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| Title: | 硬投資人情緒之於 ESG 動能的影響
On the Impacts of Hard Investor Sentiment on ESG Momentum |
| Authors: | 林旻致
Lin, Min-Chih |
| Contributors: | 江彌修
Chiang, Mi-Hsiu
林旻致
Lin, Min-Chih |
| Keywords: | ESG 動能
硬投資人情緒
光暈效應
ESG Momentum
Hard Investor Sentiment
Halo Effect |
| Date: | 2021 |
| Issue Date: | 2021-08-04 14:50:28 (UTC+8) |
| Abstract: | Serafeim(2020)發現市場對於 ESG 的負面情緒動量(Sentiment Momentum)能 辨認出股價受到低估的高 ESG 公司，而正面的情緒動量則否。然而，考量到 Liberti 與 Petersen (2019)曾提及財務資料具有不同面向，僅由文本分析所得的『軟情緒』 於 ESG 動能的研究尚有未臻之處，本文嘗試以基於量化數據的『硬情緒』(The BW Sentiment)進行分析，發現整體樣本期間的 ESG 動能雖然不存在顯著的超額 報酬，但若在短期硬情緒消極或長期硬情緒積極的兩種情況下，由 ESG 變化所 建構的動能策略將產生顯著的異常正報酬，體現了光暈效應(Halo Effect)對投資 人的影響，而 ESG 分數的動能策略僅在短期情緒消極時產生顯著的異常報酬負 報酬。另外，由兩階段排序(double sorting)的實證結果顯示，進行 ESG 分數高低 篩選後的 ESG 變化動能策略，能夠產生顯著且更高的異常報酬率。本研究說明 了硬情緒與軟情緒之於 ESG 動能的異同之處，亦指出考量硬投資人情緒的 ESG 動能辦認市場上被低估的 ESG 價值。
Serafeim (2020) found that the negative market sentiment momentum for ESG (Sentiment Momentum) can identify good ESG companies whose stock prices are undervalued, while positive sentiment momentum does not. However, considering that Liberti and Petersen (2019) have mentioned that financial data has different aspects, the "soft investor sentiment" derived from text analysis is still unfinished in the study of ESG momentum. This article attempts to use quantitative data based "hard investor sentiment"(The BW Sentiment) to conduct an analysis and found that although there was no significant excess return in ESG Momentum during the overall sample period. However, the ESG momentum constructed by ESG changes in the two cases of negative short-term hard sentiment or positive long-term hard sentiment will generate significant abnormal positive returns, reflecting the impact of the Halo Effect on investors, while the ESG score momentum will only generate significant abnormal negative returns when the short-term hard sentiment is negative. In addition, the empirical results of double sorting show that the ESG change momentum strategy after screening the ESG scores can produce a significant and higher abnormal rate of return. This research illustrates the similarities and differences between hard sentiment and soft sentiment in ESG momentum. It also points out that ESG momentum that considers hard investor sentiment can recognize the underestimated ESG value in the market. |
| Reference: | 邱信瑜, 黃書安, & 江彌修. (2018). 基於流動性風險衡量下之 beta 套利交易策 略. 證券市場發展季刊, 30(3), 41-74.
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| Description: | 碩士
國立政治大學
金融學系
108352015 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108352015 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100709 |
| Appears in Collections: | [金融學系] 學位論文
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