English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 110944/141864 (78%)
造訪人次 : 47829858      線上人數 : 803
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/140586
    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/140586


    題名: ESG投資在不同情境下之表現–以美國ESG ETF為例
    ESG Investing’s Performance under Different Circumstances: An Examination through the Lens of US ESG ETFs
    作者: 王煥傑
    Wang, Huan-Chieh
    貢獻者: 周冠男
    Chou, Kuan-Nan
    王煥傑
    Wang, Huan-Chieh
    關鍵詞: ETF
    ESG投資
    事件研究法
    下檔保護
    超額報酬
    ETF
    ESG investing
    Event study
    Downside protection
    Excess return
    日期: 2022
    上傳時間: 2022-07-01 16:06:42 (UTC+8)
    摘要: 本研究旨在探討美國ESG ETF在不同情境下的表現。本研究以新冠疫情(COVID-19)為負向事件代表、並以COP26會議為正向事件代表,透過事件研究法本研究發現ESG投資在負向事件情境下並沒有顯著的下檔保護的效果,然而其在正向事件下也未提供顯著的超額報酬。另外,在負向事件下,ETF特性中僅有「週轉率」 和累積異常報酬(cumulative abnormal return) 有顯著負相關;而在正向事件下,ETF特性中「晨星永續評級」和累積異常報酬有顯著正相關,顯示著投資人確實會將永續評級視為考慮投資的一項要素之一。整體而言,本研究結果並不支持ESG投資的下檔保護效果或者捕捉超額報酬的能力。
    This paper studies the performance of U.S. ESG ETFs under different circumstances including negative event as COVID-19 and positive event as COP26 meeting. By implementing event study methodology, this study demonstrates that U.S. ESG ETFs did not provide downside protection under negative event nor did they significantly capture excess return during positive event. Furthermore, “Turnover Ratio” had significant negative correlation with cumulative abnormal return while controlling other ESG ETFs characteristics during COVID-19 event. However, “Morningstar Sustainability Rating” did have positive correlation with cumulative abnormal return under COP26 meeting, indicating that investors did evaluate ESG ETF’s sustainability rating when investing. Overall, the result did not support the idea of downside protection nor the ability of generating excess return from ESG investing.
    參考文獻: Alpaslan, M. C., Green, E. S., & Mitroff, I. I. (2009). Corporate governance in the context of crises: Towards a stakeholder theory of crisis management. Journal of Contingencies and Crisis Management, 17(1), 38–49.
    Antoniuk, Y., & Leirvik, T. (2021). Climate change events and stock market returns. Journal of Sustainable Finance & Investment, https://doi.org/10.1080/20430795.2021.1929804
    Bae, K.-H., El Ghoul, S., Gong, Z. J., & Guedhami, O. (2021). Does CSR matter in times of crisis? Evidence from the COVID-19 pandemic. Journal of Corporate Finance, 67, 101876.
    Benson, L. L., & Humphrey, J. E. (2007). Socially responsible investment funds: Investor reaction to current and past returns. Journal of Banking & Finance, 32(9), 1850-1859.
    Boerner, H. (2010). Sustainable and responsible investment: The revolution is on. Corporate Finance Review, 14(6) 39-41
    Bofinger, Y., Kim H. J., Rock, B. (2022). Corporate social responsibility and market efficiency: Evidence from ESG and misvaluation measures. Journal of Banking & Finance, http://dx.doi.org/10.1016/j.jbankfin.2021.106322
    Bollen, N. P. B., & Busse, J. A. (2005). Short-Term Persistence in Mutual Fund Performance. The Review of Financial Studies, 18(2) 569-597
    Bouslah, K., Kryzanowski, L., Bouchra, M’Zali, B. (2013). The impact of the dimensions of social performance on firm risk. Journal of Banking & Finance, 37(4), 1258-1273
    Broadstock, D., Chan, K., Cheng, L. T. W., Wang, X. (2020). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance Research Letters, 38(c), 101716
    Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-8
    Chan, P., & Walter, T. (2014). Investment performance of “environmentally-friendly” firms and their initial public offers and seasoned equity offers. Journal of Banking & Finance, 44(C), 177-188.
    Clifford, C. P., Fulkerson, J. A., & Jordan, B. D. (2014). What Drives ETF Flows?. The Financial Review, 49(3) 619-642
    Cornell, B., & Damodaran, A. (2020). Valuing ESG: Doing Good or Sounding Good?. NYU Stern School of Business, http://dx.doi.org/10.2139/ssrn.3557432
    Craig MacKinlay, A. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35(1) 13-39
    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
    Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The Adjustment of Stock Prices to New Information. International Economic Review, 10(1) 1-21
    Frided, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5(4), 210-233
    Garel, A., & Patit-Romec, A. (2020). Investor Rewards to Environmental Responsibility: Evidence from the COVID-19 Crisis. Available at SSRN: http://dx.doi.org/10.2139/ssrn.3620109
    Grinblatt, M., & Titman, S. (1989). Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings. The Journal of Business, 62(3) 393-416
    Hoepner, A., Oikonomou, I., Sautner, Z., Starks, L., & Zhou, X., 2018. ESG shareholder engagement and downside risk. European Corporate Governance Institute – Finance Working Paper No. 671/2020, Available at SSRN: http://dx.doi.org/10.2139/ssrn.2874252
    Hong, H,. Kubik, D. J., & Scheinkman, A. J. (2012). Financial Constraints on Corporate Goodness. Available at SSRN: http://dx.doi.org/10.2139/ssrn.1734164
    Ilhan, E., Krueger, P., Sautner, Z., & Starks, T. L. (2021). Climate Risk Disclosure and Institutional Investors. Swiss Finance Institute Research Paper, No. 19-66, http://dx.doi.org/10.2139/ssrn.3437178
    Kothari, P. S., & Warner, B. J. (2004). The Econometrics of Event Studies. Working paper. Available at SSRN: http://dx.doi.org/10.2139/ssrn.608601
    Krueger, P., Sautner, Z., & Starks, T. L. (2020). The importance of climate risks for institutional investors. Review of Financial Studies, 33(3), 1067–1111.
    Liang, H., & Renneboog, L. (2016). On the Foundations of Corporate Social Responsibility. The Journal of Finance, 72(2), 853-910
    Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis. The Journal of Finance, 72(4), 1785-1824
    Mǎnescu, C. (2011). Stock Returns in Relation to Environmental, Social and Governance Performance: Mispricing or Compensation for Risk?. Sustainable Development, 19(2) 95-118
    Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193
    Nordhaus, W. (2019). Climate Change: The Ultimate Challenge for Economics." American Economic Review, 109(6), 1991-2014
    Pastor, L., & Blair Vorsatz, M. (2020). Mutual Fund Performance and Flows during the COVID-19 Crisis. Review of Asset Pricing Studies, 10(4) 791-833
    Renneboog, L., Horst, T. J., & Zhang. C. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking & Finance, 32(9) 1723-1742
    Shanaev, S., & Ghimire, B. (2021). When ESG meets AAA: The effect of ESG rating changes on stock returns. Finance Research Letters, 46(A), 102302.
    Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1-2) 119-138
    Sirri, E. R., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. The Journal of Finance, 53(5) 1589-1662
    Takahashi, H., & Yamada, K. (2021). When the Japanese stock market meets COVID-19: Impact of ownership, China and US exposure, and ESG channels. International Review of Financial Analysis, 74, 101670.
    描述: 碩士
    國立政治大學
    財務管理學系
    109357010
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0109357010
    資料類型: thesis
    DOI: 10.6814/NCCU202200603
    顯示於類別:[財務管理學系] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    701001.pdf1356KbAdobe PDF20檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋