整合ESG之價值、成長投資策略 - 台灣市場之探討

ESG Integration : Value and Growth Strategies in Taiwan Market

葉承哲(Yeh Cheng-Che)

指導教授 ： 楊曉文

國立政治大學/商學院/金融學系/碩士(2021年)

https://doi.org/10.6814/NCCU202101162

摘要

本研究主要探討不同代理變數建構之價值和成長策略結合ESG權重調整於台灣市場之成效。本研究使用MSCI ESG資料庫，並將投資策略分成前1/3(Good)、中間1/3(Neutral)與後1/3(Bad)三種投資組合。首先，本研究發現台灣MSCI ESG資料庫存在規模偏誤和產業偏誤，因此使用調整後評分進行後續分析。同時本研究發現評分偏誤將高估高評分投資組合之風險調整後報酬同時低估其投資組合Beta值。第二，Good投資組合之P/E和P/B皆高於Bad投資組合，支持過往文獻中ESG帶來高評價之論述。第三，本研究發現Good投資組合中多數情況ESG權重調整將提升策略報酬，僅少數情況會降低波動率和Beta。E/P和B/P代理變數建構之價值策略加入ESG權重調整後績效反而衰退。第四，本研究發現無論是Good投資組合亦或者Bad投資組合，ESG與S加權有較佳的績效改善幅度和穿透性，其中又以Bad投資組合結合ESG市值加權效果最佳。最後，本研究透過CAPM模型、FF三因子模型和FF五因子模型檢定投資組合是否具有顯著Alpha。結果顯示多數的ESG權重調整並未創造顯著Alpha仍屬於Beta策略之範疇。

關鍵字

ESG投資組合 ； 因子投資策略 ； ESG權重調整 ； ESG分數調整

並列摘要

This Thesis focuses on integrating ESG into Value and Growth investment strategies constructed by different proxy in Taiwan Market. This Thesis uses MSCI ESG datasbase and devides every investment strategies into three portfolios: top third(Good), middle third(Neutral) and bottom third(Bad). First of all, we find that MSCI ESG Score is biased against firm size and industry.Therefore, we construct adjusted scores instead of using original scores.The score bias will overestimate the risk-adjusted returns of ESG Good portfolio and underestimate their portfolio Beta. Second, the P/E Ratio and and P/B ratio of ESG Good portfolio are higher than those of Bad portfolio, supporting the argument that ESG brings high valuation in past literatures. Third, we find that in most cases in Good portfolios, ESG integration increases portfolio returns, and only a few cases will reduce volatility and Beta. Also, the portfolio performance of value strategies constructed by E/P and B/P has declined after applying ESG integration. Fourth, we find that ESG and S weight adjustment have better performance improvement and penetration. Bad portfolio combined with ESG weighting has the best effect. Finally, this thesis uses the CAPM model, FF three-factor model and the FF five-factor model to test whether ESG integration brings statistically significant portfolio Alpha. The result indicates that most ESG weight adjustments did not create significant portfolio Alpha and still belong to the category of Beta strategies.

並列關鍵字

ESG Integration ； Factor Investment ； ESG Tilt ； Adjusted ESG Score

參考文獻

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