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| Title: | 環境、社會和公司治理（ESG）篩選與台股產業投資之績效探討
ESG ratings and relative stock performance among industry peers in Taiwan |
| Authors: | 洪紫瑄
Hong, Zih-Syuan |
| Contributors: | 鍾令德
洪紫瑄
Hong, Zih-Syuan |
| Keywords: | ESG投資
社會責任投資
台股產業
ESG rating
ESG investing
Socially responsible investing
Industry peers in Taiwan |
| Date: | 2022 |
| Issue Date: | 2022-08-01 17:04:30 (UTC+8) |
| Abstract: | ESG（Environmental, Social, and Governance）原則逐年受到重視，許多投資人陸續實踐社會責任投資（Socially Responsible Investment, SRI）。然而，以ESG為因子的篩選機制是否能提高投資績效，仍是個待解的問題。因此，本研究欲探討在台灣各個產業下，以ESG的篩選機制，來分析其報酬率，且使用多空策略下，相較於台灣加權指數是否具有顯著的超額報酬。
本研究之研究對象為台灣上市公司，且有ESG相關數據的公司，共計140家，研究期間為2010年1月至2021年11月，企業的調整後股價月報酬取自台灣經濟新報資料庫TEJ，Refinitiv ESG評分則是主要來自Thomson Reuters Eikon資訊平台，資料期間為2010年至2020年的年頻率數據。
實證結果發現在各產業下，以買ESG相關評分較佳的企業股票（前30%）和賣ESG相關表現較差的企業股票（後30%）的投資組合為多空策略，在10%的顯著水準下，僅有3個投資組合具有顯著的超額報酬，分別是以ESG分數作為篩選方式的整體產業，以ESG和公司治理分數作為篩選方式的高科技產品製造業，而高科技產品製造業的超額報酬大於整體產業，雖然大部分的投資組合，皆未有顯著的超額報酬，與國外文獻部分相符，但投資於ESG投資組合能提供企業推行可持續發展的誘因。
此外，從產業下來看，消費財業和金融業相關的ESG評分高於製造業。相較於其他產業，高科技產品服務業和製造業不具顯著的報酬率。雖然以ESG排序的多空策略並不全皆能產生顯著的超額報酬，但股票報酬率與ESG評分通常呈現正趨勢。
ESG (Environmental, Social, and Governance) has played an important role in the financial market year by year, and many investors begin to engage in SRI (Socially Responsible Investment). However, whether ESG screening can enhance investment returns is still open to debate. Hence, this thesis analyzes the investment performance of ESG screening for industry peers in Taiwan and tests whether these ESG rating sorted long-short strategies can generate significant excess returns compared to the TAIEX (Taiwan Capitalization Weighted Stock Index).
My sample consists of 140 Taiwan public companies that have ESG ratings, and the sampling period is from January 2010 to November 2021. Monthly stock returns are from the TEJ database and the annual Refinitiv ESG ratings are from the Thomson Reuters Eikon platform.
I find that only three long-short strategies constructed from buying stocks of relatively good ESG companies (top 30%) and short-selling stocks of relatively bad ESG companies (bottom 30%) can generate significant excess returns under 10% significant level. These investment portfolios include overall industries by using ESG Score screening, high-tech product producers by using ESG Score, and Governance Pillar Score screening. Additionally, the excess stock return of high-tech product producers is higher than overall industries. Although most of the investment portfolios do not generate significant excess returns, in line with the SRI literature, ESG investing is beneficial to the society by incentivizing sustainable development in the corporate sector.
Moreover, the ESG ratings of consumer industry and finance industry are on average higher than manufacturing industry. The stock returns of high-tech service producers and manufacturing industry do not outperform the other industries. Even though most ESG-sorted strategies do not produce significant returns, these exists a general positive trend between ESG ratings and stock returns. |
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資訊揭露措施。金融監督管理委員會。檢自：https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202111110001&dtable=News. |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
109351024 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109351024 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200740 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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