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| Title: | 整合ESG與基本面分析之永續投資組合建構
Integrating ESG and Fundamental Analysis in Sustainable Portfolio Construction |
| Authors: | 黃泓諭
Huang, Hong-Yu |
| Contributors: | 楊曉文
Yang, Xiao-Wen
黃泓諭
Huang, Hong-Yu |
| Keywords: | ESG投資組合
ESG與基本面
因子分析
超額報酬
XGBoost
Random Forest
ESG portfolio
ESG and fundamental analysis
Factor analysis
XGBoost
Random Forest
Abnormal returns |
| Date: | 2024 |
| Issue Date: | 2024-08-05 12:17:24 (UTC+8) |
| Abstract: | 本研究旨在整合企業ESG表現與財務、營運表現於投資組合建構中，透過XGBoost與Random Forest演算法，分析出與企業基本面相關之ESG因子，深入探討ESG議題與企業基本面之關聯性，並透過ESG因子建構市值加權與等權重投資組合，檢視投資組合績效是否優於僅使用ESG資訊建構之投資組合績效。
研究結果顯示，於市值加權投資組合中，透過企業基本面與ESG表現進行因子分析，並利用所得之ESG因子建構投資組合之績效，表現優於僅考慮ESG因子之投資組合與大盤報酬指數，且經迴歸檢定，XGBoost演算法下之最佳投資組合於一因子、三因子與五因子迴歸皆具顯著之異常報酬，Random Forest演算法下最佳投資組合則在三因子與五因子具顯著之異常報酬；而在等權重投資組合中，透過基本面與ESG因子分析之投資組合，亦能建構出優於僅考慮ESG因子之投資組合與大盤報酬指數之投資組合，惟等權重投資組合於異常報酬檢驗中較無顯著性。
本研究嘗試分析與企業基本面相關之ESG因子，並利用該ESG因子做為衡量企業ESG表現而建立投資組合，不僅能有助於投資人在建構ESG投資組合時更精確選擇ESG議題，於研究結果亦顯示能優化投資組合績效。
This study aims to integrate corporate ESG performance with financial and operational performance in portfolio construction. By employing XGBoost and Random Forest algorithms, I analyze ESG factors related to corporate fundamentals, explore the relationship between ESG issues and corporate fundamentals, and construct market-capitalization-weighted and equal-weighted portfolios using ESG factors. I examine whether the performance of these portfolios outperforms that of portfolios constructed using only ESG information.
The results show that in market-capitalization-weighted portfolios, the performance of portfolios constructed using ESG factors and corporate fundamentals through factor analysis outperforms that of portfolios considering only ESG factors and the Stock Index. Furthermore, regression tests reveal that the best portfolio under the XGBoost algorithm exhibits significant abnormal returns in one-factor, three-factor, and five-factor regressions, while the best portfolio under the Random Forest algorithm exhibits significant abnormal returns in three-factor and five-factor regressions. In equal-weighted portfolios, portfolios constructed using fundamental and ESG analysis also outperform those constructed using only ESG factors and the benchmark index. However, the equal-weighted portfolios do not exhibit significant abnormal returns in the abnormal return test.
This study attempts to analyze ESG factors related to corporate fundamentals rather than using ESG ratings to measure corporate ESG performance. This approach not only helps investors make more precise ESG issue selections when constructing ESG portfolios but also optimizes portfolio performance, as shown in the results. |
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| Description: | 碩士
國立政治大學
金融學系
109352008 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109352008 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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