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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/145861


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    題名: 考量ESG評級不一致下ESG投資之探討
    A Study of ESG Investing considering ESG Rating Uncertainty
    作者: 陳又瑄
    Chen, Yu-Hsuan
    貢獻者: 楊曉文
    Yang, Sharon
    陳又瑄
    Chen, Yu-Hsuan
    關鍵詞: 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
    日期: 2023
    上傳時間: 2023-07-06 16:47:12 (UTC+8)
    摘要: 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.
    參考文獻: Avramov, D., Cheng, S., Lioui, A., Tarelli, A. (2022). Sustainable investing with ESG rating uncertainty. Journal of Financial Economics, 145 (2), 642-664.
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    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
    描述: 碩士
    國立政治大學
    金融學系
    110352017
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0110352017
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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