近年來全球溫室效應日趨嚴重,促使人們對環境保護的意識逐漸抬頭,以經濟成長為首要目標已有許多不同的看法出現。美國總統歐巴馬在面對金融海嘯後的困境所提出的空前大規模的救市計劃與善後措施時,曾深切的指出,這是我們「償債的時代」,也就是長期以來,人們只過度追求短期利益而忽略了長期利益,現在必需付龐大的代價。而社會責任投資理念則是體認到長期經濟因素的重要性,掌握事實潮流,因而得以在財務表現上佔了優勢。他們在投資的時候,除了著重經濟成長、報酬率外,也注重環境保護、社會公益及公司治理等社會責任的相關議題,於是有投資這些企業的社會責任投資共同基金(Social Responsibility Investing Mutual Fund,SRIMF)的誕生。 本研究的目的是運用『指數模型-已實現超額報酬的單一指數迴歸方程式』,來檢定Peter Camejo對社會責任投資基金績效的論點:『社會責任投資共同基金報酬在橫跨數個景氣循環、或者是長達十五年或二十年的期間,社會責任投資結果可能呈現出較低的負面波動度-也就是說,和S&P500指數報酬相較,社會責任投資共同基金報酬會顯出具有較高的「上升貝他值」及較低的「下跌貝他值」的特性』,亦言之是說社會責任投資共同基金是否具有「多頭時漲得比大盤多、空頭時跌得比大盤少」的特性。以及檢定及論證社會投資績效與財務績效的關係,即「社會責任投資溢酬α值(SRI premium)」是否存在。 歐美各國對社會責任投資基金的重視與實踐已有許久的歷史,但台灣投資人對社會責任投資的概念,仍非常陌生。本研究另一目的即是介紹社會責任投資的意義、進展外,使SRI成為企業在金融海嘯逆境中創造競爭優勢的新利器,台灣投資人,在選擇投資標的同時,是否能將社會責任投資的標準與投資利潤相互並重考量,這不僅獲得投資報酬,也支持所有關心及愛護地球的公司,更是自利且利他的投資。
Due to the intensity of increased global warming in recent years, thus causing a universal suffrage of environmentalism and causing a different view point on the objectives of economic growth. The U.S.A.President Obama after facing the unprecedented economic storm came forth with a plan to save the collapsing markets, quoted with profound grief “that this is a time of dept paying” , this is due to the fact that up to now we have been pursuing short term profits and neglecting long term interests, and so we now pay a staggering price. The vision of socially responsible investments is that it fully acknowledges the importance of long term economic fundamentals, which is a grasp of the current trend, therefore providing it with financial performance superiority. when investing not only do they focus on economic growth, return rate, but also they focused on environmental protection, social welfare, enterprise management and others, therefore was born a mutual fund that invested in these enterprises called “Social Responsibility Investing Mutual Fund, SRIMF”. This study uses an Index Model to verify Peter Camejos’ ‘respectfully’ argument towards the performance of Social Responsibility investing Mutual Funds: “Social Responsibility investing Mutual Funds’ return across different economic cycles, or up to 15 to 20years of time, where as Social Responsibility investing Mutual Funds returns could have a lower or negative fluctuation--- in other words, when it is compared with the S&P500 index’s’ remuneration, Social Responsibility investing Mutual Funds returns have come out with higher “upside Beta” and lower “downside Beta”, which comes to the question will Social Responsibility Investment Mutual Funds beat the market no matter in a bear or a bull market?