近年來永續概念逐漸興起，越來越多投資人，將企業執行企業社會責任所產生之非財務資訊，納入投資策略考量之中。本文透過Thomson Reuters Eikon 所建構之ESG分數，嘗試不同篩選方式，將ESG資訊與價格動能策略做結合。實證結果發現，以直接將過去股票報酬與ESG分數結合的Independent Sort 篩選方式報酬表現最佳。透過買入過去報酬率高且ESG分數高之公司，賣出過去股價報酬低且ESG分數低之公司，最高平均週報酬可達0.32%。如將篩選條件改為連續兩年ESG分數皆高分之公司，平均週報酬更高達0.4%。成功建立可持續獲利之投資組合。此外，本研究所使用之投資策略獲利來源皆來自買方，經風險調整過後皆能得顯著異於零之正報酬，顯示當考慮到市場操作放空的限制後，透過買入過去報酬高且高ESG分數公司之策略，亦可以形成可獲利之投資策略。 ;In recent years, the concept of sustainability has gradually emerged, and more and more investors have incorporated the non-financial information into investment strategy considerations. This article tries to use ESG scores which is from Thomson Reuters Eikon to construct different screening methods to combine ESG information with price momentum strategy. The empirical results show that the Independent Sort screening method, which directly combines past stock return with ESG scores, performs best. By buying companies with high past return and high ESG scores, and selling the company with low past return and low ESG scores have a maximum average weekly return of 0.32%. If the screening conditions are changed to companies with high ESG scores for two consecutive years, the average weekly return is as high as 0.4%. Successfully established a sustainable and profitable portfolio. In addition, the investment strategies profits are all from the long side. After the risk adjustment, the strategies can get positive significant profit different from zero. It shows that after considering the short-selling restriction on the market, the strategies still can get profits by buying companies with high past return and high ESG scores.
