投資機構遵循責任投資原則(PRI)是否提升基金之流量與永續投資分數?

Will Investment Institutions Increase the Fund’s Flow Rate and Sustainable Investment Score (ESG) after Following the Principles of Responsible Investment (PRI)?

方唯峻(WEI-CHUN FANG)

指導教授 ： 林嘉慧

台南應用科技大學/管理學院/國際企業經營系所/碩士(2024年)

摘要

責任投資原則（PRI）是一套由聯合國支持的全球性投資機構倡導的投資原則，促使投資者在制定投資策略和執行過程中納入環境、社會和公司治理(ESG)的考慮，促進可持續和負責任的投資。
本研究研究以台灣股票開放型基金為研究對象，期間從2015年至2022年，樣本共183支基金，探討台灣投資機構簽署或遵循責任投資原則(PRI)後，對基金流量、基金持股之ESG分數及「台灣永續指數成分股」之持股百分比所造成之影響。
我們發現機構遵循責任投資原則後，基金流量及ESG分數皆明顯改善了，但在「台灣永續指數成分股」之持股百分比部分，遵循後一年反而下降。迴歸方結果發現機構簽署或遵循PRI與基金流量呈正向顯著之關係，但是如果我們控制年度效果， PRI與基金流量並未呈顯著之關係，顯然基金流量受年度效果影響相當大。
至於簽署或遵循PRI後對ESG分數及「台灣永續指數成分股」之持股百分比所造成之影響，我們發現機構簽署或遵循PRI與ESG分數及「台灣永續指數成分股」之持股百分比呈正向顯著之關係，顯然機構簽署或遵循PRI後是需要遵循責任投資原則，將ESG議題納入投資決策，並尋求適當的ESG議題之揭露，因此會提升基金持股之ESG分數及「台灣永續指數成分股」之持股百分比。

關鍵字

社會責任投資(PRI) ； 基金流量 ； ESG分數 ； 台灣永續指數成分股

並列摘要

The Principles for Responsible Investment (PRI) is a set of investment principles advocated by global investment institutions supported by the United Nations. It encourages investors to incorporate environmental, social, and corporate governance (ESG) considerations into the formulation and execution of investment strategies and promotes sustainable and Responsible investing.
This study takes Taiwan stock open funds as the research object. The period is from 2015 to 2022, with a total of 183 funds in the sample. It explores the impact of Taiwan investment institutions on fund flows and fund shareholdings after signing or following the Principles for Responsible Investment (PRI). The impact of ESG scores and shareholding percentage of "Taiwan Sustainability Index Constituent Stocks."
We found that after institutions followed the principles of responsible investment, fund flows and ESG scores improved significantly, but the shareholding percentage of the "Taiwan Sustainability Index Constituent Stocks" actually declined one year after compliance. The regressor results show that there is a positive and significant relationship between institutions signing or following the PRI and fund flow. However, if we control the annual effect, there is no significant relationship between PRI and fund flow. Obviously, fund flow is greatly affected by the annual effect.
As for the impact of signing or complying with the PRI on ESG scores and shareholding percentages of "Taiwan Sustainability Index Constituents," we found that institutions signed or followed the PRI, ESG scores and shareholding percentages of "Taiwan Sustainability Index Constituents" There is a positive and significant relationship. It is clear that after signing or following the PRI, institutions need to follow the principles of responsible investment, incorporate ESG issues into investment decisions, and seek appropriate disclosure of ESG issues. Therefore, the ESG score of fund holdings and "Taiwan Sustainability" will be improved. The shareholding percentage of index constituent stocks.

並列關鍵字

PRI ； Fund Flow ； ESG Scores ； Taiwan Sustainability Index constituent stocks

參考文獻

朱民芮、蔡維哲、楊曉文、鄞齊(2021)。以基本面分析強化社會責任投資績效。證券市場發展季刊，33(3)，1-42。

林妙蓉、吳家欣、林子堯、林發立、陳文智、黃琪、趙珮怡(2021)。ESG基金之ESG相關資訊揭露規範之動向。萬國法律，238，103-107。

葉信成(2022)。環境、社會與治理(ESG)相關主題基金資訊接露應注意事項。證劵暨期貨月刊，2(40)，5-17。

齊詩雅(2021)。避開漂綠基金專家公開挑選撇步。財訊趨勢贏家，64，52-55。

Barber, B. M., Huang, X, and Odean, T. (2016). Which factors matter to investors? Evidence from mutual fund flows. Review of Financial Studies, 29(10), 2600-2642.