- 學位論文
台灣生態基金篩選系統之建立及績效評估與投資策略研究
Screening System, Performance Evaluation and Investment Strategy for Taiwan Eco-fund
摘要
隨著國際上環保及人權浪潮的風起雲湧，社會責任投資（Socially Responsible Investing；SRI）及生態基金（Eco-fund）已逐漸受到全球投資人的重視與青睞，而相關的觀念也已在台灣傳播開來。然而，截至目前為止，台灣金融市場上仍未見正式發行相關的金融商品，而社會責任基金或是生態基金在台灣操作的可行性到底如何也不得而知。有鑑於此，本研究特別針對社會責任投資中篩選準則相對較易建立的生態基金，以環境績效準則及財務績效準則，配合相關資訊，建置一套適用於台灣的生態基金投資標的篩選系統及電腦軟體介面，以幫助基金經理人評選台灣生態基金投資標的，同時評估投資組合的投資績效及風險值（Value at Risk），提供基金經理人及投資人作為其投資策略的參考依據。 在理論的探討方面，本研究係以Heinkel et al.（2001）所建立的模型為基礎，修正其對綠色投資人及一般投資人風險忍受程度相同的假設。由理論的推導可以發現，當投資人的風險忍受程度降低時，廠商的生產行為將會受到影響；此外，當綠色投資人比例增加時，原採污染性技術生產的廠商也將改善其生產技術，進而減少污染的產生。 至於在實證的結果方面，以本研究所建立的生態基金篩選系統所篩選出之生態基金，雖然在短期持有時，生態基金的投資績效比市場上基金差，但長期持有時，其投資報酬率已與市場上基金差不多，而且風險又比市場上基金小，顯示生態基金在台灣確實有其可行性，且更能吸引風險趨避的投資人。
並列摘要
In recent years, SRI (socially responsible investing) and eco-fund have gradually become the trend of global investment. This research aims at establishing a screening system and the accompanying computer interfaces for Taiwan eco-fund based on both environmental and financial criteria, which could be used by fund managers in screening investment targets and evaluating the performance of their portfolios. This system and related interfaces can also be used to evaluate the risk of the portfolios (in terms of value at risk, VaR), which can provide fund managers and general investors with additional information for making investment decisions. The theoretical derivation of this research is based on the model of Heinkel et al. (2001). We modified the hypothesis of equivalent risk tolerance parameter for both green investors and neutral investors and found that if the risk tolerance of investors were reduced, the production process of manufactures will likely to be affected. In addition, when the percentage of green investment increases, more firms with polluting technology will reform their technology to be clean, resulting in an overall reduction of the level of pollution. The empirical results reveal that the eco-fund portfolios established based on our screening system perform less well than most of the funds in the market in short holding periods. However, with longer holding periods, the performance of eco-funds is better than the funds in the market, and with smaller risk values. This result suggests that eco-fund might find a position in Taiwan, and could be very attractive to the more risk-averse investors.