本研究不是驗證具備企業社會責任（不論是稱為CSR、ESG、Sustainable）之公司的股票價格或財務數字表現是否會優於同業或大盤，而是聚焦在資產管理的實務上。本研究試圖在台灣股票之基金投資組合的建構流程中，除傳統的財務指標分析外，加入非財務指標分析，而該投資組合能長期一致地、顯著地打敗投資基準指標（台灣加權股價指數）或同類型基金；並進一步使用商業模式分析解釋隱藏在公司股價表現內的意義。 本研究採用「Bloomberg ESGD Score」，模擬一個整合財務指標與非財務指標包括50檔台灣股票的基金投資組合(ESGD 50 TW)，並按經理人配置個股權重的不同，假設三種情境：一般的、最好的、最壞的，並分析其短、中、長期投資績效表現。 實證結果發現，不論是在何種情境，ESGD 50 TW長期的投資績效表現大幅領先其基準指標－台灣加權股價指數(TWSE)，而投資權重沒有過度集中於特定產業之情況；不過，比較台灣加權股價指數的市值權重，ESGD 50 TW大型股權重相對較低、中型股相對較高，以至於風險指標表現小幅落後大盤。 本研究進一步採用「８十商業模式」與「８十財會模式」分析其投資組合特性，實證結果發現， ESGD 50 TW投資組合的個股公司最新的財務指標表現，一致性地領先大盤與同業；似乎反映了這些公司能在面對外在環境的變化時，能夠成功地調整企業活動，並設計創新的商業模式，取得持續的競爭優勢。至於整合「Bloomberg ESGD Score」這類型非財務指標，在傳統的股票投資分析中，可能是讓經理人可以提前發現可持續發展企業的成長潛力與股票價值的一種方法。 When testing the impact “extra-financial” factors have on performance, past empirical studies have returned mixed results, with some suggesting SRI funds yield the same risk-adjusted return, on average, as traditional funds, and others suggesting investors pay a price for their ‘ethics’. If satisfying an SRI factor is a value creating decision, the price performance of a stock should have a positive relationship with the level of adherence to SRI. Several arguments would support this, such as increased adherence enhancing a firm’s input-output efficiency, signaling strong management, or strengthening supply chain stability. Secondary effects, such as a firm’s access to financing may also be improved with such activities improving its standing amongst other financial market participants and governments. Conversely, it can be argued that adopting these standards translates into higher costs and is as such damaging to shareholder value. Rather than hope to provide a definitive conclusion to this debate, we simply examine here the performance of the “ESG” (environment, social and governance) styles as represented by the Bloomberg ESG Survey and the stock ratings that underlie them to provide some further context to the discussion. In doing so, we consider factors that influence their performance such as size effects and relative valuation within the tiers of companies defined by TWSE. An awareness of regional and sector effects is also integral to this. As well as simply “letting the data speak”, we also wish to see if we can enhance the performance of stocks selected by extra-financial factors by considering their associated financial characteristics. To conduct our analysis, we also have utilized Hann-Tarn Jeng’s “8+ Business Model” and “8+ Finance & Accounting Model”.
