- 學位論文
社會責任投資與短視近利
Socially Responsible Investing and Managerial Myopic Behaviors
摘要
若機構投資人過度重視公司短期績效，可能會促使公司經理人短視近利，過度追逐短期盈餘而放棄長期好投資；相反地，若機構投資人重視公司長期表現，該公司經理人會較重視長期績效而不會短視近利。在企業社會責任的驅動下，近年來在國際金融投資的領域興起社會責任投資的新觀念，藉由投資過程中對環境、社會、公司治理三方面的考量，選擇具有永續發展前景的企業，並特別標榜重視公司的長期價值，從而能減緩公司經理人短視近利的情況。 因此，本研究想探討社會責任投資是否真的比較不會短視近利。首先，我們檢視道瓊永續性指數(DJSI)在挑選成分股時，是否真的比較不會重視公司的短期盈餘，而偏好長期價值；其次，我們進一步以共同基金作為探討對象，分析相對於一般型共同基金，社會責任投資型共同基金與DJSI是否真的比較不會重視公司的短期盈餘，而偏好長期價值。 實證研究發現：DJSI在挑選成分股時，雖然沒有特別著重在公司短期盈餘的表現，但也沒有特別重視公司的長期價值，尤其在金融風暴前，有著明顯的短視近利的現象；就共同基金而言，一般型共同基金和社會責任投資共同基金兩者平均而言皆較重視公司長期盈餘，沒有短視近利的情形，而且兩者並無顯著差異，但相較之下DJSI呈現短視近利的情況，且績效表現也較差。 DJSI表現導致與預期結果不一的原因推測如下：DJSI本身短期績效壓力、DJSI成分股公司有短視近利傾向、研究方法的問題、DJSI篩選面向的強度、股票市場不能反映出善盡企業社會責任公司的無形價值、SRI供應鏈問題、應發展出可衡量永續性風險及報酬的工具。
並列摘要
This study explores whether a myopia phenomenon exists in the Social Responsible Index and the Socially Responsible Investing (SRI) Mutual Funds. “Myopia”, means a firm’s manager makes major efforts on short-term performance rather than concerning long-run value of their shareholder. Those corporations, who pay more attention to social responsibilities, may reduce the degree of myopia—do not heavily emphasize on short-term advantages. The contributions of this study will give the empirical evidences to clarify the inferences mentioned above. The major questions we would like to examine include: Does the Social Responsibility Index, for example DJSI (Dow Jones Sustainability Indices), chooses its component stocks depending on their long-run value instead of short-term earnings? In addition, whether a myopia phenomenon exists in the Socially Responsible Investing (SRI) Mutual Funds in comparison to other mutual funds? For empirical studies, this research constructs a new proxy “Myopia”, which is built by the difference between the average returns of firms chasing short-term performance contrasted to those concerning long-run benefits of shareholders. Our sample ranges since 2002 to 2010, excluding financial institutions. The CAPM, Fama-French(1995) and Carhart(1997) multi-factor models are employed to examine the hypotheses. Our empirical results depict: The component stocks listed in DJSI do not show significant tendency to focus on short-term or long-run performance, however, the sample before 2008 financial crisis indicates myopia phenomenon. On the other hand, SRI mutual funds and conventional mutual funds tend to put more attention to long-run value, though the DJSI pursue myopia and underperform significantly.