結合ESG篩選之價格動能策略 -以台灣市場為例

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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)

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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

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指導教授

楊曉文(Sheau-Wen Yang)

審核日期

2020-1-13

推文