- 學位論文
ESG 篩選結合被動性投資策略之績效探討 - 以台灣股市為例
The Performance of Passive ESG Investment - In Taiwan Market
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摘要
本研究旨在探討ESG(環境、社會、公司治理)篩選對於台灣被動性投資組合的績效影響，研究樣本對象為2012年1月至2020年12月之所有台灣上市公司共1079檔股票。ESG投資組合的建構流程為先選定台灣加權指數及台灣50指數之成分股，再以ESG評分作為篩選標準，將投資範圍限縮至更小的公司集合，建構高或低ESG評分的投資組合，並觀察其績效變化。 主要研究結果顯示，ESG篩選法能提升被動投資組合的ESG表現，且不會影響其風險調整後報酬;其次，台灣ESG評分存在大市值偏誤，因為大公司通常會得到評級機構的青睞，也會將更多資源放在ESG規劃上;最後，在台灣50指數的研究結果中，我們發現隨著排除低ESG評分的公司股票，投資組合的夏普比率逐漸上升。迴歸分析也顯示此策略存在超額報酬，這顯示ESG能讓投資者從大公司中選擇較好的股票，而其中又以公司治理(G)作為篩選標準能帶來最大效益。總體而言，ESG投資既讓投資人盡善社會責任，亦對投資績效有正面助益，創造一個投資人與社會可持續發展的雙贏局面。
並列摘要
This thesis studies the impact of ESG (Environmental, Social, and Governance) score-based exclusion on passive investments in the Taiwan stock market. Our sample ranges from 2012 to 2020 covering 1079 Taiwan public companies. We construct passive ESG portfolios, using benchmark constituents from the Taiwan Capitalization Weighted Stock Index (TAIEX) and the Taiwan 50 Index, respectively. Specifically, we gradually exclude firms with no or low ESG scores from passive benchmark portfolios and evaluate their subsequent performances. Our analysis reveals the exclusion of low ESG firms leads to improvements in ESG scores of portfolios without reducing the risk-adjusted returns. Moreover, we find that ESG Scores in Taiwan have a large-cap bias. On the one hand, large firms usually receive more analyst coverage. On the other hand, they tend to devote more resources and efforts to promote sustainable developments. The regression results suggest that the ESG filter is useful for investors to identify top performers among big companies, with the G-score (Governance) being the most effective filter. Overall, the passive ESG investment is a win-win deal for investors in promoting ethical values and achieving good returns.
參考文獻
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