政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/140781

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Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/140781

Title:	ESG Momentum Strategies: A Comparison between Taiwanese and Japanese Markets
Authors:	楊曉文;陳鴻毅 Yang, Sharon S. Chen, Hong-Yi;Hsu, Chun-Huei
Contributors:	金融系;財管系
Keywords:	ESG;ESG contrarian strategy;ESG momentum strategy;Japanese stock market;Momentum strategy;Taiwanese stock market;G11;G14
Date:	2022-03
Issue Date:	2022-07-05 16:14:56 (UTC+8)
Abstract:	This study develops an environment, social, and governance (ESG) momentum strategy by combining information about ESG scores and the momentum effect. This study, subsequently, applies the ESG momentum strategy to Taiwanese and Japanese stock markets and investigates the performance of the ESG momentum strategy in each market. Detailed comparisons of the ESG scores and ESG momentum performance between the two markets are conducted. The empirical results show that the ESG momentum strategy can obtain enhanced profits in the Taiwanese market, while the ESG momentum strategy cannot lead to substantial profits in the Japanese market. In addition, the ESG momentum effect in the Taiwanese market can last for three years after portfolio formation. In the Japanese market, the ESG contrarian strategy may deliver better profits than the ESG momentum strategy.
Relation:	Advances in Pacific Basin Business, Economics and Finance, Vol.10, pp.91-110
Data Type:	article
DOI 連結:	https://doi.org/10.1108/S2514-465020220000010004
DOI:	10.1108/S2514-465020220000010004
Appears in Collections:	[金融學系] 期刊論文 [財務管理學系] 期刊論文

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