責任投資:ESG 持續性與動能策略之探討

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姓名

曾士軒(TSENG, SHIH-HSUAN) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

責任投資:ESG 持續性與動能策略之探討
(Responsible Investment: ESG Persistency and Momentum Strategy)

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摘要(中)

近年來永續概念逐漸興起，越來越多投資人，將企業執行企業社會責任所產生之非財務資訊，納入投資策略考量之中。本文透過Thomson Reuters Eikon 所建構之ESG分數，嘗試不同篩選方式，將ESG資訊與價格動能策略做結合。實證結果發現，以直接將過去股票報酬與ESG分數結合的Independent Sort 篩選方式報酬表現最佳。透過買入過去報酬率高且ESG分數高之公司，賣出過去股價報酬低且ESG分數低之公司，最高平均週報酬可達0.32%。如將篩選條件改為連續兩年ESG分數皆高分之公司，平均週報酬更高達0.4%。成功建立可持續獲利之投資組合。此外，本研究所使用之投資策略獲利來源皆來自買方，經風險調整過後皆能得顯著異於零之正報酬，顯示當考慮到市場操作放空的限制後，透過買入過去報酬高且高ESG分數公司之策略，亦可以形成可獲利之投資策略。

摘要(英)

In recent years, the concept of sustainability has gradually emerged, and more and more investors have incorporated the non-financial information into investment strategy considerations. This article tries to use ESG scores which is from Thomson Reuters Eikon to construct different screening methods to combine ESG information with price momentum strategy. The empirical results show that the Independent Sort screening method, which directly combines past stock return with ESG scores, performs best. By buying companies with high past return and high ESG scores, and selling the company with low past return and low ESG scores have a maximum average weekly return of 0.32%. If the screening conditions are changed to companies with high ESG scores for two consecutive years, the average weekly return is as high as 0.4%. Successfully established a sustainable and profitable portfolio. In addition, the investment strategies profits are all from the long side. After the risk adjustment, the strategies can get positive significant profit different from zero. It shows that after considering the short-selling restriction on the market, the strategies still can get profits by buying companies with high past return and high ESG scores.

關鍵字(中)

★ ESG
★ ESG動能策略
★ 動能策略
★ 持續性

關鍵字(英)

★ ESG
★ ESG-momentum
★ momentum strategy
★ persistency

論文目次

一、緒論 1
研究背景與動機 1
二、文獻探討 4
2-1 動能策略相關文獻 4
2-2 ESG相關文獻 5
2-2-1從事ESG對公司有正面影響之相關文獻 5
2-2-2從事ESG對公司有負面影響之相關文獻 6
三、研究方法與設計 8
3-1樣本與資料庫 8
3-2資料處理與研究方法 9
3-3價格動能策略結合ESG資訊 10
3-3-1 Independent Sort 10
3-3-2 Dependent Sort 10
四、實證結果 11
4-1 價格動能策略與ESG動能策略 11
4-2 結合ESG資訊之價格動能策略 12
4-2-1 結合ESG資訊之動能策略------Independent Sort 12
4-2-2 結合ESG資訊之動能策略------Dependent Sort 13
4-2-3 結合ESG資訊之動能策略-每年ESG都做得好有較高的報酬？ 14
4-2-4 不同篩選方式比較 15
4-2-5 ESG Combined Score 與ESG Score 比較 16
五、結論 18
未來研究方向 19
參考文獻 20
英文文獻 20
附錄一 23
附錄二 24

參考文獻

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指導教授

楊曉文(Sheau-Wen Yang)

審核日期

2019-6-24

推文