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Title:	結合基本面分析之ESG投資策略與報酬之探討–以美國上市公司為例
Authors:	詹媁涵 Chan, Wei-Han
Contributors:	江彌修林恩平詹媁涵 Chan, Wei-Han
Keywords:	ESG投資基本面分析 F-Score G-Score ESG Investing Fundamental Analysis F-Score G-Score
Date:	2023
Issue Date:	2023-12-01 10:46:41 (UTC+8)
Abstract:	在全球永續發展的趨勢下，環境、社會及公司治理（Environmental, Social, Governance，簡稱：ESG）的概念也蓬勃發展，越來越多投資人將企業ESG表現納入投資決策中。然而，ESG投資是否能實現超額報酬仍然是一個值得探討的議題。因此，本研究欲在ESG投資策略中結合傳統的基本面投資策略，探討經由財務報表分析建構之ESG投資組合，是否能獲得較高的報酬，期能建立一套選股方式，協助ESG投資人在尋求對環境與社會發揮正面影響力的同時，也能實現良好的投資收益。　　本研究使用S&P Global ESG Scores衡量企業ESG表現，並以Piotroski (2000) F-Score及Mohanram (2005) G-Score作為評估公司基本面之評選標準，據以建立結合基本面分析之ESG投資組合。本研究實證分析結果顯示，在S&P Global ESG Scores表現好的公司中，進一步採用F-Score區分基本面好與壞的公司，無法提高投資組合報酬。反之，採用G-Score得以從ESG表現好的公司中，識別出具有投資價值的公司，建構報酬較高且相對穩健之投資組合，且經G-Score篩選之投資組合，ESG總評分表現亦較優秀。對投資人來說，結合G-Score之ESG投資策略是一個值得嘗試的選股方式。　　Under the trend of global sustainable development, the concept of Environmental, Social, and Governance (ESG) is also flourishing. More and more investors are incorporating the ESG performance of a company into their investment decisions. However, whether ESG investment can achieve excess returns is still under debate. Therefore, this study aims to combine ESG investment strategies with traditional fundamental investment strategies and explore whether ESG investment portfolios constructed through financial statement analysis can yield higher returns. The goal is to establish a stock selection method that can assist ESG investors to achieve favorable returns while seeking to have a positive impact on the environment and society. 　　This study uses S&P Global ESG Scores to measure the ESG performance of a company and adopts Piotroski (2000) F-Score and Mohanram (2005) G-Score as criteria for evaluating the company’s fundamentals, in order to construct ESG investment portfolios combined with fundamental analysis. The empirical results show that among companies with high S&P Global ESG Scores, further using F-Score to distinguish companies with good and poor fundamentals cannot improve portfolio returns. However, G-Score can be used to identify companies with a higher investment value among those with good ESG performance, resulting in an ESG investment portfolio with higher and relatively stable returns. Furthermore, the investment portfolio screened through G-Score also demonstrates superior performance in overall ESG scores. For investors, integrating G-Score into ESG investment strategies seems to be a promising stock selection approach.
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Description:	碩士國立政治大學國際金融碩士學位學程 111zb1042
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0111ZB1042
Data Type:	thesis
Appears in Collections:	[Master’s Program in Global Banking and Finance] Theses

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