政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/145861

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/145861

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/145861

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/145861

Title:	考量ESG評級不一致下ESG投資之探討 A Study of ESG Investing considering ESG Rating Uncertainty
Authors:	陳又瑄 Chen, Yu-Hsuan
Contributors:	楊曉文 Yang, Sharon 陳又瑄 Chen, Yu-Hsuan
Keywords:	ESG ESG 評級不一致非系統性風險下檔風險動能策略 ESG ESG rating uncertainty Idiosyncratic risk Downside risk Momentum strategy
Date:	2023
Issue Date:	2023-07-06 16:47:12 (UTC+8)
Abstract:	本研究旨在探討將ESG評級不一致議題納入ESG投資考量的重要性。ESG評級不一致代表評級機構間對同一家公司的永續表現看法不一致，本研究以明晟(MSCI)、標普(S&P)及路孚特(Refinitiv)三家評級機構的ESG分數衡量ESG評級不一致，並以2017年至2022年美國市場資料進行分析。在考量ESG評級不一致後，本研究進行兩個議題的研究，第一探討ESG評級與投資風險的關係，其中衡量之風險類別包括總風險、非系統性風險以及下檔風險。第二延伸Chen and Yang (2021)之ESG動能策略，建立考量ESG評級不一致的動能策略。本研究的發現可歸結為以下三點：(1)當ESG評級不一致程度低時，ESG評級與投資風險有顯著反向關係。(2)ESG分數高的公司ESG評級不一致與投資風險有顯著正向關係。(3)ESG評級不一致動能策略有顯著正報酬。透過三點研究發現，本研究顯現將ESG評級不一致議題納入ESG投資考量的重要性。 This paper investigates the importance of incorporating the issue of ESG rating uncertainty into ESG investment considerations. ESG rating uncertainty refers to the divergence of ratings for the same firm issued by different ESG rating providers. I collect and study ESG ratings from three prominent ESG rating providers for firms in the US market between 2017 and 2022. I use data from MSCI, S&P Global, and Refinitiv. After considering ESG rating uncertainty, I pursue two objectives: First, I study the relationship between ESG rating and investment risk, which includes total risk, idiosyncratic risk, and downside risk. Second, I construct ESG rating uncertainty momentum strategy, following the approach suggested by Chen and Yang (2021). The empirical findings of this study can be concluded in three points. (1) The ESG rating is negatively associated with investment risk among stocks with low ESG rating uncertainty. (2) The investment risk is positively associated with ESG rating uncertainty among stocks with high ESG ratings. (3) The returns to ESG rating uncertainty momentum strategy are significantly positive. The results call for greater attention to incorporate the issue of ESG rating uncertainty into ESG investment considerations.
Reference:	Avramov, D., Cheng, S., Lioui, A., Tarelli, A. (2022). Sustainable investing with ESG rating uncertainty. Journal of Financial Economics, 145 (2), 642-664. Atilgan, Y., Bali, T. G., Ozgur Demirtas, K., & Doruk Gunaydin, A. (2020). Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns. Journal of Financial Economics, 135(3), 725–753. Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203–228. Berg, F., J. F. K¨olbel, and R. Rigobon. (2022). Aggregate confusion: The divergence of ESG ratings. Review of Finance, 26(6), 1315-1344. Bali, T. G., Ozgur Demirtas, K., & Levy, H. (2009). Is there an intertemporal relation between downside risk and expected returns? The Journal of Financial and Quantitative Analysts, 44(4), 883–909. Boyer, B., Mitton, T., & Vorkink, K. (2010). Expected idiosyncratic skewness. The Review of Financial Studies, 23(1), 169–202. Christensen, D. M., Serafeim, G., and Sikochi, A. (2021). Why is corporate virtue in the eye of the beholder? The case of ESG ratings, The Accounting Review, 97(1), 147-175. Chen, H.Y., and Yang, S. S. (2020). Do Investors Exaggerate Corporate ESG Information? Evidence of the ESG Momentum Effect in the Taiwanese Market. Pacific-Basin Finance Journal. 63, 101407. Deaves, R. (2005). Flawed self-directed retirement account decision-making and its implications. Canadian Investment Review (Spring), 6–15. De Bondt, Werner F. M. and Richard Thaler. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793-805. 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. Gibson Brandon, R., Krueger, P., and Schmidt, P. S. (2021). ESG rating disagreement and stock returns, Financial Analysts Journal, 77, 104–127. Jegadeesh, N. and Titman, S. (1993). Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance, 48, 65–91. Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics & Statistics, 47(1), 13–37. Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768–783. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442. Shefrin, H., and M. Statman. (1995). Making Sense of Beta, Size and Book-to-Market. Journal of portfolio management, 21(2), 26-34. Tensie Whelan, Ulrich Atz, Tracy Van Holt, Casey Clark. (2021). ESG and Financial Performance: Uncovering the Relationship by Aggregating Evidence from 1,000 Plus Studies Published between 2015-2020, NYU Stern Center for Sustainable Bussiness, from https://www.stern.nyu.edu/sites/default/files/assets/documents/NYU-RAM_ESG-Paper_2021%20Rev_0.pdf
Description:	碩士國立政治大學金融學系 110352017
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0110352017
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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