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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李存修,黃崇興 | |
dc.contributor.author | Hsing-Ju Chien | en |
dc.contributor.author | 簡幸如 | zh_TW |
dc.date.accessioned | 2021-07-10T22:19:36Z | - |
dc.date.available | 2021-07-10T22:19:36Z | - |
dc.date.copyright | 2017-08-29 | |
dc.date.issued | 2017 | |
dc.date.submitted | 2017-08-03 | |
dc.identifier.citation | 中文部分:
陳建福(2010),「公司治理、企業社會責任與公司績效之關聯性」 陳冠宏(2010),「公司治理、社會責任績效、與環境資訊揭露之研究」 黃正忠(2010),「ESG揭露與企業永續報告書的發展」,證券櫃檯,147期2010.06[民99.06],38-42 英文部分: Elena Escrig-Olmedo, María Jesús Muñoz-Torres and María Ángeles Fernández-Izquierdo (2010), “Socially responsible investing: sustainability indices, ESG rating and information provider agencies” Gunnar Friedea, Timo Busch and Alexander Bassen (2015), “ESG and financial performance: aggregated evidence from more than 2000 empirical studies” Hélène Roy, Gitman Laura (2012), “Trends in ESG Integration in Investments”, BSR, August 2012, 5-6 John, Nofsinger, Varma Abhishek (2013), “Socially Responsible Funds and Market Crises” Linda-Eling, Lee, Moscardi Matt (2017), “2017 ESG TRENDS TO WATCH”, MSCI, January 2017, 4-6, 9-11, 16-17 網站部分: http://inspiredeconomist.com/2016/11/01/better-socially-responsible-investing-sri-environmental-social-governance-esg/ https://www.unpri.org/signatory-directory/ https://ngam.natixis.com/us/natixis-sustainable-future-funds 日經中文網http://zh.cn.nikkei.com/columnviewpoint/column/22851-2017-01-19-14-07-53.html http://tw.jiapujidi.com/content-2046870.html 勞動基金運用局,http://www.blf.gov.tw/front 中華民國企業永續發展協會,http://www.bcsd.org.tw/page/1411 US SIF: Social Investment Research Analyst Network (SIRAN), US SIF: The Forum for Sustainable and Responsible Investment, http://ussif.org Eurosif, 2012, http://www.eurosif.org/ http://www.asiaasset.com/news/StateStreet_ESG_SG0106_FS_DM.aspx PRI,https://www.unpri.org/page/responsible-investment-regulation http://www.icmagroup.org/assets/documents/Regulatory/Green-Bonds/PBOC-Announcement-No-39- 2015.pdf Ministry of New and Renewable Energy (MNRE), http://mnre.gov.in/file-manager/UserFiles/Tentative-State-wise-break-up-of-Renewable-Power-by-2022.pdf. Securities and Exchange Board of India,http://www.sebi.gov.in/cms/sebi_data/attachdocs/1449143298693.pdf 元大新興市場ESG策略基金月報,2017年5月號 勞動基金運用局,http://www.blf.gov.tw/front/news/764 臺灣證券交易中心http://cgc.twse.com.tw/pressReleases/promoteNewsArticleCh/778 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/77750 | - |
dc.description.abstract | 本研究對ESG投資(Environmental, Social and Governance)進行深入探討,由於永續投資觀念逐漸到重視,如PRI及社會責任投資的興起,我們認為ESG投資在未來極具發展潛力。因此本研究由「ESG投資是否犧牲投資績效?」、「從報酬和風險表現來看ESG基金中長期而言,是否具有投資價值?」來探討其投資績效。
本研究選出四檔ESG基金及其配對基金和標竿指數,並利用Lipper及Bloomberg蒐集績效數據(累積報酬率、年化報酬率、年化標準差、Sharpe ratio、Beta值),來比較各組在短、中、長期之績效表現。而根據本研究結果,ESG投資在短、中、長期大致上皆犧牲投資績效,由於ESG之篩選標準使其報酬率通常較低。至於風險,在短期內的比較無明顯結果,中長期而言,ESG基金則普遍風險較低,具一定的投資價值。 本研究結果顯現ESG投資之未來發展潛力,尤其於中長期具有投資價值,因此建議國內退休基金可採用ESG投資之觀念,可具有中長期風險較低、較穩定和形象正面等優勢。 | zh_TW |
dc.description.abstract | The purpose of this research is to conduct an in-depth study on ESG (Environmental, Social and Governance) investment. While the concept of sustainable investment is gaining increasing attention, including for example the emergence of PRI and Social Responsibility Investment, we believe ESG Investment is of great future potential. The research will explore ESG investment performance from two perspectives. One is whether ESG Investment encompasses the sacrifice of investment performance, while the other is, in consideration of the risks and returns, whether it is worthwhile to invest in ESG in the medium and long term.
For this study, four ESG funds have been selected, along with their matching funds and benchmark indexes. Relevant performance data (including cumulative return, annualized return rate, annualized standard deviation, Sharpe ratio and Beta value) are collected through Lipper and Bloomberg for comparing the short, medium and long term performance of each group. Research outcomes show that, whether with respect to long, medium or short term returns, ESG investment typically lead to the sacrifice of performance. The reason is that ESG screening criteria generally result in the selection of funds with lower return rates. With regard to risks, no significant findings were identified in the short term. In the medium and long term, however, ESG funds normally carry lower risks. They are therefore worthy of investment to a certain extent. Based on the results of the research, ESG Investment exhibits potential for future growth and is worthy of investment particularly in the medium and long term. Domestic pension funds are therefore recommended to incorporate ESG Investment concepts into their strategies so as to gain the advantages of lower risk in the medium and long term, higher stability, and positive image. | en |
dc.description.provenance | Made available in DSpace on 2021-07-10T22:19:36Z (GMT). No. of bitstreams: 1 ntu-106-P04748034-1.pdf: 3339486 bytes, checksum: 2c65547f9624eb8f9b1d3e8c36c6d3a8 (MD5) Previous issue date: 2017 | en |
dc.description.tableofcontents | 目錄
口試委員審定書 i 誌謝 ii 中文摘要 iii Abstract iv 目錄 v 表目錄 vi 圖目錄 viii 第一章 緒論 1 第一節 研究背景 1 第二節 研究動機 2 第三節 研究目的 3 第二章 現況與發展及文獻探討 6 第一節 ESG現況與發展 6 第二節 ESG相關文獻探討 11 第三章 研究方法 17 第一節 研究對象 17 第二節 基金簡介 24 第四章 研究分析 34 第一節 績效分析 34 第二節 研究結果 47 第五章 結論與建議 48 第一節 研究結論 48 第二節 研究限制與建議 50 參考文獻 51 表目錄 表 1 2016年各區域SRI總資產規模成長百分比 4 表 2 ESG基金樣本 17 表 3 ESG基金之標竿指數 18 表 4 ESG基金-Pax ESG Beta Quality Fund (Individual Investor Class)之配對基金 19 表 5 ESG基金-Pax MSCI EAFE ESG Leaders Index Fund (Institutional Class)之配對基金 19 表 6 ESG基金- Yuanta Emerging Markets ESG Strategy Fund之配對基金樣本 20 表 7 ESG基金- Northern Trust EM Custom ESG Eq Idx C Inc EUR之配對基金樣本 20 表 8 Pax ESG Beta Quality Fund之前五大持股 25 表 9 Pax MSCI EAFE ESG Leaders Index Fund之前五大持股 26 表 10 Yuanta Emerging Markets ESG Strategy Fund之前五大持股 27 表 11 Northern Trust EM Custom ESG Eq Idx C Inc EUR之前五大持股 29 表 12 ProFunds UltraBull ProFund之前五大持股 30 表 13 Great-West International Index Fund之前五大持股 31 表 14 Cathay Emerging Market Fund之前五大持股 32 表 15 NT EM Custom Low Carbon Optimised Equity USD C之前五大持股 33 表 16 Pax ESG Beta Quality Fund與其配對樣本累積報酬率(%) 34 表 17 Pax MSCI EAFE ESG Leaders Index Fund與其配對樣本累積報酬率(%) 34 表 18 Yuanta Emerging Markets ESG Strategy Fund與其配對樣本累積報酬率(%) 35 表 19 NT EM Custom ESG Eq Idx C Inc EUR與其配對樣本累積報酬率(%) 35 表 20 Pax ESG Beta Quality Fund與其配對樣本之年化標準差 37 表 21 Pax MSCI EAFE ESG Leaders Index Fund與其配對樣本之年化標準差 37 表 22 Yuanta Emerging Markets ESG Strategy Fund與其配對樣本之年化標準差 38 表 23 NT EM Custom ESG Eq Idx C Inc EUR與其配對樣本之年化標準差 38 表 24 Pax ESG Beta Quality Fund與其配對樣本之報酬指標 40 表 25 Pax MSCI EAFE ESG Leaders Index Fund與其配對樣本之報酬指標 40 表 26 Yuanta Emerging Markets ESG Strategy Fund與其配對樣本之報酬指標 41 表 27 NT EM Custom ESG Eq Idx C Inc EUR與其配對樣本之報酬指標 41 表 28 Pax ESG Beta Quality Fund與其配對樣本之風險指標 44 表 29 Pax MSCI EAFE ESG Leaders Index Fund與其配對樣本之風險指標 44 表 30 Yuanta Emerging Markets ESG Strategy Fund與其配對樣本之風險指標 45 表 31 NT EM Custom ESG Eq Idx C Inc EUR與其配對樣本之風險指標 45 圖目錄 圖 1 簽署聯合國責任投資原則之機構數與資產規模1 圖 2 ESG發行基金數量2 圖 3 ESG基金發行公司所屬國家3 圖 4 使用Bloomberg ESG data客戶數量 6 圖 5 S&P市值組成7 圖 6 在做投資分析和決策時考慮的ESG議題 8 圖 7 在做投資分析和決策時將ESG議題納入考量的原因 8 圖 8 2010-2016年ESG基金發行數量 9 圖 9 核備基金可銷售的國家/地區 10 圖 10 Pax ESG Beta Quality Fund之產業配置 24 圖 11 Pax MSCI EAFE ESG Leaders Index Fund之區域配置25 圖 12 Pax MSCI EAFE ESG Leaders Index Fund之產業配置25 圖 13 Yuanta Emerging Markets ESG Strategy Fund之區域配置 26 圖 14 Yuanta Emerging Markets ESG Strategy Fund之產業配置 27 圖 15 Northern Trust EM Custom ESG Eq Idx C Inc EUR之區域配置28 圖 16 Northern Trust EM Custom ESG Eq Idx C Inc EUR之產業配置 28 圖 17 ProFunds UltraBull ProFund之產業配置 29 圖 18 Great-West International Index Fund之產業配置 30 圖 19 Cathay Emerging Market Fund之區域配置 31 圖 20 Cathay Emerging Market Fund之產業配置 32 圖 21 NT EM Custom Low Carbon Optimised Equity USD C之區域配置33 圖 22 NT EM Custom Low Carbon Optimised Equity USD C之產業配置33 | |
dc.language.iso | zh-TW | |
dc.title | ESG策略之投資績效評估 | zh_TW |
dc.title | Performance Evaluation of ESG Investment | en |
dc.type | Thesis | |
dc.date.schoolyear | 105-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 廖咸興,陳業寧 | |
dc.subject.keyword | ESG投資,社會責任投資,投資績效, | zh_TW |
dc.subject.keyword | ESG Investment,Social Responsibility Investment,Performance, | en |
dc.relation.page | 52 | |
dc.identifier.doi | 10.6342/NTU201702495 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2017-08-03 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 商學組 | zh_TW |
顯示於系所單位: | 商學組 |
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