採用ESG篩選準則對投資績效影響之研究

The Impact of ESG Screening on Portfolio Performance

黎彥成(Yan-cheng Li)

指導教授 ： 邱慈觀

國立中央大學/管理學院/財務金融學系/碩士(2011年)

摘要

本研究使用單因子模型及多因子模型以檢驗道瓊永續性美國指數(Dow Jones Sustainability Index United States; DJSI US)此一採用ESG (Environment, Social, Governance)篩選準則來挑選成分股的永續性指數是否存在異常報酬，並藉此推論若投資人採用此種ESG篩選準則進行選股，是否將使其投資組合之績效表現產生顯著異於大盤水準的情形。
本研究的研究結果發現，無論是在單因子模型、Fama and French三因子模型及Carhart四因子模型下，都並未檢驗出DJSI US存在有顯著之異常報酬；即便在考慮2007年之次貸風暴可能造成的結構性轉變後，仍然得到相同之結論；然而，本研究發現在長期間可能發生重大危機事件的情況下，DJSI US所承擔的系統風險顯著地較市場投資組合來得低。因此，本研究的結論為，若投資人採用ESG篩選準則以進行選股，則其所建構之投資組合的績效表現將無異於大盤水準，但其所承擔之系統風險將較大盤為低，因而能得到更為穩定的績效表現。

關鍵字

企業社會責任 ； 社會責任指數 ； 永續性指數 ； 社會責任型投資 ； ESG篩選

並列摘要

By using the single-factor model and the multi-factor model to calculate the abnormal return of Dow Jones Sustainability Index United States (DJSI US), the goal of this study is to examine whether the portfolio performance of investor will be affected by the adoption of ESG (Environment, Social and Governance) criteria in the stock-picking process.
The results of this study find that no matter what kind of models have been used, single-factor or multi-factor, there have no abnormal returns in DJSI US. Even after considers the possible structure change which caused by US Subprime Mortgage Crisis in 2007, the results are still unchanged. However, this study finds that when we consider a longer period which consists one or more big negative event, then the systematic risk of DJSI US will be less than the level of market portfolio. Therefore, the conclusion of this study is that if investors use the ESG criteria to choose stocks, then the portfolio performance will have same level compare to the market portfolio. However, it will have less systematic risk than the market portfolio, and receive more stable portfolio performance.

並列關鍵字

ESG Screening ； Socially Responsibility Investment(SRI) ； Sustainability Index ； CSR

參考文獻

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【2】Carhart, M. (1997), On Persistence in Mutual Fund Performance, Journal of Finance 52, 57-82.

Screened Portfolios, Northfield Information Services, Boston.

【4】Diltz, J. D. (1995), The private cost of socially responsible investing. Applied

Financial Economics,.5: 69-77.