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題名 結合SASB重大性議題之臺灣ESG因子投資研究
A Study of ESG Factor Investment in Taiwan Combining SASB Materiality Issues
作者 黃瀚君
Huang, Han-Chun
貢獻者 李志宏
黃瀚君
Huang, Han-Chun
關鍵詞 CSR
ESG
SASB
重大性議題
因子投資策略
ESG投資組合
CSR
ESG
SASB
Material issues
Factor investment
ESG portfolio
日期 2024
上傳時間 1-Nov-2024 11:24:15 (UTC+8)
摘要 經濟活動的發達與全球化的擴展，企業除了傳統的內部營運需要被檢視外，外部影響也愈來愈受重視，因此企業的ESG政策成為重要的研究與發展領域。過去已有諸多企業社會責任、ESG對企業影響的相關研究，大部分學者支持企業的ESG對財務績效和企業風險有正面的幫助，然而在ESG與投資績效的研究領域卻沒有定論，其中一個潛在的原因是先前的論文並沒有依照各產業辨別出至關重要的重大性永續議題，自從Khan et al.(2016)的研究之後，結合重大性進行ESG與投資績效的研究成為重要的領域。 根據過去文獻結果來看，ESG對企業的影響會因為不同國家與不同時期而有不同結果。不同於歐美市場，臺灣企業在近15年才開始積極推動ESG政策，故本研究以2011年至2022年的LSEG ESG資料結合SASB各產業的重大性議題創建企業的SASB重大性分數，為了進行差異比較，本研究也創建未考慮重大性的企業ESG全指標分數，每年分別依照兩種分數將企業分成ESG優良、中等與落後三個組別，接著以三種策略建構投資組合，分別是市值加權策略、Long-short策略、純因子策略，最後檢驗投資組合之績效。 實證結果指出在市值加權與Long-short投資組合部分，不管有無考慮重大性，ESG優良投資組合都具有最高的夏普比率以及顯著為正的異常報酬，但結合重大性的策略能帶來更高的報酬與更多顯著為正異常報酬的證據，不過在純因子投資組合部分，ESG優良投資組合仍有最高的夏普比率，但沒有發現顯著為正的異常報酬，反而在ESG落後投資組合發現顯著為負的異常報酬。總體來說，臺灣市場的ESG良好企業普遍比ESG落後企業有更好的股票報酬表現，此現象結合重大性後更為顯著。
The development of economic activities and the expansion of globalization have led to increasing attention to externalities of corporates. As a result, corporate ESG policy has become a crucial area of study. However, there is no consensus on ESG and investment performance. One potential reason is that previous studies did not distinguish the material sustainability issues in different industries. Since the study by Khan et al.(2016), integrating materiality into study on ESG and investment performance has become important. According to the past literature, the impact of ESG on corporates depends on the country and the period. Unlike Europe and America, Taiwan have actively developed ESG just in the past 15 years. As a result, this study creates SASB materiality scores for corporates using LSEG ESG data from 2011 to 2022. In every year, corporates are categorized into three groups—excellent, average, and poor—based on the scores. Three investment strategies are then constructed: market capitalization-weighted strategy, long-short strategy, and pure factor strategy. Empirical results show that for market capitalization-weighted and long-short strategies, when we integrate materiality, the ESG-excellent portfolio has the highest Sharpe ratio and positive abnormal returns. Although the ESG-excellent portfolio still shows the highest Sharpe ratio, no positive abnormal return is found. However, the ESG-poor portfolio has negative abnormal returns. Overall, ESG-excellent corporates generally deliver better returns in Taiwan.
參考文獻 一.英文文獻 1.Bannier, C.E., Bofinger, Y., & Rock, B. (2022). Corporate social responsibility and credit risk. Finance Research Letters, 44, 102052. 2.Bowen, H. (1953). Social responsibilities of the businessman. New York: Harper & Brothers. 3.Broadstock, D.C., Chan, K., Cheng, L.T.W., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance Research Letters, 38, 101716. 4.Carhart, M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. 5.Clarke, R., de Silva, H., & Thorley, S. (2017). Pure factor portfolios and multivariate regression analysis. Journal of Portfolio Management, 43, 16–31. 6.Derwall, J., Guenster, N., Bauer, R., & Koedijk, K. (2005). The eco-efficiency premium puzzle. Financial Analysts Journal, 61(2), 51–63. 7.Dorfleitner, G., & Halbritter, G. (2015). The wages of social responsibility–where are they? A critical review of ESG investing. Review of Financial Economics, 26, 25–35. 8.Eccles, R., & Serafeim, G. (2013). The performance frontier: innovating for a sustainable strategy. Harvard Business Review, 91, 5, 50-60. 9.Eccles, R.G., Ioannou, I., & Serafeim, G. (2014). The impact of corporate sustainability on organizational processes and performance. Management Science, 60 (11), 2835–2857. 10.El Ghoul, S., Guedhami, O., Kwok, C.C., & Mishra, D.R. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35 (9), 2388–2406. 11.Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33 (1), 3-56. 12.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. 13.Grewal, J., Hauptmann, C. & Serafeim, G. (2021). Material sustainability information and stock price informativeness. Journal of Business Ethics, 171, 513–544. 14.Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019). Integrating ESG in portfolio construction. Journal of Portfolio Management, 45 (4), 67-81. 15.Hörisch, J., Johnson, M. P., & Schaltegger, S. (2015). Implementation of sustainability management and company size: a knowledge-based view. Business Strategy and the Environment, 24(8), 765–779. 16.Hübel, B. & Scholz, H. (2020). Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings. Journal of Asset Management, 21, 52– 69. 17.Jayachandran, S., Kalaignanam, K. & Eilert, M. (2013). Product and environmental social performance: Varying effect on firm performance. Strategic Management Journal, 34, 1255-1264. 18.Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65–91. 19.Jiraporn, P., Jiraporn, N., Boeprasert, A. & Chang, K. (2014). Does corporate social responsibility (CSR) improve credit ratings? Evidence from geographic identification. Financial Management, 43, 505-531. 20.Jo, H., & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics, 110, 441-456. 21.Kaiser, L. (2020). ESG integration: value, growth and momentum. Journal of Asset Management, 21(1), 32-51. 22.Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: first evidence on materiality. The Accounting Review, 91(6), 1697-1724. 23.Konar, S., & Cohen, M. (2001). Does the market value environmental performance? The Review of Economics and Statistics, 83(2), 281-289. 24.KPMG Survey of Sustainability Reporting 2022, Retrieved August 31 2024, from https://assets.kpmg.com/content/dam/kpmg/se/pdf/komm/2022/Global-Survey-of-Sustainability-Reporting-2022.pdf 25.Lesser, K., Rößle, F., & Walkshäusl, C. (2016). Socially responsible, green, and faith-based investment strategies: screening activity matters! Finance Research Letters, 16, 171–178. 26.Li, H., Zhang, X., & Zhao, Y. (2022). ESG and firm’s default risk. Finance Research Letters, 47, 102713. 27.Luo, D. (2022). ESG, liquidity, and stock returns. Journal of International Financial Markets, Institutions and Money, 78, 101526. 28.Manescu, C. (2011). Stock returns in relation to environmental, social and governance ˇ performance: Mispricing or compensation for risk? Sustain. Dev. 19 (2), 95–118. 29.Naffa, H., & Fain, M. (2022). A factor approach to the performance of ESG leaders and laggards. Finance Research Letters, 102073. 30.Pastor, L., & Stambaugh, R. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111 (3), 642-685. 31.Pástor, Ľ., & Vorsatz, M. (2020). Mutual fund performance and flows during the COVID-19 crisis. The Review of Asset Pricing Studies, 10(4), 791–833. 32.Renneboog, L., Horst, J., & Zhang, C. (2008). The price of ethics: Evidence from socially responsible mutual funds. Journal of Corporate Finance, 14(3), 302-322. 33.Robertson, D.C., & Nicholson, N. (1996). Expressions of corporate social responsibility in U.K. firms. Journal of Business Ethics, 15, 1095–1106. 34.SASB CONCEPTUAL FRAMEWORK, Retrieved August 31, 2024, from https://sasb.ifrs.org/wp-content/uploads/2019/05/SASB-Conceptual-Framework.pdf?source=post_page 35.Sassen, R., Hinze, AK. & Hardeck, I. (2016). Impact of ESG factors on firm risk in Europe. Journal of Business Economics, 86, 867–904. 36.Sauer, D. A. (1997). The impact of social‐responsibility screens on investment performance: Evidence from the Domini 400 social index and Domini equity mutual fund. Review of Financial Economics, 6(2),137–149. 37.Shaikh, I. (2022). Environmental, social, and governance (ESG) practice and firm performance: an international evidence. Journal of Business Economics and Management, 23(1), 218–237. 38.Shirasu, Y., & Kawakita, H. (2020). Long-term financial performance of corporate social responsibility. Global Finance Journal, 50, 100532. 39.Velte, P. (2017). Does ESG performance have an impact on financial performance? Evidence from Germany. Journal of Global Responsibility, 8(2), 169-178. 40.Von Arx, U., & Ziegler, A. (2014). The effect of corporate social responsibility on stock performance: New evidence for the USA and Europe. Quantitative Finance, 14(6), 977-991. 41.Zhou, G., Liu, L., & Luo, S. (2022). Sustainable development, ESG performance and company market value: Mediating effect of financial performance. Business Strategy and the Environment, 31(7), 3371–3387. 二.中文文獻 1.李秀英、劉俊儒與楊筱翎(2011)，企業社會責任與公司績效之關聯性，東海管理評論，13卷1期：77-112。 2.紀宗利、陳昭文與慎思齊(2023)，不同ESG評分模型對公司股價之影響，華人經濟研究，21卷2期：55-79。 3.張元(2011)，社會責任公司有較高的股票報酬嗎？，輔仁管理評論，18卷1期，79-118。
描述 碩士
國立政治大學
財務管理學系
111357031
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357031
資料類型 thesis
dc.contributor.advisor 李志宏zh_TW
dc.contributor.author (Authors) 黃瀚君zh_TW
dc.contributor.author (Authors) Huang, Han-Chunen_US
dc.creator (作者) 黃瀚君zh_TW
dc.creator (作者) Huang, Han-Chunen_US
dc.date (日期) 2024en_US
dc.date.accessioned 1-Nov-2024 11:24:15 (UTC+8)-
dc.date.available 1-Nov-2024 11:24:15 (UTC+8)-
dc.date.issued (上傳時間) 1-Nov-2024 11:24:15 (UTC+8)-
dc.identifier (Other Identifiers) G0111357031en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/154216-
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) 111357031zh_TW
dc.description.abstract (摘要) 經濟活動的發達與全球化的擴展，企業除了傳統的內部營運需要被檢視外，外部影響也愈來愈受重視，因此企業的ESG政策成為重要的研究與發展領域。過去已有諸多企業社會責任、ESG對企業影響的相關研究，大部分學者支持企業的ESG對財務績效和企業風險有正面的幫助，然而在ESG與投資績效的研究領域卻沒有定論，其中一個潛在的原因是先前的論文並沒有依照各產業辨別出至關重要的重大性永續議題，自從Khan et al.(2016)的研究之後，結合重大性進行ESG與投資績效的研究成為重要的領域。 根據過去文獻結果來看，ESG對企業的影響會因為不同國家與不同時期而有不同結果。不同於歐美市場，臺灣企業在近15年才開始積極推動ESG政策，故本研究以2011年至2022年的LSEG ESG資料結合SASB各產業的重大性議題創建企業的SASB重大性分數，為了進行差異比較，本研究也創建未考慮重大性的企業ESG全指標分數，每年分別依照兩種分數將企業分成ESG優良、中等與落後三個組別，接著以三種策略建構投資組合，分別是市值加權策略、Long-short策略、純因子策略，最後檢驗投資組合之績效。 實證結果指出在市值加權與Long-short投資組合部分，不管有無考慮重大性，ESG優良投資組合都具有最高的夏普比率以及顯著為正的異常報酬，但結合重大性的策略能帶來更高的報酬與更多顯著為正異常報酬的證據，不過在純因子投資組合部分，ESG優良投資組合仍有最高的夏普比率，但沒有發現顯著為正的異常報酬，反而在ESG落後投資組合發現顯著為負的異常報酬。總體來說，臺灣市場的ESG良好企業普遍比ESG落後企業有更好的股票報酬表現，此現象結合重大性後更為顯著。zh_TW
dc.description.abstract (摘要) The development of economic activities and the expansion of globalization have led to increasing attention to externalities of corporates. As a result, corporate ESG policy has become a crucial area of study. However, there is no consensus on ESG and investment performance. One potential reason is that previous studies did not distinguish the material sustainability issues in different industries. Since the study by Khan et al.(2016), integrating materiality into study on ESG and investment performance has become important. According to the past literature, the impact of ESG on corporates depends on the country and the period. Unlike Europe and America, Taiwan have actively developed ESG just in the past 15 years. As a result, this study creates SASB materiality scores for corporates using LSEG ESG data from 2011 to 2022. In every year, corporates are categorized into three groups—excellent, average, and poor—based on the scores. Three investment strategies are then constructed: market capitalization-weighted strategy, long-short strategy, and pure factor strategy. Empirical results show that for market capitalization-weighted and long-short strategies, when we integrate materiality, the ESG-excellent portfolio has the highest Sharpe ratio and positive abnormal returns. Although the ESG-excellent portfolio still shows the highest Sharpe ratio, no positive abnormal return is found. However, the ESG-poor portfolio has negative abnormal returns. Overall, ESG-excellent corporates generally deliver better returns in Taiwan.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 4 第二章 文獻回顧 5 第一節 環境、社會、治理(ESG)與企業財務績效 5 第二節 環境、社會、治理(ESG)與投資績效 7 第三節 SASB重大性議題與財務相關研究 9 第三章 研究方法 10 第一節 研究樣本 10 第二節 SASB重大性分數 12 第三節 樣本企業ESG分群17 第四節 實證模型 18 第四章 實證結果 22 第一節 敘述統計 22 第二節 相關係數分析 27 第三節 實證結果分析 29 第五章 結論 43 第一節 研究結論 43 第二節 研究限制與建議 44 第六章 參考文獻 46 第七章 附錄 51zh_TW
dc.format.extent 2653966 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357031en_US
dc.subject (關鍵詞) CSRzh_TW
dc.subject (關鍵詞) ESGzh_TW
dc.subject (關鍵詞) SASBzh_TW
dc.subject (關鍵詞) 重大性議題zh_TW
dc.subject (關鍵詞) 因子投資策略zh_TW
dc.subject (關鍵詞) ESG投資組合zh_TW
dc.subject (關鍵詞) CSRen_US
dc.subject (關鍵詞) ESGen_US
dc.subject (關鍵詞) SASBen_US
dc.subject (關鍵詞) Material issuesen_US
dc.subject (關鍵詞) Factor investmenten_US
dc.subject (關鍵詞) ESG portfolioen_US
dc.title (題名) 結合SASB重大性議題之臺灣ESG因子投資研究zh_TW
dc.title (題名) A Study of ESG Factor Investment in Taiwan Combining SASB Materiality Issuesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一.英文文獻 1.Bannier, C.E., Bofinger, Y., & Rock, B. (2022). Corporate social responsibility and credit risk. Finance Research Letters, 44, 102052. 2.Bowen, H. (1953). Social responsibilities of the businessman. New York: Harper & Brothers. 3.Broadstock, D.C., Chan, K., Cheng, L.T.W., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance Research Letters, 38, 101716. 4.Carhart, M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. 5.Clarke, R., de Silva, H., & Thorley, S. (2017). Pure factor portfolios and multivariate regression analysis. Journal of Portfolio Management, 43, 16–31. 6.Derwall, J., Guenster, N., Bauer, R., & Koedijk, K. (2005). The eco-efficiency premium puzzle. Financial Analysts Journal, 61(2), 51–63. 7.Dorfleitner, G., & Halbritter, G. (2015). The wages of social responsibility–where are they? A critical review of ESG investing. Review of Financial Economics, 26, 25–35. 8.Eccles, R., & Serafeim, G. (2013). The performance frontier: innovating for a sustainable strategy. Harvard Business Review, 91, 5, 50-60. 9.Eccles, R.G., Ioannou, I., & Serafeim, G. (2014). The impact of corporate sustainability on organizational processes and performance. Management Science, 60 (11), 2835–2857. 10.El Ghoul, S., Guedhami, O., Kwok, C.C., & Mishra, D.R. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35 (9), 2388–2406. 11.Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33 (1), 3-56. 12.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. 13.Grewal, J., Hauptmann, C. & Serafeim, G. (2021). Material sustainability information and stock price informativeness. Journal of Business Ethics, 171, 513–544. 14.Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019). Integrating ESG in portfolio construction. Journal of Portfolio Management, 45 (4), 67-81. 15.Hörisch, J., Johnson, M. P., & Schaltegger, S. (2015). Implementation of sustainability management and company size: a knowledge-based view. Business Strategy and the Environment, 24(8), 765–779. 16.Hübel, B. & Scholz, H. (2020). Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings. Journal of Asset Management, 21, 52– 69. 17.Jayachandran, S., Kalaignanam, K. & Eilert, M. (2013). Product and environmental social performance: Varying effect on firm performance. Strategic Management Journal, 34, 1255-1264. 18.Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65–91. 19.Jiraporn, P., Jiraporn, N., Boeprasert, A. & Chang, K. (2014). Does corporate social responsibility (CSR) improve credit ratings? Evidence from geographic identification. Financial Management, 43, 505-531. 20.Jo, H., & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics, 110, 441-456. 21.Kaiser, L. (2020). ESG integration: value, growth and momentum. Journal of Asset Management, 21(1), 32-51. 22.Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: first evidence on materiality. The Accounting Review, 91(6), 1697-1724. 23.Konar, S., & Cohen, M. (2001). Does the market value environmental performance? The Review of Economics and Statistics, 83(2), 281-289. 24.KPMG Survey of Sustainability Reporting 2022, Retrieved August 31 2024, from https://assets.kpmg.com/content/dam/kpmg/se/pdf/komm/2022/Global-Survey-of-Sustainability-Reporting-2022.pdf 25.Lesser, K., Rößle, F., & Walkshäusl, C. (2016). Socially responsible, green, and faith-based investment strategies: screening activity matters! Finance Research Letters, 16, 171–178. 26.Li, H., Zhang, X., & Zhao, Y. (2022). ESG and firm’s default risk. Finance Research Letters, 47, 102713. 27.Luo, D. (2022). ESG, liquidity, and stock returns. Journal of International Financial Markets, Institutions and Money, 78, 101526. 28.Manescu, C. (2011). Stock returns in relation to environmental, social and governance ˇ performance: Mispricing or compensation for risk? Sustain. Dev. 19 (2), 95–118. 29.Naffa, H., & Fain, M. (2022). A factor approach to the performance of ESG leaders and laggards. Finance Research Letters, 102073. 30.Pastor, L., & Stambaugh, R. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111 (3), 642-685. 31.Pástor, Ľ., & Vorsatz, M. (2020). Mutual fund performance and flows during the COVID-19 crisis. The Review of Asset Pricing Studies, 10(4), 791–833. 32.Renneboog, L., Horst, J., & Zhang, C. (2008). The price of ethics: Evidence from socially responsible mutual funds. Journal of Corporate Finance, 14(3), 302-322. 33.Robertson, D.C., & Nicholson, N. (1996). Expressions of corporate social responsibility in U.K. firms. Journal of Business Ethics, 15, 1095–1106. 34.SASB CONCEPTUAL FRAMEWORK, Retrieved August 31, 2024, from https://sasb.ifrs.org/wp-content/uploads/2019/05/SASB-Conceptual-Framework.pdf?source=post_page 35.Sassen, R., Hinze, AK. & Hardeck, I. (2016). Impact of ESG factors on firm risk in Europe. Journal of Business Economics, 86, 867–904. 36.Sauer, D. A. (1997). The impact of social‐responsibility screens on investment performance: Evidence from the Domini 400 social index and Domini equity mutual fund. Review of Financial Economics, 6(2),137–149. 37.Shaikh, I. (2022). Environmental, social, and governance (ESG) practice and firm performance: an international evidence. 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