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    Title: 基於BERT模型分析ESG新聞情緒對股票報酬之影響
    Analyzing the Impact of ESG News Sentiment on Stock Returns Based on BERT Model
    Authors: 賴亮瑋
    Lai, Liang-Wei
    Contributors: 楊曉文
    Yang, Sheau-Wen
    賴亮瑋
    Lai, Liang-Wei
    Keywords: ESG
    ESG新聞
    情緒分析
    BERT
    ESG
    ESG News
    Sentiment Analysis
    BERT
    Date: 2023
    Issue Date: 2023-07-06 16:47:51 (UTC+8)
    Abstract: 隨著市場開始重視ESG，以及投資人對ESG資訊的需求量增加，發布頻率高的ESG新聞成為投資人獲取ESG資訊的管道之一，而ESG資訊如何對報酬產生影響成為重要議題。過去文獻對此議題的結論不盡相同，且研究樣本多採用美國地區的ESG新聞，因此本文使用台灣上市及上櫃公司資料進行實證分析，並進一步區別環境、社會、公司治理三類別的新聞情緒對各產業之影響，本文有助於補充ESG新聞情緒在不同地區及產業的差異。
    研究方法方面，證明BERT自然語言模型是合適的情緒分析工具，基於BERT具備強大的文章理解能力，提供準確的情緒分類結果，相較於其他情緒分析模型，在準確度、F1-Score都有較佳的表現。研究結果方面，台灣ESG新聞情緒對個股報酬有顯著的同向影響，且負面ESG新聞情緒對個股報酬的影響較正面ESG新聞情緒大，符合行為財務理論與假說預測。本文有兩點重要發現，第一，當新聞內容包含ESG因素，可提升正面新聞的正面影響力，同時降低負面新聞對報酬的負面效果。第二，整理環境、社會、公司治理三類別對各產業的反應，反應不盡相同，大部分產業報酬受正面新聞的反應為正面，負面新聞的反應為負面。關於社會與公司治理議題的消費品產業新聞，對報酬反應皆為負面，顯示仍有產業對於ESG議題持負面看法，存在成本增加、與代理人問題等擔憂。
    As market funds flow into ESG investments and the increasing demand for ESG information from investors, ESG news with the highest frequency of release has become the best way for investors to obtain ESG information, and how ESG information affects returns has become an important issue. Previous literature has reached different conclusions, and focusing on ESG news from the United States. In this paper, I use the data from listed and OTC companies in Taiwan, and distinguishes the news sentiment of environment, society, and corporate governance. This study helps to complement the differences in ESG news sentiment across regions and industries.
    In terms of research methods, it is proved that the BERT is a good sentiment analysis tool. BERT has a strong ability to understand articles and provides accurate sentiment classification results. Compared with other sentiment analysis models, it has better performance in accuracy and F1-Score. From the research results, it is found that ESG news sentiment has a significant impact on individual stock returns, and negative ESG news sentiment has a greater impact on returns than positive ESG news sentiment, which is consistent with the predictions from behavioral finance theories and hypotheses. This article mainly discovers that when news content includes ESG factors, it can enhance the positive impact of positive news and reduce the negative effects of negative news on returns. It also summarizes the responses of various industries to E, S, G news. Most industry’s returns are positive for positive news and negative for negative news. And found that some industries have a negative view on ESG issues, indicating that there are concerns about cost increases and agency issues.
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    Description: 碩士
    國立政治大學
    金融學系
    110352023
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110352023
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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