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    政大典藏 > College of Commerce > Department of Finance > Theses >  Item 140.119/154216


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/154216


    Title: 結合SASB重大性議題之臺灣ESG因子投資研究
    A Study of ESG Factor Investment in Taiwan Combining SASB Materiality Issues
    Authors: 黃瀚君
    Huang, Han-Chun
    Contributors: 李志宏
    黃瀚君
    Huang, Han-Chun
    Keywords: CSR
    ESG
    SASB
    重大性議題
    因子投資策略
    ESG投資組合
    CSR
    ESG
    SASB
    Material issues
    Factor investment
    ESG portfolio
    Date: 2024
    Issue Date: 2024-11-01 11:24:15 (UTC+8)
    Abstract: 經濟活動的發達與全球化的擴展，企業除了傳統的內部營運需要被檢視外，外部影響也愈來愈受重視，因此企業的ESG政策成為重要的研究與發展領域。過去已有諸多企業社會責任、ESG對企業影響的相關研究，大部分學者支持企業的ESG對財務績效和企業風險有正面的幫助，然而在ESG與投資績效的研究領域卻沒有定論，其中一個潛在的原因是先前的論文並沒有依照各產業辨別出至關重要的重大性永續議題，自從Khan et al.(2016)的研究之後，結合重大性進行ESG與投資績效的研究成為重要的領域。
    根據過去文獻結果來看，ESG對企業的影響會因為不同國家與不同時期而有不同結果。不同於歐美市場，臺灣企業在近15年才開始積極推動ESG政策，故本研究以2011年至2022年的LSEG ESG資料結合SASB各產業的重大性議題創建企業的SASB重大性分數，為了進行差異比較，本研究也創建未考慮重大性的企業ESG全指標分數，每年分別依照兩種分數將企業分成ESG優良、中等與落後三個組別，接著以三種策略建構投資組合，分別是市值加權策略、Long-short策略、純因子策略，最後檢驗投資組合之績效。
    實證結果指出在市值加權與Long-short投資組合部分，不管有無考慮重大性，ESG優良投資組合都具有最高的夏普比率以及顯著為正的異常報酬，但結合重大性的策略能帶來更高的報酬與更多顯著為正異常報酬的證據，不過在純因子投資組合部分，ESG優良投資組合仍有最高的夏普比率，但沒有發現顯著為正的異常報酬，反而在ESG落後投資組合發現顯著為負的異常報酬。總體來說，臺灣市場的ESG良好企業普遍比ESG落後企業有更好的股票報酬表現，此現象結合重大性後更為顯著。
    The development of economic activities and the expansion of globalization have led to increasing attention to externalities of corporates. As a result, corporate ESG policy has become a crucial area of study. However, there is no consensus on ESG and investment performance. One potential reason is that previous studies did not distinguish the material sustainability issues in different industries. Since the study by Khan et al.(2016), integrating materiality into study on ESG and investment performance has become important.
    According to the past literature, the impact of ESG on corporates depends on the country and the period. Unlike Europe and America, Taiwan have actively developed ESG just in the past 15 years. As a result, this study creates SASB materiality scores for corporates using LSEG ESG data from 2011 to 2022. In every year, corporates are categorized into three groups—excellent, average, and poor—based on the scores. Three investment strategies are then constructed: market capitalization-weighted strategy, long-short strategy, and pure factor strategy.
    Empirical results show that for market capitalization-weighted and long-short strategies, when we integrate materiality, the ESG-excellent portfolio has the highest Sharpe ratio and positive abnormal returns. Although the ESG-excellent portfolio still shows the highest Sharpe ratio, no positive abnormal return is found. However, the ESG-poor portfolio has negative abnormal returns. Overall, ESG-excellent corporates generally deliver better returns in Taiwan.
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    二.中文文獻
    1.李秀英、劉俊儒與楊筱翎(2011)，企業社會責任與公司績效之關聯性，東海管理評論，13卷1期：77-112。
    2.紀宗利、陳昭文與慎思齊(2023)，不同ESG評分模型對公司股價之影響，華人經濟研究，21卷2期：55-79。
    3.張元(2011)，社會責任公司有較高的股票報酬嗎？，輔仁管理評論，18卷1期，79-118。
    Description: 碩士
    國立政治大學
    財務管理學系
    111357031
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0111357031
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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