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題名 責任型投資組合之績效表現
The Performance of Socially Responsible Investment Portfolio作者 彭紹奎 貢獻者 周行一
彭紹奎關鍵詞 企業社會責任
責任型投資
企業風險日期 2012 上傳時間 1-Jul-2013 17:44:00 (UTC+8) 摘要 近年來企業推行企業社會責任的行動廣為流行，成為了所有企業主要推行的目標，尤其在全球不斷暖化、氣候變遷、勞工罷工、血汗工廠…等相關環境、勞工的議題不斷浮出檯面，企業社會責任更成為了企業不得不面對的問題，責任型投資因為這股思潮，相關的投資商品及選股模式也在各大交易所間盛行，責任型投資更成為了投資人投資時的考慮投資標的之一。本研究透過台灣永續能源研究基金會每年所評選出的良好企業社會責任企業，去建構一責任型投資組合，利用配對法(matching method)與另一個對照組投資組合報酬率相比，試圖找出是否真的良好企業社會責任的企業有較佳的報酬率，此外也觀察此樣本在其獲獎後，看其企業的風險是否有因為良好的揭露企業社會責任而降低，藉此比較兩投資組合之風險值與檢驗企業在實行企業社會責任後能否有效降低企業的風險。實證結果顯示雖然在每年責任型投資組合之報酬率未必比對照組投資組合來的好，但是長期投資績效卻高於對照投資組合，且責任型投資組合之風險較低，在相同的風險承擔之下，可以獲取較高的報酬，而在企業實行企業社會責任後的確能降低企業風險，使企業以較便宜的資金成本取得資金，提升企業的價值，所以建議未來投資人在選股時應將企業之企業社會責任表現加入一併考慮，建構一個長期且穩定的獲利的投資組合。 參考文獻 台灣永續能源研究基金會(2012)，“2012台灣企業永續報告獎” 何森元(2006)，“從良心投資到價值創造：金融業對於企業社會責任的實踐與回應”，證券櫃檯月刊No.122，民國九十五年，74–77李明機(2009)，“簡析企業社會責任(CSR)之發展趨勢”，證券櫃檯月刊No.141，民國九十八年，14–21。沈中華、張元(2008)，“企業的社會責任行為可以改善財務績效嗎? — 以英國FTSE社會責任指數為例”，經濟論文，第三十六卷第三期，339–385莫冬立(2006)，“追求典範：企業社會責任評等系統的發展與應用”， 證券櫃檯月刊No.122，62-73歐盟(2001)，” 「促進企業社會責任的歐洲架構」政策綠皮書”張元(2011)，“社會責任公司有較高的股票報酬嗎？”，輔仁管理評論（社會企業專刊），第十八卷第一期，79–118黃正忠, Sean Gilbert(2010)，“ESG揭露與企業永續報告書的發展”，證券櫃檯月刊No147，38–42聯合國(2006)，“聯合國責任投資原則(中譯) 譯者:徐耀浤”，台灣企業社會責任網 :http://csr.moea.gov.tw/standards/responsibleinvestment.aspxAnginer D., Fisher K. L. and Statman M., 2008, Stocks of Admired Companies and Despised Ones, Working Paper, University of Michigan.Bassen,A., Meyer,K., Schlange,J., 2006, The Influence of Corporate Responsibility on the Cost of Capital An Empirical 2006, Working Paper, University of Hamburg.Bauer R., Koedijk K. and Otten R.,2005,International Evidence on Ethical Mutual Fund Performance and Investment Style‖, Journal of Banking & Finance, Vol. 29, No.7, 1751–1767. Becchetti L., Ciciretti R., and Hasan I., 2007, Corporate Social Responsibility and Shareholder`sValue: An Event Study Analysis, Working Paper, Federal Reserve Bank of Atlanta, No.2007–06. Bollen,N.P.B, 2006,Mutual Fund Attributes and Investor Behavior, Journal of Financial and Quantitative Analysis,Dam, L., 2006, Corporate Social Responsibility in a General Equilibrium Stock Market Model: Solving the Financial Performance Puzzle, CCSO WorkingPapers, University of Groningen.Derwall, J., Gunster, N., Bauer, R., and Koedijk, K., 2005, The Eco-Efficiency Premium Puzzle, Financial Analysts Journal, Vol. 61, No. 2, 51–63.Ghoul,S.E., Guedhami,O., Chuck C. Y. Kwok,C.C.Y., Mishra,D.R.,2011, Does corporate social responsibility affect the cost of capital?, Journal of Banking & Finance, Volume 35, 2388–2406.Gladman, k., 2011, The Things to Know about Responsible Investment &Performance, Governance Metrics International.Goodall, T., 2006, Measuring Corporate Sustainability Performance and Its Impact on Corporate Financial Performance, Applied Research in Environmental Economics, Vol. 31, 51–74.Jack Welch, 1981, growing fast in a slow-growth economy, speech, The Pierre in New York City.Kempf A. and Osthoff P., 2007,The Effect of Socially Responsible Investing on Portfolio Performance, European Financial Management, Vol. 13, No. 5, 908–922.Michael E. Porter, 2006, Strategy and Society: The Link Between Competitive Advantage and Corporate Social Responsibility, Harvard Business Review.Lee,D.D., and Faff,R.W.,2009,Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective, The Financial Review 44,213–237.Mahoney L. and Roberts R. W., 2007, Corporate Social Performance, Financial Performance and Institutional Ownership in Canadian Firms, Accounting Forum, Vol.31, No.3, 233–253.Oikonomou, L., Brooks,C.and Pavelin,S.,2011, The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings, Working Paper , ICMA Centre ,Henley Business School , University of Reading.Salzmann O., Ionescu-Simers A., and Steger U., 2005, The Business Case for Corporate Sustainability: Literature Review and Research Options‖, European Management Journal, Vol. 23, No. 1, 27–36.Schneider, T. E., 2010, .Is Environmental Performance a Determinant of Bond Pricing? Evidence from the US Pulp and Paper and Chemical Industries, Contemporary Accounting Research, 20: 1-25.Schuler, D. A. and M. Cording, 2006, A Corporate Social Performance-Corporate Financial Performance Behavioral Model for Consumers, Academy of Management Review, 31(3), 540–558. The Worldwatch Institute, 2005, 2005 State of the World Redefining Global Security.Tsoutsoura, M., 2004, Corporate Social Responsibility and Financial Performance, Working paper, University of California. Ullmann, A.A., 1985, Data in Search of a Theory: A Critical Examination of the Relationships among Social Performance, Social Disclosure, and Economic Performance of U. S. Firms, The Academy of Management Review, Vol. 10, No. 3, 540–557. 描述 碩士
國立政治大學
財務管理研究所
100357007
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100357007 資料類型 thesis dc.contributor.advisor 周行一 zh_TW dc.contributor.author (Authors) 彭紹奎 zh_TW dc.creator (作者) 彭紹奎 zh_TW dc.date (日期) 2012 en_US dc.date.accessioned 1-Jul-2013 17:44:00 (UTC+8) - dc.date.available 1-Jul-2013 17:44:00 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2013 17:44:00 (UTC+8) - dc.identifier (Other Identifiers) G0100357007 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58712 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 100357007 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 近年來企業推行企業社會責任的行動廣為流行，成為了所有企業主要推行的目標，尤其在全球不斷暖化、氣候變遷、勞工罷工、血汗工廠…等相關環境、勞工的議題不斷浮出檯面，企業社會責任更成為了企業不得不面對的問題，責任型投資因為這股思潮，相關的投資商品及選股模式也在各大交易所間盛行，責任型投資更成為了投資人投資時的考慮投資標的之一。本研究透過台灣永續能源研究基金會每年所評選出的良好企業社會責任企業，去建構一責任型投資組合，利用配對法(matching method)與另一個對照組投資組合報酬率相比，試圖找出是否真的良好企業社會責任的企業有較佳的報酬率，此外也觀察此樣本在其獲獎後，看其企業的風險是否有因為良好的揭露企業社會責任而降低，藉此比較兩投資組合之風險值與檢驗企業在實行企業社會責任後能否有效降低企業的風險。實證結果顯示雖然在每年責任型投資組合之報酬率未必比對照組投資組合來的好，但是長期投資績效卻高於對照投資組合，且責任型投資組合之風險較低，在相同的風險承擔之下，可以獲取較高的報酬，而在企業實行企業社會責任後的確能降低企業風險，使企業以較便宜的資金成本取得資金，提升企業的價值，所以建議未來投資人在選股時應將企業之企業社會責任表現加入一併考慮，建構一個長期且穩定的獲利的投資組合。 zh_TW dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 研究目的 4第三節 研究範圍與限制 5第四節 研究架構與流程 6第二章 文獻探討 7第一節 企業社會責任發展沿革 7第二節 企業社會責任與企業報酬相關研究 9第三節 責任型投資組合發展沿革與選股策略 11第四節 責任型投資報酬率相關研究 13第五節 揭露企業社會責任與企業風險下降 15第六節 研究假說 16第三章 研究設計 17第一節 資料及樣本選取 17第二節 實證研究的架構 19第三節 研究限制 22第四章 實證結果分析 24第一節 基本資料分析 24第二節 責任型投資組合報酬率分析 25第三節 責任型投資風險值分析 29第四節 成分股風險值分析 32第五節 夏普指標與Treynor ratio比較 34第六節 與大盤報酬比較 36第五章 結論與建議 37第一節 結論 37第二節 建議 38參考文獻 39附錄 42 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100357007 en_US dc.subject (關鍵詞) 企業社會責任 zh_TW dc.subject (關鍵詞) 責任型投資 zh_TW dc.subject (關鍵詞) 企業風險 zh_TW dc.title (題名) 責任型投資組合之績效表現 zh_TW dc.title (題名) The Performance of Socially Responsible Investment Portfolio en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 台灣永續能源研究基金會(2012)，“2012台灣企業永續報告獎” 何森元(2006)，“從良心投資到價值創造：金融業對於企業社會責任的實踐與回應”，證券櫃檯月刊No.122，民國九十五年，74–77李明機(2009)，“簡析企業社會責任(CSR)之發展趨勢”，證券櫃檯月刊No.141，民國九十八年，14–21。沈中華、張元(2008)，“企業的社會責任行為可以改善財務績效嗎? — 以英國FTSE社會責任指數為例”，經濟論文，第三十六卷第三期，339–385莫冬立(2006)，“追求典範：企業社會責任評等系統的發展與應用”， 證券櫃檯月刊No.122，62-73歐盟(2001)，” 「促進企業社會責任的歐洲架構」政策綠皮書”張元(2011)，“社會責任公司有較高的股票報酬嗎？”，輔仁管理評論（社會企業專刊），第十八卷第一期，79–118黃正忠, Sean Gilbert(2010)，“ESG揭露與企業永續報告書的發展”，證券櫃檯月刊No147，38–42聯合國(2006)，“聯合國責任投資原則(中譯) 譯者:徐耀浤”，台灣企業社會責任網 :http://csr.moea.gov.tw/standards/responsibleinvestment.aspxAnginer D., Fisher K. L. and Statman M., 2008, Stocks of Admired Companies and Despised Ones, Working Paper, University of Michigan.Bassen,A., Meyer,K., Schlange,J., 2006, The Influence of Corporate Responsibility on the Cost of Capital An Empirical 2006, Working Paper, University of Hamburg.Bauer R., Koedijk K. and Otten R.,2005,International Evidence on Ethical Mutual Fund Performance and Investment Style‖, Journal of Banking & Finance, Vol. 29, No.7, 1751–1767. Becchetti L., Ciciretti R., and Hasan I., 2007, Corporate Social Responsibility and Shareholder`sValue: An Event Study Analysis, Working Paper, Federal Reserve Bank of Atlanta, No.2007–06. Bollen,N.P.B, 2006,Mutual Fund Attributes and Investor Behavior, Journal of Financial and Quantitative Analysis,Dam, L., 2006, Corporate Social Responsibility in a General Equilibrium Stock Market Model: Solving the Financial Performance Puzzle, CCSO WorkingPapers, University of Groningen.Derwall, J., Gunster, N., Bauer, R., and Koedijk, K., 2005, The Eco-Efficiency Premium Puzzle, Financial Analysts Journal, Vol. 61, No. 2, 51–63.Ghoul,S.E., Guedhami,O., Chuck C. Y. Kwok,C.C.Y., Mishra,D.R.,2011, Does corporate social responsibility affect the cost of capital?, Journal of Banking & Finance, Volume 35, 2388–2406.Gladman, k., 2011, The Things to Know about Responsible Investment &Performance, Governance Metrics International.Goodall, T., 2006, Measuring Corporate Sustainability Performance and Its Impact on Corporate Financial Performance, Applied Research in Environmental Economics, Vol. 31, 51–74.Jack Welch, 1981, growing fast in a slow-growth economy, speech, The Pierre in New York City.Kempf A. and Osthoff P., 2007,The Effect of Socially Responsible Investing on Portfolio Performance, European Financial Management, Vol. 13, No. 5, 908–922.Michael E. Porter, 2006, Strategy and Society: The Link Between Competitive Advantage and Corporate Social Responsibility, Harvard Business Review.Lee,D.D., and Faff,R.W.,2009,Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective, The Financial Review 44,213–237.Mahoney L. and Roberts R. W., 2007, Corporate Social Performance, Financial Performance and Institutional Ownership in Canadian Firms, Accounting Forum, Vol.31, No.3, 233–253.Oikonomou, L., Brooks,C.and Pavelin,S.,2011, The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings, Working Paper , ICMA Centre ,Henley Business School , University of Reading.Salzmann O., Ionescu-Simers A., and Steger U., 2005, The Business Case for Corporate Sustainability: Literature Review and Research Options‖, European Management Journal, Vol. 23, No. 1, 27–36.Schneider, T. E., 2010, .Is Environmental Performance a Determinant of Bond Pricing? Evidence from the US Pulp and Paper and Chemical Industries, Contemporary Accounting Research, 20: 1-25.Schuler, D. A. and M. Cording, 2006, A Corporate Social Performance-Corporate Financial Performance Behavioral Model for Consumers, Academy of Management Review, 31(3), 540–558. The Worldwatch Institute, 2005, 2005 State of the World Redefining Global Security.Tsoutsoura, M., 2004, Corporate Social Responsibility and Financial Performance, Working paper, University of California. Ullmann, A.A., 1985, Data in Search of a Theory: A Critical Examination of the Relationships among Social Performance, Social Disclosure, and Economic Performance of U. S. Firms, The Academy of Management Review, Vol. 10, No. 3, 540–557. zh_TW
