台灣地區社會責任投資組合之績效探討

Abstract

企業社會責任CSR或具有社會責任之企業在人類文明演進中逐漸被重視，而企業社會責任所涵蓋的面向包括：健康與安全、環境、永續性、人權、供應鏈管理、負責任的採購(responsible procurement)、夥伴關係、參與社區(community engagement)、慈善活動、慈善捐助、產業關係(industrial relations)、公司治理、溝通、聲譽管理、標準、法規的順從、及自願主義(voluntarism)等等。這一連串的範圍就在企業本身〈財務表現、公司治理〉、企業與供應商、企業與投資人、企業與社會環境、企業與員工之間。而企業社會責任則是企業與這些利害關係角色互動溝通的過程和內容展現。 過去台灣大眾對於企業社會責任CSR的認知大半限於企業參與公益活動，只是公司額外的社會慈善事業，在推動企業社會責任時碰到最大的質疑是社會責任究竟會為企業帶來何種可被量化的價值？為了以量化的數據詮釋企業社會責任之重要，本論文藉由探討運用資金投資在具有社會責任之企業所得到之風險報酬以證明具社會責任之企業值得被投資人肯定，值得企業重視。但如以個別企業研究恐有偏差，因此本論文模擬以企業社會責任理念為基礎之社會責任投資組合，比較其短期、中期、長期與台灣加權股價報酬指數和國內股票型基金之績效，以彰顯企業社會責任之重要。 論文所得之結論顯示，具有社會責任之企業在長期投資績效上明顯顯著而穩定，符合追求穩健報酬、趨避風險之投資人列入投資組合中。另外本論文是以回測方式檢視企業社會責任組合之投資績效，結果顯示長期績效遠優於國內股票型基金表現，換言之，具有社會責任之企業在長期上較獲得投資人支持認同。 期盼本論文所得之結果能使大眾認同企業經營應著重在道德、環境、社會等面向；投資人在進行投資決策時將企業社會責任列入投資組合中；同時企業在公司經營上認知社會責任對提升公司價值之重要。

Corporate Social Responsibility (CSR) becomes more and more important in the history of human beings. The issues of CSR are health and safety, environment, sustainability, human right, supply chains, responsible procurement, partnership, community engagement, charity, donation, industrial relations, cooperate governance, communications, branding, standard, legal compliance, and voluntarism etc. These issues are no more than corporate (finance performance and corporate governance) and public relationship- corporate with suppliers, corporate with investors, corporate with social environment, and corporate with employee. In short, CSR is the communication process and communication content between the corporate and those interested parties. CSR is granted as charity, donation for a long time in Taiwan. Until now, CSR is considered as new managerial skill. Since CSR has been the main trend of management, this thesis is going to discuss the performance of Social Responsibility Investment not by specific corporate but by the mutual fund in the short-term, mid-term and long-term. The bench marks of this thesis are Taiwan- index and domestic mutual funds in Taiwan. The conclusion of this thesis shows that the long-term performance of Social Responsibility Investment is steady and healthy. The Social Responsibility Investment is worth the investors to take into investment portfolio and the corporate should grand CSR seriously in order to enhance the corporate value.