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| Title: | 透過模擬投資組合建構ESG投資組合-以台股為例
Constructing of Taiwan ESG Investment Portfolio through Mimicking Portfolio - Evidence from Taiwan Stock Market |
| Authors: | 陳春翰
Chen, Chun-Han |
| Contributors: | 羅秉政
呂桔誠
Kendro Vincent
Lyu, Jye-Cherng
陳春翰
Chen, Chun-Han |
| Keywords: | 超額報酬
ESG
投資組合
ETF
模擬投資組合
MSCI ESG Index
Abnormal return
ESG
Portfolio
ETF
mimicking portfolio
MSCI ESG Index |
| Date: | 2023 |
| Issue Date: | 2023-12-01 10:46:19 (UTC+8) |
| Abstract: | 隨著全球環保意識的抬頭與責任投資的浪潮興起，不論是法人機構抑或是一般投資者均開始關注ESG的相關議題，許多大型投資機構更是紛紛表態，對於那些對環境、社會不友善，或者是公司治理表現不佳的公司，比如像煙草、煤礦、軍火、賭博與酒精等爭議性或敏感性公司，將不再被納入其投資組合中，以符合其永續發展目標的相關投資策略。
但如果回歸到資本市場的本質，投資人之所以拿出錢來投資這間公司，無非是希望未來能獲取相當的報酬。有鑑於此，ESG投資是否能為投資人帶來超額報酬，變成為了一個相當重要的議題。不少投信、投顧機構均宣稱，就長期而言，ESG投資組合之累積報酬率相較於同期間之大盤指數來的更好，而針對ESG投資策略是否存在超額報酬，各種國內外文獻的研究結論亦相當不一致。因此，本研究想要探討台灣上市股票的ESG投資相較於大盤而言是否能為投資人帶來超額報酬，除了檢定台灣境內之主動式與被動式ESG基金外，並依據個別上市公司與MSCI ESG Leaders Index之貝他值，透過模擬投資組合建構台灣上市股票之ESG投資組合，再藉由CAPM模型檢定所建構之投資組合。根據實證的結果，無論是主動式或被動式ESG基金，以及本研究所建構之高ESG投資組合，相較於指標指數台灣發行量加權股價報酬指數而言，均不存在顯著的超額報酬，儘管如此，本研究觀察到大部分ESG投資組合的波動度相較於大盤來的較低。在績效方面，除了本文第一階段所建構之高ESG投資之績效有勝過台灣發行量加權股價報酬指數外，其餘包含投信公司所發行之ESG相關基金與ETF，以及排除營收及大盤影響後之高ESG投資組合均遜於大盤。
With the rise of global awareness of environmental protection and the rise of responsible investment, both corporate institutions and ordinary investors have begun to pay attention to ESG-related issues. Companies with poor corporate governance performance, such as controversial or sensitive companies such as tobacco, coal mines, arms, gambling and alcohol, will no longer be included in their investment portfolios to meet their sustainable development goals in order to follow their sustainable investment strategies.
But the reason why investors spend money to invest in those companies is nothing more than hoping to get a considerable return in the future. As a result, whether ESG investment can bring excess returns to investors has become a very important issue. Many securities investment trust and consulting institutions claim that in the long run, the cumulative rate of return of ESG investment portfolios is better than that of the broader market index during the same period, and there are various domestic and foreign literatures debate on whether ESG investment strategies can make excess returns or not. The findings of the studies are also quite inconsistent.
Therefore, this study intends to explore whether ESG investment in Taiwan’s listed stocks can bring investors excess returns compared with the broader market. In addition to testing active and passive ESG funds in Taiwan, we also calculate the beta value between individual listed companies and MSCI ESG Leaders Index to construct an ESG- mimicking portfolio, and verify the constructed portfolio through the CAPM model. According to the empirical results, both active or passive ESG funds, as well as the high ESG investment portfolio constructed by this research, there is no significant excess return compared with the TWSE Capitalization Weighted Stock Total Return Index. However, we do find that the volatility of most ESG portfolios is lower than that of the broader market. As to the performance, except for the high ESG investment portfolio constructed in the first stage of this article, which outperformed than TWSE Capitalization Weighted Stock Total Return Index, the rest included ESG related mutual funds and ETFs, as well as high-ESG portfolios excluding the impact of revenue and the broader market, is worse than the Taiwan TWSE Capitalization Weighted Stock Total Return Index. |
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| Description: | 碩士
國立政治大學
國際金融碩士學位學程
111ZB1032 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111ZB1032 |
| Data Type: | thesis |
| Appears in Collections: | [國際金融碩士學位學程] 學位論文
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