整合ESG之價值、成長、動能投資策略 - 日本市場之探討

ESG Integration with Value, Growth, and Momentum Strategies in Japan Market

楊紹謙(Yang Shao-Chien)

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/NCCU202101138

摘要

本研究主要探討在日經225股票池中，將ESG融入價值、成長、動能等傳統投資策略，是否能有效提升績效。本研究參考Kaiser (2018, 2020)的分析架構，並使用Thomson Reuters Eikon ESG資料庫。首先，將ESG分數對市值與產業進行迴歸，發現市值並無顯著影響ESG分數，但影響ESG分數的產業不盡相同，而後發現以未經產業調整的ESG分數所建立的Good投組表現較好，且在日本市場ESG分數越好的公司的確有較高的報酬，因此將觀察若將ESG融入投資策略，是否能提升報酬或降低波動度。價值、成長投資策略參考Morningstar Style Box Methodology (2008)，動能策略則參考Asness et al. (2013)的方法編制，結果顯示在日本市場存在價值溢酬，惟動能溢酬則否。隨後在各投資策略中進行ESG integration與ESG tilt權重調整，無論是價值、成長或動能投資策略，融入ESG後均能提升投組的風險調整後報酬。最後，利用五因子模型比較融入ESG後與原始投組的差異，發現大部分的投組並沒有較低的風險調整後的異常報酬(alpha)，且在成長投資策略中融入ESG能顯著降低系統性風險，期許本研究能成為推動ESG投資的助力。

關鍵字

投資策略 ； ESG整合投資 ； ESG權重調整

並列摘要

This thesis foucses on whether integrating ESG into investment strategies such as value, growth, and momentum in Japanese market (Nikkei 225) can enhance the portfolios’ performance. This thesis refers to the analysis process of Kaiser (2018, 2020), while using the ESG data of Thomson Reuters Eikon. First, we regress ESG score on the firm size and industry, showing that the relation between ESG scores and firm size does not exist, but the relation between ESG scores and industries is mixed, then discovering that the portfolio with ESG scores without industry-adjusted shows better performance. Therefore, we then want to figure out if integrating ESG into investing strategies can promote the return or reduce the volatility. Value and growth investing refers to Morningstar Style Box Methodology (2008), while momentum investing refers to Asness et al. (2013), and the results points out that the value spread does exist in Japanese market, while the momentum spread does not. However, after considering ESG integration and ESG tilt within aforementioned investment strategies, we find that it can substantially improve the risk-adjusted returns. Last, the Fama-French five factor model indicates that ESG integration does not come at a cost in comparison with the original strategic portfolio and can statistically reduce the systematic risk in the growth investment strategy. Hoping that this thesis can become a force of promoting ESG investment.

並列關鍵字

Investment strategy ； ESG integration ； ESG tilt

參考文獻

1.Albuquerque, R. et al. (2019). "Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence." Management Science 65(10): 4451-4469.

2.Amel-Zadeh, A. and G. Serafeim (2018). "Why and How Investors Use ESG Information: Evidence from a Global Survey." Financial Analysts Journal 74(3): 87-103.

3.Ammann, M. et al. (2011). "Corporate Governance and Firm Value: International Evidence." Journal of Empirical Finance 18(1): 36-55.

4.Artiach, T. et al. (2010). "The determinants of corporate sustainability performance." Accounting and Finance 50(1): 31-51.

5.Asness, C. S. et al. (2000). "Predicting Stock Returns Using Industry-Relative Firm Characteristics." SSRN Electronic Journal.