以模糊多準則決策分析建構企業社會責任基金並評估其績效

Using Fuzzy MCDM to Construct a Corporate Social Responsibility Fund and Evaluating its Performance

卞孝全(Hsiao-Chang Ben)

指導教授 ： 胡宜中 ； 胡為善

中原大學/商學院/企業管理學系/碩士(2007年)

https://doi.org/10.6840/cycu200700667

摘要

根據聯合國貿易及發展會議報告指出，全球百大經濟體中私人企業就佔了五十一個，顯示企業在全球的經濟發展上有著無比重要的影響力，然而在近年來發生安隆、世界通訊、博達與力霸集團等弊案頻傳，造成社會與經濟的重大影響，更顯出企業社會責任（Corporate Social Responsibility, CSR） 的重要性；而基金為投資人選擇金融商品時的熱門投資標的，但反觀國內並無針對上市公司之企業社會責任表現來組成社會責任基金，故引發本研究之動機；故以企業社會責任而言，衡量其構面與準則之間通常存在或多或少的交互作用，故本研究採用模糊積分計算在構面與準則的績效值，並以模糊測度表達構面與準則所存在的複雜關係。
本研究的主要目的在於透過模糊多準則決策分析，找出製造業與金融服務業中最重要的企業社會責任構面與準則，並評選出符合社會責任投資準則之上市公司；藉以建構企業社會責任基金，並與台灣加權指數及台股指數期貨績效相比較是否有優異表現。
在實證結果方面，本研究發現在企業社會責任的三個構面與十五個準則之間，都存在著替代效應，而兩個產業對於構面的重視程度並沒有顯著的差異存在，僅有製造業在倫理性構面的相對權重低於金融服務業。而在企業社會責任基金的問卷中，顯示出財務分析師都較重視公司財務是否穩健，並預期社會責任基金偏向保守穩健的投資風格，而在五個基金績效指標下，社會責任基金的表現皆優於加權指數與指數型期貨，顯現出企業社會責任基金適合長期持有與低風險之特性。

關鍵字

企業社會責任 ； 基金績效 ； 企業社為責任基金 ； 模糊多準則決策分析 ； 模糊積分

並列摘要

According to the report of United Nations Conference on Trade and Development (UNCTAD), there are 51 individual large enterprises out of a hundred major economies in the whole world. This fact indicates that private sector is the key influential power in global economical development. During the past decade, many financial scandals occurred, such as Enron, Worldcom, Procom Technology, Rebar Group, etc. Those scandals heavily shocked the society and economy. Consequently, Corporation Social Responsibility (CSR) becomes an urgent and important topic for all companies. One of the major motivations of this study is that although mutual funds become very popular over past two decades, yet there is no mutual fund in-Taiwan concentrating on investing the companies which emphasize CSR performance. Regarding the rules and structural of CSR, there are certain interactive effects among various parameters. This study first uses the fuzzy integral analysis to measure the performance of the company, then employs the fuzzy measure to demonstrate the complicate relationship between aspect and criterion.
The main purpose of this study is to use the fuzzy Multiple Criteria Decision Making (MCDM) to examine the most important CSR aspect and criterion among both manufacturing industry and financial service industry. Secondly, this work evaluates the publicly listed companies based on the investment standards of CSR and form a simulated CSR fund. This investigation then compare the performance of the simulated CSR fund with Taiwan Stock Exchange Index (TAIEX) and Morgan Stanley Capital International Taiwan Index (MSCI Taiwan index) in order to examine whether CSR fund outperforms the TAIEX and MSCI. The empirical results are summarized as follows:
The empirical result indicates that the substitute effect exists between three aspects and fifteen criterions of CSR. However, no significant difference exists from the value level of manufacturing industry and that of the financial service industry, only the weight of ethical aspect of manufacturing industry is lower than that of the financial service industry comparatively. Secondly, after analyzing the CSR questionnaires, this study finds that financial analysts paid more attention to company’s financial performance than whether the company implements CSR or not. Finally, this study utilized five indicators (Jensen α、the modified Jensen α、Treynor、Sharpe、M.C.V.) to evaluate the performance of CSR fund, the findings show that the CSR fund outperforms the TAIEX and MSCI. The conclusion is that CSR fund is suitable for investors to hold for a long-term as it has low risk and good return.

並列關鍵字

Fuzzy MCDM ； CSR fund ； fund performance ； Corporation Social Responsibility ； Fuzzy Integral

參考文獻

一、 中文部份：

天下雜誌，2007，「CSR—領先者的策略」專題報導，367期，頁：94-169。

王泰豐，2001，台灣中小企業對社會責任認知之研究，國立中山大學企業管理研究所之未出版碩士論文。

王郁仁，2005，股票型基金綜合指標與基金績效動態監控，國立中山大學財務管理學系碩士班未出版之碩士論文。

林晉勗，2002，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，私立中原大學國際貿易學系未出版之碩士論文。