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| Title: | 社會責任型投資策略：績效與社會責任之研究
An empirical study on responsible investment: performance vs. philanthropy |
| Authors: | 陳華恩
Tan, Timothy |
| Contributors: | 吳啟銘
Wu, Chiming
陳華恩
Tan, Timothy |
| Keywords: | 社會責任 |
| Date: | 2008 |
| Issue Date: | 2009-09-14 09:48:00 (UTC+8) |
| Abstract: | 社會責任型投資策略：績效與社會責任之研究
The growth of Responsible Investment (RI) concept has triggered considerable debates on Performance vs. Philanthropy, both academically and professionally, within the investment world. More and more institutional investors are adopting the United Nations’ Principle for Responsible Investment into their investment process. This study investigates the potential performance difference between Responsible Investment strategies and the broad market returns in United States, Europe, Asia Pacific, and the Global market. Two religious RI strategies, Catholic value index and Shari’ah index, are included in the U.S. market performance analysis. Based on the findings from this study, RI indexes have higher returns than the counterpart market benchmarks in general; however, the out-performance is not statistically significant to be conclusive. The findings also reveal higher beta and volatility for some RI indexes which suggest that RI strategies may be more risky than broad market. Both Sharpe ratio and Information ratio suggest that RI is a better choice than passive broad market investment, with Europe being the only exception; however, the excess returns are so small that they are virtually zero. Overall, the oldest forms of RI, Shari’ah RI strategy, has yielded eye-catching results and holds high promise to be considered statistically significant with longer data set period. The results from this study concluded that RI yield a very competitive return against broad market benchmarks, and suggests Taiwan Asset Management firms to offer additional RI products. In addition, this study confirms that the findings from previous empirical analyses are still valid after September 11th terrorist attack and the 2008 financial crisis.
Key words: Responsible Investment, Social Responsible Investment, ESG Investment, CSR Investment, Ethical Investment, Religious Investment, Islamic Finance, Shari’ah Investment, Index, Environmental Alpha, and Social Alpha.
Abstract I
Table of Contents II
Summary of Tables IV
1.0 Introduction 1
1.1 Research Motivation and Objective 1
1.2 Research Process 4
1.3 Dissertation Structure 5
2.0 Overview of Responsible Investment 6
2.1 Development of Responsible Investment 6
2.3 Current Environment for Responsible Investment 8
2.4 Responsible Investment in Taiwan 11
2.5 Summary of RI Strategies 13
3.0 Literatures Review 15
3.1 Literatures relating to ESG Performance at Company Level 15
3.1.1 Researches on Environmental Value-Added 16
3.1.2 Researches on Social Value-Added 16
3.1.3 Researches on Value-Added by Corporate Governance 17
3.2 Literatures relating to ESG Investment Performance 18
3.2.1 Studies against RI 19
3.2.2 Summary of Empirical Studies on RI Performance 19
4.0 Methodology 21
4.1 Research Scope 22
4.2 Research Design 25
4.3 Hypotheses of the Study 27
4.4 Performance Measurement 27
4.4.1 Sharpe Ratio 29
4.4.2 Information Ratio 31
4.4.3 Israelsen’s Modification 32
4.5 Data and Index Providers 35
5.0 Results and Discussion 39
5.1 Monthly Returns Analysis 39
5.1.1 Rolling Return Analysis 42
5.2 Risk Information 44
5.3 T-test 46
5.4 Risk-Adjusted Information 51
5.5 Global Comparison of RI Strategies 55
6.0 Conclusion and Recommendation 57
6.1 Limitation of this Study 60
6.2 Recommendations for Future Study 61
Reference 62
Appendix A 66
Appendix B 72 |
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| Description: | 碩士
國立政治大學
國際經營管理碩士班(IMBA)
93933028
97 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0093933028 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營管理英語碩士學程IMBA] 學位論文
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