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| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 洪志清 | zh_TW |
| dc.contributor.advisor | Tim Chih-Ching Hung | en |
| dc.contributor.author | 黃政毅 | zh_TW |
| dc.contributor.author | Cheng-Yi Huang | en |
| dc.date.accessioned | 2025-07-17T16:05:49Z | - |
| dc.date.available | 2025-07-18 | - |
| dc.date.copyright | 2025-07-17 | - |
| dc.date.issued | 2025 | - |
| dc.date.submitted | 2025-07-03 | - |
| dc.identifier.citation | Alves, R., Krüger, P., and van Dijk, M., (2025). Drawing up the bill: Are ESG ratings related to stock returns around the world? Journal of Corporate Finance, 93, 102768.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/97809 | - |
| dc.description.abstract | 本研究透過將LSEG環境面向指標分解為排放與非排放兩項子指標，並結合原始報酬與DGTW調整後報酬，以調和綠色與棕色股票溢酬之間的矛盾研究發現。實證結果顯示，利用涵蓋逾二十年期的月資料進行Fama-MacBeth迴歸與投資組合排序分析後，綠色溢酬僅在使用原始報酬時顯著，而棕色溢酬則在使用DGTW調整後報酬時於短期內浮現。此外，該短期棕色溢酬會因排放表現最佳企業的報酬在投資人關注度驅動下出現反彈上升，而受到削弱。 | zh_TW |
| dc.description.abstract | This paper reconciles the conflicting findings on green and brown stock premia by decomposing the environmental pillar from LSEG into emission and non-emission components, using both raw returns and DGTW-adjusted returns. Using Fama-MacBeth regressions and portfolio sorting on monthly data over a twenty-year period, I find that green premium arises only when using raw returns, whereas brown premium emerges under DGTW-adjusted returns in the short run. In addition, this short-lived brown premium is attenuated by an attention-driven jump in DGTW-adjusted returns among firms with the best emission performance. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2025-07-17T16:05:49Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2025-07-17T16:05:49Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | 誌謝 i
摘要 ii Abstract iii Contents iv Lists of Figures and Tables v 1. Introduction 1 2. Data, Sample, and Summary Statistics 6 2.1. Data 6 2.2. Sample and Summary Statistics 8 3. Methodology 10 4. Empirical Results 13 4.1. Cross-Sectional Results of All Months 14 4.2. Time-Series Results of Each Month 16 4.3. Attention-Driven Non-Monotonic Decrease in Brown Premium 17 5. Conclusion 19 Appendix 21 References 24 | - |
| dc.language.iso | en | - |
| dc.subject | DGTW調整後報酬 | zh_TW |
| dc.subject | 散戶投資人關注度 | zh_TW |
| dc.subject | 永續投資 | zh_TW |
| dc.subject | 棕色溢酬 | zh_TW |
| dc.subject | 綠色溢酬 | zh_TW |
| dc.subject | sustainable investing | en |
| dc.subject | green premium | en |
| dc.subject | brown premium | en |
| dc.subject | DGTW-adjusted returns | en |
| dc.subject | retail investor attention | en |
| dc.title | 棕色溢酬或綠色溢酬：一項調和性研究 | zh_TW |
| dc.title | Brown Premium or Green Premium: A Reconciliation Study | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 113-2 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 張晏誠;林智勇 | zh_TW |
| dc.contributor.oralexamcommittee | Yen-Cheng Chang;Chih-Yung Lin | en |
| dc.subject.keyword | 綠色溢酬,棕色溢酬,DGTW調整後報酬,散戶投資人關注度,永續投資, | zh_TW |
| dc.subject.keyword | green premium,brown premium,DGTW-adjusted returns,retail investor attention,sustainable investing, | en |
| dc.relation.page | 38 | - |
| dc.identifier.doi | 10.6342/NTU202501481 | - |
| dc.rights.note | 同意授權(限校園內公開) | - |
| dc.date.accepted | 2025-07-04 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 財務金融學系 | - |
| dc.date.embargo-lift | 2030-07-01 | - |
| Appears in Collections: | 財務金融學系 | |
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| ntu-113-2.pdf Restricted Access | 1.24 MB | Adobe PDF | View/Open |
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