| 摘要(英) |
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”. |
| 參考文獻 |
外文部分
【1】 Bauer, R., K. Koedijk and R. Otten (2005), International Evidence on Ethical Mutual Fund Performance and Investment Style, Journal of Banking and Finance 29, 1751-1767.
【2】 Brinson, G., Hood, R. and Beebower, G. (1986), Determinants of Portfolio Performance. Financial Analysts Journal, 42(4), 39-44., Jul.-Aug.
【3】 Brinson, G., Hood, R. and Beebower, G. (1991), Determinants of Portfolio Performance II: An Update, 47(3), 40-48., May-Jun.
【4】 Godfrey, L. G. and Orme, C. D. (2002), Using bootstrap methods to obtain normality robust Chow prediction tests. Economics Letters, 76, 429-436.
【5】 Paparoditis, E., and D. N. Politis (2005), Bootstrap hypothesis testing in regression models, Statistics and probability letters, 74, 356-365.
【6】 Schröder, M. (2003), The Performance of Socially Responsible Investments: Investment Funds and Indexes, Financial Markets and Portfolio Management 18, 122-142.
【7】 Statman , M. (2000), Socially Responsible Mutual Funds, Financial Analyst Journal 56, 30-39.
中文部分
【1】 鍾雨辰，「台灣社會責任投資之績效分析」，國立中央大學，碩士論文，民國101年。
【2】 黎彥成，「採ESG篩選準則對投資績效影響之研究」，國立中央大學，碩士論文，民國100年。
【3】 陳彥寧，「法人機構投資人經營社會責任投資－以退休基金經理人之受託義務為中心」，國立東華大學，碩士論文，民國100年。
【4】 陳永龍，「社會責任投資共同基金之績效分析」，國立台灣大學，碩士論文，民國99年。
【5】 沈中華，張元，「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」，中央研究院，經濟論文，民國97年。 |
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