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| Title: | ESG評分和公司債報酬
ESG scores and return of corporate bonds |
| Authors: | 陳仟袖
Chen, Chien-Hsiu |
| Contributors: | 岳夢蘭
Yueh, Meng-Lan
陳仟袖
Chen, Chien-Hsiu |
| Keywords: | 企業社會責任
ESG
債券報酬
Corporate social responsibility
ESG
Bond return |
| Date: | 2023 |
| Issue Date: | 2023-08-02 12:57:31 (UTC+8) |
| Abstract: | 本研究採用2003年1月至2021年9月期間共4,518間美國企業所發行的債券資料及Refinitiv資料庫中的公司ESG分數，探討ESG與債券報酬間的關係。實證結果顯示，ESG分數與債券超額報酬呈負相關。以債券信用評等分類並控制風險因子後，投機級債券的ESG分數與超額報酬呈正相關，投資級債券則呈小程度負相關。
此外，由環境、社會、公司治理項目分數的分析結果，顯示整體而言細項評分與ESG總分對債券超額報酬的影響趨勢一致，將樣本依信用評等分組並控制風險因子後，對於投機級債券，環境分數的影響最為顯著、公司治理分數無顯著影響；對於投資級債券，則為公司治理分數的影響較社會分數及環境分數顯著。
This study examines the relationship between ESG and bond return, using bond data of 4,518 US companies from January 2003 to September 2021 and companies’ ESG scores from Refinitiv database. The empirical results show that ESG scores are negatively correlated with bond excess returns. When categorized by bond credit rating and controlling risk, ESG scores for speculative-grade bonds are positively correlated with risk-adjusted excess returns, while investment-grade bonds are negatively correlated with risk-adjusted excess returns for a small degree.
In addition, the analysis results of environmental, social, and governance scores show that the sub-item scores and ESG total scores have the similar impact on bond excess returns. After classifying samples according to credit ratings, for speculative-grade bonds, environmental score shows the most significant impact on risk-adjusted excess return, while governance score does not show significant impact; for investment-grade bonds, the impact of governance score is more significant than social and environmental scores. |
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| Description: | 碩士
國立政治大學
財務管理學系
110357003 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110357003 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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