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題名 結合基本面分析之ESG投資策略與報酬之探討–以美國上市公司為例
作者 詹媁涵
Chan, Wei-Han
貢獻者 江彌修<br>林恩平
詹媁涵
Chan, Wei-Han
關鍵詞 ESG投資
基本面分析
F-Score
G-Score
ESG Investing
Fundamental Analysis
F-Score
G-Score
日期 2023
上傳時間 1-Dec-2023 10:46:41 (UTC+8)
摘要 　　在全球永續發展的趨勢下，環境、社會及公司治理（Environmental, Social, Governance，簡稱：ESG）的概念也 蓬勃發展，越來越多投資人將企業ESG表現納入投資決策中。然而，ESG投資是否能實現超額報酬仍然是一個值得探討的議題。因此，本研究欲在ESG投資策略中結合傳統的基本面投資策略，探討經由財務報表分析建構之ESG投資組合，是否能獲得較高的報酬，期能建立一套選股方式，協助ESG投資人在尋求對環境與社會發揮正面影響力的同時，也能實現良好的投資收益。 　　本研究使用S&P Global ESG Scores衡量企業ESG表現，並以Piotroski (2000) F-Score及Mohanram (2005) G-Score作為評估公司基本面之評選標準，據以建立結合基本面分析之ESG投資組合。本研究實證分析結果顯示，在S&P Global ESG Scores表現好的公司中，進一步採用F-Score區分基本面好與壞的公司，無法提高投資組合報酬。反之，採用G-Score得以從ESG表現好的公司中，識別出具有投資價值的公司，建構報酬較高且相對穩健之投資組合，且經G-Score篩選之投資組合，ESG總評分表現亦較優秀。對投資人來說，結合G-Score之ESG投資策略是一個值得嘗試的選股方式。
　　Under the trend of global sustainable development, the concept of Environmental, Social, and Governance (ESG) is also flourishing. More and more investors are incorporating the ESG performance of a company into their investment decisions. However, whether ESG investment can achieve excess returns is still under debate. Therefore, this study aims to combine ESG investment strategies with traditional fundamental investment strategies and explore whether ESG investment portfolios constructed through financial statement analysis can yield higher returns. The goal is to establish a stock selection method that can assist ESG investors to achieve favorable returns while seeking to have a positive impact on the environment and society. 　　This study uses S&P Global ESG Scores to measure the ESG performance of a company and adopts Piotroski (2000) F-Score and Mohanram (2005) G-Score as criteria for evaluating the company’s fundamentals, in order to construct ESG investment portfolios combined with fundamental analysis. The empirical results show that among companies with high S&P Global ESG Scores, further using F-Score to distinguish companies with good and poor fundamentals cannot improve portfolio returns. However, G-Score can be used to identify companies with a higher investment value among those with good ESG performance, resulting in an ESG investment portfolio with higher and relatively stable returns. Furthermore, the investment portfolio screened through G-Score also demonstrates superior performance in overall ESG scores. For investors, integrating G-Score into ESG investment strategies seems to be a promising stock selection approach.
參考文獻 Brammer, S., Brooks, C., and Pavelin, S. (2008). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35(3), 97–116. Díaz, V., Ibrushi, D., and Zhao, J. (2021). Reconsidering systematic factors during the Covid-19 pandemic - The rising importance of ESG. Finance Research Letters, 38, 101870. Hsu, J., Liu, X., Shen, K., Viswanathan, V., and Zhao, Y. (2018). Outperformance through investing in ESG in need. The Journal of Index Investing, 9(2), 18–26. Hong, H.G., Kubik, J.D., and Scheinkman, J. A. (2012). Financial constraints on corporate goodness. NBER Working Paper No. 18476. Kempf, A., and Osthoff, P. (2007). The effect of socially responsible investing on portfolio performance. European Financial Management, 13(5), 908–922. Lev, B., and Thiagarajan, S.R. (1993). Fundamental information analysis. Journal of Accounting Research, 31(2), 190–215. Mohanram, P.S. (2005). Separating winners from losers among low book-to-market stocks using financial statement analysis. Review of Accounting Studies, 10, 133–170. Nagy, Z., Kassam A., and Lee, L.E. (2016). Can ESG add alpha? An analysis of ESG tilt and momentum Strategies. The Journal of Investing, 25(2), 113–124. Naffa, H., and Fain, M. (2021). A factor approach to the performance of ESG leaders and laggards. Finance Research Letters, 44, 102073. Ou, J. A., and Penman, S.H. (1989). Financial statement analysis and the prediction of stock returns. Journal of Accounting and Economics, 11(4), 295–329. Pedersen, L.H., Fitzgibbons, S., and Pomorski, L. (2021). Responsible investing: The ESG-efficient frontier. Journal of Financial Economics, 142(2), 572–597. Pastor, L., Stambaugh, R.F., and Taylor, L.A., (2021). Sustainable investing in equilibrium. Journal of Financial Economics, 142(2), 550–571. Piotroski, J.D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 38(3), 1–41. Raghunandan, A., and Rajgopal, S. (2022). Do socially responsible firms walk the talk?. Available at SSRN 3609056. Shank, T.M., and Shockey, B. (2016). Investment strategies when selecting sustainable firms. Financial Service Review, 25(2), 199–214. Verheyden, T., Eccles, R.G., and Feiner, A. (2016). ESG for All? The impact of ESG screening on return, risk, and diversification. Journal of Applied Corporate Finance, 28(2), 47–55. Van Duuren, E., Plantinga, A., and Scholtens, B. (2016). ESG integration and the investment management process: Fundamental investing reinvented. Journal of Business Ethics, 138(3), 525–533. 朱民芮, 蔡維哲, 楊曉文, 鄞齊. (2021). 以基本面分析強化社會責任投資績效. 證券市場發展季刊, 33(3), 1–42.
描述 碩士
國立政治大學
國際金融碩士學位學程
111zb1042
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111ZB1042
資料類型 thesis
dc.contributor.advisor 江彌修<br>林恩平zh_TW
dc.contributor.author (Authors) 詹媁涵zh_TW
dc.contributor.author (Authors) Chan, Wei-Hanen_US
dc.creator (作者) 詹媁涵zh_TW
dc.creator (作者) Chan, Wei-Hanen_US
dc.date (日期) 2023en_US
dc.date.accessioned 1-Dec-2023 10:46:41 (UTC+8)-
dc.date.available 1-Dec-2023 10:46:41 (UTC+8)-
dc.date.issued (上傳時間) 1-Dec-2023 10:46:41 (UTC+8)-
dc.identifier (Other Identifiers) G0111ZB1042en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/148503-
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) 111zb1042zh_TW
dc.description.abstract (摘要) 　　在全球永續發展的趨勢下，環境、社會及公司治理（Environmental, Social, Governance，簡稱：ESG）的概念也 蓬勃發展，越來越多投資人將企業ESG表現納入投資決策中。然而，ESG投資是否能實現超額報酬仍然是一個值得探討的議題。因此，本研究欲在ESG投資策略中結合傳統的基本面投資策略，探討經由財務報表分析建構之ESG投資組合，是否能獲得較高的報酬，期能建立一套選股方式，協助ESG投資人在尋求對環境與社會發揮正面影響力的同時，也能實現良好的投資收益。 　　本研究使用S&P Global ESG Scores衡量企業ESG表現，並以Piotroski (2000) F-Score及Mohanram (2005) G-Score作為評估公司基本面之評選標準，據以建立結合基本面分析之ESG投資組合。本研究實證分析結果顯示，在S&P Global ESG Scores表現好的公司中，進一步採用F-Score區分基本面好與壞的公司，無法提高投資組合報酬。反之，採用G-Score得以從ESG表現好的公司中，識別出具有投資價值的公司，建構報酬較高且相對穩健之投資組合，且經G-Score篩選之投資組合，ESG總評分表現亦較優秀。對投資人來說，結合G-Score之ESG投資策略是一個值得嘗試的選股方式。zh_TW
dc.description.abstract (摘要) 　　Under the trend of global sustainable development, the concept of Environmental, Social, and Governance (ESG) is also flourishing. More and more investors are incorporating the ESG performance of a company into their investment decisions. However, whether ESG investment can achieve excess returns is still under debate. Therefore, this study aims to combine ESG investment strategies with traditional fundamental investment strategies and explore whether ESG investment portfolios constructed through financial statement analysis can yield higher returns. The goal is to establish a stock selection method that can assist ESG investors to achieve favorable returns while seeking to have a positive impact on the environment and society. 　　This study uses S&P Global ESG Scores to measure the ESG performance of a company and adopts Piotroski (2000) F-Score and Mohanram (2005) G-Score as criteria for evaluating the company’s fundamentals, in order to construct ESG investment portfolios combined with fundamental analysis. The empirical results show that among companies with high S&P Global ESG Scores, further using F-Score to distinguish companies with good and poor fundamentals cannot improve portfolio returns. However, G-Score can be used to identify companies with a higher investment value among those with good ESG performance, resulting in an ESG investment portfolio with higher and relatively stable returns. Furthermore, the investment portfolio screened through G-Score also demonstrates superior performance in overall ESG scores. For investors, integrating G-Score into ESG investment strategies seems to be a promising stock selection approach.en_US
dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 3 第三節 研究架構 5 第二章 文獻回顧 6 第一節 企業ESG表現與報酬之關係 6 第二節 基本面投資策略 10 第三章 資料來源與研究方法 12 第一節 資料來源與樣本選取方式 12 第二節 研究方法 12 第三節 研究變數說明 13 第四節 投資組合建構方式及報酬計算 16 第五節 敘述性統計 18 第四章 實證結果與分析 20 第一節 單純ESG投資策略 20 第二節 結合F-SCORE之ESG投資策略 26 第三節 結合G-SCORE之ESG投資策略 28 第五章 結論與建議 35 第一節 研究結論 35 第二節 研究限制與建議 37 參考文獻 38zh_TW
dc.format.extent 920254 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111ZB1042en_US
dc.subject (關鍵詞) ESG投資zh_TW
dc.subject (關鍵詞) 基本面分析zh_TW
dc.subject (關鍵詞) F-Scorezh_TW
dc.subject (關鍵詞) G-Scorezh_TW
dc.subject (關鍵詞) ESG Investingen_US
dc.subject (關鍵詞) Fundamental Analysisen_US
dc.subject (關鍵詞) F-Scoreen_US
dc.subject (關鍵詞) G-Scoreen_US
dc.title (題名) 結合基本面分析之ESG投資策略與報酬之探討–以美國上市公司為例zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Brammer, S., Brooks, C., and Pavelin, S. (2008). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35(3), 97–116. Díaz, V., Ibrushi, D., and Zhao, J. (2021). Reconsidering systematic factors during the Covid-19 pandemic - The rising importance of ESG. Finance Research Letters, 38, 101870. Hsu, J., Liu, X., Shen, K., Viswanathan, V., and Zhao, Y. (2018). Outperformance through investing in ESG in need. The Journal of Index Investing, 9(2), 18–26. Hong, H.G., Kubik, J.D., and Scheinkman, J. A. (2012). Financial constraints on corporate goodness. NBER Working Paper No. 18476. Kempf, A., and Osthoff, P. (2007). The effect of socially responsible investing on portfolio performance. European Financial Management, 13(5), 908–922. Lev, B., and Thiagarajan, S.R. (1993). Fundamental information analysis. Journal of Accounting Research, 31(2), 190–215. Mohanram, P.S. (2005). Separating winners from losers among low book-to-market stocks using financial statement analysis. Review of Accounting Studies, 10, 133–170. Nagy, Z., Kassam A., and Lee, L.E. (2016). Can ESG add alpha? An analysis of ESG tilt and momentum Strategies. The Journal of Investing, 25(2), 113–124. Naffa, H., and Fain, M. (2021). A factor approach to the performance of ESG leaders and laggards. Finance Research Letters, 44, 102073. Ou, J. A., and Penman, S.H. (1989). Financial statement analysis and the prediction of stock returns. Journal of Accounting and Economics, 11(4), 295–329. Pedersen, L.H., Fitzgibbons, S., and Pomorski, L. (2021). Responsible investing: The ESG-efficient frontier. Journal of Financial Economics, 142(2), 572–597. Pastor, L., Stambaugh, R.F., and Taylor, L.A., (2021). Sustainable investing in equilibrium. Journal of Financial Economics, 142(2), 550–571. Piotroski, J.D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 38(3), 1–41. Raghunandan, A., and Rajgopal, S. (2022). Do socially responsible firms walk the talk?. Available at SSRN 3609056. Shank, T.M., and Shockey, B. (2016). Investment strategies when selecting sustainable firms. Financial Service Review, 25(2), 199–214. Verheyden, T., Eccles, R.G., and Feiner, A. (2016). ESG for All? The impact of ESG screening on return, risk, and diversification. Journal of Applied Corporate Finance, 28(2), 47–55. Van Duuren, E., Plantinga, A., and Scholtens, B. (2016). ESG integration and the investment management process: Fundamental investing reinvented. Journal of Business Ethics, 138(3), 525–533. 朱民芮, 蔡維哲, 楊曉文, 鄞齊. (2021). 以基本面分析強化社會責任投資績效. 證券市場發展季刊, 33(3), 1–42.zh_TW