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| Title: | 基金持股的ESG分數對基金績效之影響
An Analysis of ESG Scores of Fund Holdings and Fund Performance |
| Authors: | 張文姿
Chang, Wen-Zi |
| Contributors: | 陳鴻毅
Chen, Hong-Yi
張文姿
Chang, Wen-Zi |
| Keywords: | ESG分數
責任投資
非ESG基金
Socially Responsible Investment (SRI)
ESG Score
Non-ESG funds |
| Date: | 2021 |
| Issue Date: | 2021-07-03 00:45:26 (UTC+8) |
| Abstract: | 近來，越來越多投資人與機構法人將責任投資或是綠色投資納入投資策略的考量中，在基金市場與ESG (環境、社會、公司治理)相關的商品也越來越多元，投入其中的資金規模也日漸成長。因此，本研究主要目的為探討如此趨勢下，未標榜ESG或是相關概念之基金是否同將責任投資之概念納入其投資決策中並影響基金之績效。本研究以美國2005年至2018年間之非ESG權益型基金為樣本，利用個股的ESG分數加權平均計算基金持股的ESG分數，進而探討基金持股的ESG分數是否對基金流量和基金報酬表現有影響。實證結果發現非ESG基金持股的ESG分數與基金的流量和報酬表現呈現負相關，表示ESG分數較低的非ESG基金較受到投資人喜愛，亦可獲得較高的報酬。本研究透過分段回歸進一步發現，基金持股的ESG分數與基金流量的負向關係於低ESG分數的樣本中較強。此外，基金ESG分數僅有在分數表現較高時，會帶給基金報酬表現正面的效果。
Recently, ever more investors and institutions incorporate Socially Responsible Investment (SRI) and Environmental, Social, and Governance (ESG) into their investment strategies. This trend is changing the development of fund market, and various kinds of related products are rolled out with lots of capital flow into this market. The main purpose of this study is to explore the investment strategies and fund performance of Non-ESG funds that do not support for SRI/ESG or related issues in the popularity of SRI/ESG. This study empirically includes Non-ESG equity funds in the US market from 2005 to 2018 and analyzes the relationship between ESG Scores of fund holdings and fund performance. Empirical results indicate that comparing to funds with high and low ESG Scores, investors who invest in Non-ESG funds divest when ESG Scores of funds get higher. In addition, ESG Scores of funds are negatively correlated to fund returns. This study uses piecewise regression to regress fund flow and returns on ESG Scores of funds and shows that the aversion to ESG Scores of investors decreases as ESG Scores outperform the average of all Non-ESG equity funds. In terms of fund returns, ESG Scores undermine fund returns when ESG Score is higher than the average of all Non-ESG equity funds. On the contrary, ESG Scores improves fund returns, when it is lower than the average of all Non-ESG equity funds. |
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| Description: | 碩士
國立政治大學
財務管理學系
108357018 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108357018 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100623 |
| Appears in Collections: | [財務管理學系] 學位論文
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