the constructed portfolio through the CAPM model. According to the empirical results, both active or passive ESG funds, as well as the high ESG investment portfolio constructed by this research, there is no significant excess return compared with the TWSE Capitalization Weighted Stock Total Return Index. However, we do find that the volatility of most ESG portfolios is lower than that of the broader market. As to the performance, except for the high ESG investment portfolio constructed in the first stage of this article, which outperformed than TWSE Capitalization Weighted Stock Total Return Index, the rest included ESG related mutual funds and ETFs, as well as high-ESG portfolios excluding the impact of revenue and the broader market, is worse than the Taiwan TWSE Capitalization Weighted Stock Total Return Index. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究動機與目的 1 第二章 文獻回顧 6 第一節 ESG的起源 6 第二節 ESG投資組合之績效研究 8 第三節 模擬投資組合 12 第三章 研究方法 14 第一節 樣本資料與來源 14 第二節 研究方法 17 第四章 實證結果 20 第一節 指數股票型基金(ETF) 20 第二節 主動式共同基金 22 第三節 ESG模擬投資組合 24 第五章 結論與建議 28 第一節 結論 28 第二節 建議 31 參考文獻 32 zh_TW dc.format.extent 1615490 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111ZB1032 en_US dc.subject (關鍵詞) 超額報酬 zh_TW dc.subject (關鍵詞) ESG zh_TW dc.subject (關鍵詞) 投資組合 zh_TW dc.subject (關鍵詞) ETF zh_TW dc.subject (關鍵詞) 模擬投資組合 zh_TW dc.subject (關鍵詞) MSCI ESG Index zh_TW dc.subject (關鍵詞) Abnormal return en_US dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) Portfolio en_US dc.subject (關鍵詞) ETF en_US dc.subject (關鍵詞) mimicking portfolio en_US dc.subject (關鍵詞) MSCI ESG Index en_US dc.title (題名) 透過模擬投資組合建構ESG投資組合-以台股為例 zh_TW dc.title (題名) Constructing of Taiwan ESG Investment Portfolio through Mimicking Portfolio - Evidence from Taiwan Stock Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 王慎中(2013)。以8十企業評價模式評估ESG基金投資組合之投資績效－以台灣上市股票為例。(碩士論文。國立中央大學) 呂牧洹（2022）。ESG投資組合風險曝險分析。(碩士論文。國立中山大學) 吳睿峰（2021)。ESG評分與超額報酬之關聯：台灣市場之實證。(碩士論文。國立中山大學) 周宣萱（2020）。台灣高ESG指數股票是否具有顯著超額報酬?以MSCI ESG評等為例。(碩士論文。國立中正大學) 林燕瑜（2018）。ESG投資導向分析-以MSCI ESG Index系列為例。(碩士論文。國立中興大學) 陳思羽(2018)。台灣ESG投資組合的建構與績效衡量。(碩士論文。國立中山大學) 張文姿（2021）。基金持股的ESG分數對基金績效之影響。(碩士論文。國立政治大學) 黃民志（2007），以風格分析法分析社會責任共同基金之報酬率。(碩士論文。國立政治大學) 鄒卓軒（2022）。台股市場ESG績效與股價溢酬之研究—兼論COVID-19之影響。(碩士論文。輔仁大學) 黃筱珺（2021）。ESG 篩選結合被動性投資策略之績效探討-以台灣股市為例。(碩士論文。國立政治大學) 葉承哲(2021)。整合ESG之價值、成長投資策略 - 台灣市場之探討。(碩士論文。國立政治大學) 黎彥成(2011)。採用ESG篩選準則對投資績效影響之研究。(碩士論文。國立中央大學) 鍾雨辰 (2012)。台灣社會責任投資之績效分析。(碩士論文。國立中央大學) 蘇佳寶(2023)。企業 ESG 評分對於其股票波動度影響之探討。(碩士論文。國立臺灣師範大學) Amir, A. Z., & George, S. (2018). Why and How Investors Use ESG Information: Evidence from a Global Survey. Financial Analysts Journal, 74 (3), 87-103. Auer, B. R., & Schuhmacher, F. (2016). Do socially (ir)responsible investments pay? New evidence from international ESG data. Quarterly Review of Economics and Finance 59, 51-62. Balduzzi, P., & Robotti, C. (2008). Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models. Journal of Business & Economic Statistics, 26(3), 354-368. 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. Branch, M., Goldberg, L. R., & Hand, P. (2019). A Guide to ESG Portfolio Construction. The Journal of Portfolio Management, 45(4), 61-66. Cerqueti, R., Ciciretti, R., Dalò, A., & Nicolosi, M. (2021). ESG investing: A chance to reduce systemic risk. Journal of Financial Stability, 54, 100887. Ciciretti, R., Dalò., A., & Dam, L. 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