数据加载中.....
|
请使用永久网址来引用或连结此文件:
https://nccur.lib.nccu.edu.tw/handle/140.119/136358
|
| 题名: | ESG評級收斂之探討 : 以三間評級公司為例
On The Convergence of ESG Ratings: Using Three Major Rating Agencies as Examples |
| 作者: | 余彥良
Yu, Yan-Liang |
| 贡献者: | 江彌修
Chiang, Mi-Hsiu
余彥良
Yu, Yan-Liang |
| 关键词: | ESG
ESG投資
ESG評級
評級機構
ESG
ESG Investing
ESG Rating
Rating Agency
ESG ETF |
| 日期: | 2021 |
| 上传时间: | 2021-08-04 14:50:39 (UTC+8) |
| 摘要: | 本研究使用兩種方法，包含 Pearson相關係數及排序後重複性檢驗，來探
討收斂性，本研究會使用此兩 種方法，主要是因為在僅有公司ESG評級下，故僅採用 Pearson相關係數進行統計檢驗，並透過排序後的重複性來進行穩固性的檢驗。本研究採用的 2014年至 2019年內，三間國際評級機構對於台灣上市公司的評級資料進行統計測試，實證結果發現目前在國際評級機構間 對於評級的收斂性不存在，此可能對於金融機構所發行的金融產品造成潛在性的風險。並且針對在Covid疫情下，台灣金融市場內以ESG為主題之ETF表現，發現並無顯著的超額報酬及風險轉移的效果存在。
In this paper, we implement two methods, including Pearson correlation coefficient and post-ranking repeatability, to explore convergence of ESG ratings. We use these two methods, mainly because we only have the company’s ESG ratings data, only Pearson correlation coefficient is used, and we use post-ranking repeatability comparison as robustness test. We use three international rating agencies’ ESG rating data of listed companies in Taiwan. The empirical results find that there is no convergence of ESG ratings among these three rating agencies. This may imply potential risks of the products which financial institutions issue. In additions, we find that ESG-themed ETFs in Taiwan were no significant excess return and risk transfer effect under the Covid epidemic. |
| 參考文獻: | Avetisyan, E., & Hockerts, K. (2017). The consolidation of the ESG rating industry as an enactment of institutional retrogression. Business Strategy and the Environment, 26(3), 316-330.
Broadstock, D. C., Chan, K., Cheng, L. T., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance research letters, 38, 101716.
Chatterji, A., Durand, R., Levine, D., & Touboul, S. (2014). Do ratings of firms converge? Implications for strategy research. Strategic Management Journal.
Chatterji, A. K., Levine, D. I., & Toffel, M. W. (2009). How well do social ratings actually measure corporate social responsibility? Journal of Economics & Management Strategy, 18(1), 125-169.
Chatterji, A. K., & Toffel, M. W. (2010). How firms respond to being rated. Strategic Management Journal, 31(9), 917-945.
Crilly, D., Zollo, M., & Hansen, M. T. (2012). Faking it or muddling through? Understanding decoupling in response to stakeholder pressures. Academy of Management Journal, 55(6), 1429-1448.
Demers, E., Hendrikse, J., Joos, P., & Lev, B. (2021). ESG did not immunize stocks during the COVID‐19 crisis, but investments in intangible assets did. Journal of Business Finance & Accounting, 48(3-4), 433-462.
Dorfleitner, G., Halbritter, G., & Nguyen, M. (2015). Measuring the level and risk of corporate responsibility–An empirical comparison of different ESG rating approaches. Journal of Asset Management, 16(7), 450-466.
Drasgow, F. (2014). Polychoric and polyserial correlations. Wiley StatsRef: Statistics Reference Online.
Galema, R., Plantinga, A., & Scholtens, B. (2008). The stocks at stake: Return and risk in socially responsible investment. Journal of Banking & Finance, 32(12), 2646-2654.
Hübel, B., & Scholz, H. (2020). Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings. Journal of Asset Management, 21(1), 52-69.
Mǎnescu, C. (2011). Stock returns in relation to environmental, social and governance performance: Mispricing or compensation for risk? Sustainable development, 19(2), 95-118.
Olsson, U. (1979). Maximum likelihood estimation of the polychoric correlation coefficient. Psychometrika, 44(4), 443-460.
Statman, M., & Glushkov, D. (2009). The wages of social responsibility. Financial Analysts Journal, 65(4), 33-46. |
| 描述: | 碩士
國立政治大學
金融學系
108352017 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0108352017 |
| 数据类型: | thesis |
| DOI: | 10.6814/NCCU202100665 |
| 显示于类别: | [金融學系] 學位論文
|
文件中的档案:
| 档案 |
描述 |
大小 | 格式 | 浏览次数 |
|---|
| 201701.pdf | | 1830Kb | Adobe PDF2 | 0 | 检视/开启 |
|
在政大典藏中所有的数据项都受到原著作权保护.
|
