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| Title: | 結合ESG揭露分數與價格動能策略之分析
An Analysis of Combining ESG-Scores and Price Momentum Strategies |
| Authors: | 蘇鈺婷
Su, Yu-Ting |
| Contributors: | 陳鴻毅
Chen, Hong-Yi
蘇鈺婷
Su, Yu-Ting |
| Keywords: | 價格動能
動能策略
企業社會責任
企業社會責任揭露
Price momentum
Momentum straregy
ESG
ESG disclosure |
| Date: | 2019 |
| Issue Date: | 2019-07-01 10:44:21 (UTC+8) |
| Abstract: | 本研究主要探討彭博資料庫中提供的ESG揭露分數結合價格動能策略是否能產生超額報酬。實證結果顯示買進過去輸家且公司治理分數(G)最低的組合(P1G1)並賣出過去贏家且G分數最高的組合(P5G5)，持有12個月可獲得0.93％的顯著報酬。此結果表示過去為輸家且公司治理揭露得分最低的公司可能容易被低估股價，而得分最高的贏家可能會被高估。為避免金融海嘯造成動能策略失靈，我們近一步將樣本切分為2010年至2017年，並發現買進P1ESG1的小公司並賣出P5ESG5的小公司，持有9或12個月，分別可以獲得13.73% 和11.60%的顯著報酬。因此，我們推斷小型公司股票的效率較低，即使它有ESG分數揭露，也很容易被低估或高估。當好消息發生時，ESG得分高的小公司可能被高估，相反地，當壞消息發生時，ESG得分低的小公司很容易被低估。
In this study, we try to investigate whether the ESG disclosure scores provided in the Bloomberg database combined with price momentum strategies can generate excess returns. The empirical results show that buying the loser with the lowest G-Score (P1G1) and selling the winner with the highest G-Score in the past (P5G5), you can get a significant excess returns of 0.93% for 12 months. This result indicates that companies that used to be losers in the past and that have the lowest scores in corporate governance disclosures may be easily undervalued, while winners with the highest scores may be overvalued. In order to avoid the failure of the price momentum strategy caused by the financial crisis, we further divided the sample into 2010 to 2017, and found that buying P1ESG1 of small size firm, while selling P5ESG5 of small size firm, and hold for 9 or 12 months, significant excess returns of 13.73% and 11.60% were obtained. Therefore, we infer that the efficiency of small company stocks is low, even if it has ESG-score disclosed, it is easy to be underestimated or overestimated. Small companies with high ESG-Score may be overvalued when good news happens. Conversely, small companies with low ESG-Score can easily be underestimated when bad news occurs. |
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| Description: | 碩士
國立政治大學
財務管理學系
106357008 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0106357008 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU201900078 |
| Appears in Collections: | [財務管理學系] 學位論文
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