結合ESG篩選之價格動能策略 -以台灣市場為例

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：81

、訪客IP：18.117.73.87

姓名

徐純慧(Chun-Huei Hsu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

結合ESG篩選之價格動能策略 -以台灣市場為例
(Study of Price Momentum Combined with ESG Screening：Empirical Results from Taiwan)

相關論文

★ 從銀行業角度探討反向抵押貸款在臺灣實行之可行性研究	★ 金融科技與監理沙盒對臺灣保險業影響之探討
★ 線上課程學習成效與影響之研究-以壽險從業人員為例	★ 公司治理與風險性資本的關係：以美國壽險及健康險業為例
★ 實際波動度模型下的VIX選擇權定價	★ 經濟供需模型評價死亡率債券
★ 保險業外匯價格變動準備金之研究	★ 隨機模型建構在保險業現金流量測試之應用
★ Solvency II 量化分析──以反向抵押貸款為例	★ 反向抵押貸款採用隨機房價模型之分析
★ VIX金融衍生性市場的價格發現和跳躍行為之研究	★ 企業社會責任對上市公司獲利影響分析：以台灣50成分股為例
★ 權益連結年金保險之定價 — 考慮GARCH 效果	★ 壽險保單準備金之有效存續期間分析─利率風險與死亡率風險
★ 運用關聯性結構方法及GARCH過程評價權益連結型年金內含二元選擇權	★ 公司治理對台灣銀行業獲利及逾放比的影響

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本研究主要探討結合ESG之價格動能策略於台灣資本市場之適用性，並同時進行價格動能、ESG動能以及ESG價格動能三種策略間績效比較。以2010-2017年間Thomson Reuters Eikon資料庫中公布ESG分數的公司作為研究樣本，單獨根據過去股票報酬以及前一年度的ESG非財務資訊做為投資組合標的篩選標準，形成ESG價格動能策略。實證結果顯示，ESG動能策略具有獲利機會。此外，投資人可透過ESG價格動能策略，更好的去區分價格動能策略中贏家以及輸家，提升台灣股市的價格動能獲利情況，顯示ESG資訊對於投資人而言有其相當價值。進一步考量環境(E)、社會(S)以及公司治理(G)三大面向於動能策略的貢獻來源，發現動能獲利主要來自環境以及社會兩大面向貢獻，尤以社會面篩選更為顯著，顯示不同篩選面向確實影響策略績效表現。

摘要(英)

This paper mainly examines the profitability of ESG price momentum in Taiwanese capital market. We collect the ESG score in the Thomson Reuters Eikon database from 2010 to 2017 as our research sample. The strategy is formed based on the past stock returns and ESG non-financial information of the previous year as the screening criteria for the portfolio. The empirical results first show that the ESG momentum strategy has profit opportunities. In addition, investors can better differentiate the winners and losers in the price momentum strategy by combining ESG information, and increase the profitability of the price momentum. To further consider the three sources of contribution to the strategy: environmental (E), social (S) and corporate governance (G), we discover that profits mainly come from the two major aspects of the environment and society. This shows that different screenings do affect the performance of the strategy.

關鍵字(中)

★ ESG價格動能策略
★ ESG
★ 責任投資
★ 動能策略

關鍵字(英)

★ ESG Price Momentum
★ ESG
★ SRI
★ Momentum Strategy

論文目次

中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 vi
一、緒論 1
1-1 研究背景與動機 1
1-2 研究目的與命題 2
二、文獻探討 4
2-1 企業社會責任與企業財務績效相關文獻 4
2-2 ESG投資績效相關文獻 5
2-2-1 責任投資績效 5
2-2-2 篩選過程對於責任投資績效的影響 6
2-3 動能策略相關文獻 6
2-3-1 價格動能策略 6
2-3-2 結合公司特性或基本面財務資訊的動能策略 7
三、研究方法 9
3-1 研究樣本 9
3-2 實證模型 10
3-3 研究方法 11
3-3-1 建構價格動能策略投資組合 11
3-3-2 建構ESG動能策略投資組合 11
3-3-3 建構ESG價格動能策略投資組合 12
四、實證結果分析 13
4-1 敘述統計 13
4-2 投資組合公司個數 13
4-3 價格動能策略 14
4-4 ESG動能策略 14
4-5 結合ESG之價格動能策略 15
4-6 ESG價格動能策略的長期表現 17
4-7 結合E、S、G之價格動能策略 17
五、結論 18
5-1 研究結論 18
5-2 研究限制與建議 19
六、參考文獻 20
七、附表 23

參考文獻

[1] Barnett, M. L., & Salomon, R. M. (2006). Beyond dichotomy：the curvilinear relationship between social responsibility and financial performance. Strategic Management Journal, 27(11), pp.1101–1122.
[2] Bauer, R., Koedijk, K. and Otten, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance, 29(7), 1751-1767
[3] Brammer, S., Brooks, S., & Pavelin S. (2006). Corporate social performance and stock returns:UK evidence from disaggregate measures. Financial Management, Autumn, 97–116.
[4] Capelle-Blancard, G., and Monjon, S. (2014). The Performance of Socially Responsible Funds: Does the Screening Process Matter? European Financial Management, 20(3), 494-520.
[5] Chen, H. Y., Chen, S. S., Hsin, C. W., Lee, C. F. (2014). Does revenue momentum drive or ride earnings or price momentum? Journal of Banking and Finance, 38, 166-185.
[6] Chordia, T., & Shivakumar, L. (2006). Earnings and price momentum. Journal of financial economics, 80(3), 627-656.
[7] Chui, A. C., Titman, S. and Wei, K. J. (2010). Individualism and momentum around the world. Journal of Finance, 65(1), 361-392.
[8] Fama, E. F., ＆ French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.
[9] Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. Journal of Finance, 51(1), 55-84.
[10] Godfrey, P.C., Merrill, C.B. and Hansen, J.M. (2009). The Relationship between Corporate Social Responsibility and Shareholder Value: An Empirical Test of the Risk Management Hypothesis. Strategic Management Journal, 30, 425-445.
[11] Gompers, Ishii, J., and Metrick, A. (2003). Corporate governance and equity prices. Quarterly Journal of Economics, 118(1), 107-156.
[12] Griffin, J. M., Ji, X., & Martin, J. S. (2003). Momentum investing and business cycle risk: Evidence from pole to pole. Journal of Finance, 58(6), 2515-2547.
[13] Hamilton, S., Jo, H. Statman, M. (1993). Doing Well While Doing Good: The Investment Performance of Socially Responsible Mutual Funds, Financial Analysts Journal, November/December: 62-66.
[14] Jegadeesh, N, and Titman, S. (1993). Return to Buying Winners
and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance, 48, 65-91.
[15] Jegadeesh, N., J. Livnat, 2006. Revenue surprises and stock returns. Journal of Accounting and Economics, 41(1-2), 147-171.
[16] Kempf, A. and Osthoff, P. (2007). The effect of socially responsible investing on portfolio performance, European Financial Management, 13(5), pp. 908-922.
[17] Lins, K V, Servaes, H and Tamayo, A (2017). Social capital, trust, and firm performance: the value of corporate social responsibility during the financial crisis. The Journal of Finance, 72 (4). pp. 1785-1824.
[18] 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.
[19] 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
[20] Orlitzky, M., (2013). Corporate social responsibility, noise, and stock market volatility. The Academy of Management Perspectives, 27 (3), 238-254
[21] Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 1-41.
[22] Rouwenhorst, K. G. (1998). International momentum strategies. Journal of Finance, 53(1), 267-284.
[23] Rouwenhorst, K. G. (1999). Local return factors and turnover in emerging stock markets. Journal of Finance, 54(4), 1439-1464
[24] Statman, M (2000). Socially responsible mutual funds. Financial Analysts Journal:30-39.
[25] Yu, L. (2014). Performance of socially responsible mutual funds. Global Journal of Business Research, 8(3), 9-17.

指導教授

楊曉文(Sheau-Wen Yang)

審核日期

2020-1-13

推文