採用CSR評鑑篩選對投資績效影響之研究;The Impact of CSR Evaluation Screening on Portfolio Performance

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/80784

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/80784

Title:	採用CSR評鑑篩選對投資績效影響之研究;The Impact of CSR Evaluation Screening on Portfolio Performance
Authors:	楊士弘;Yang, Szu-Hung
Contributors:	財務金融學系在職專班
Keywords:	企業社會責任;投資績效;臺灣50;臺灣公司治理100指數;CSR;Investment Performance;Taiwan 50 Index;Taiwan Corporate Governance 100 Index
Date:	2019-07-10
Issue Date:	2019-09-03 15:08:12 (UTC+8)
Publisher:	國立中央大學
Abstract:	摘要本研究在檢驗如果以臺灣有發行CSR報告書的上市企業作為投資標，相較一般的公司而言，是否能有更好的投資績效表現，同時更進一步探討如果有發行報告書且有獲得企業社會責任評鑑的優良企業，投資績效表現是否更好。本研究再進一步探討如果採用指數化的方式，將上述優良公司作為投資組合，投資績效表現能否超越大盤並能與標竿指數並駕齊驅。目前國內社會責任投資相關文獻較少，多半文獻是針對企業社會責任對於公司治理或公司財務績效之探討，為此本研究以2016年度台灣上市公司發行企業社會責任報告書之企業作為研究對象，以2016年度發行企業社會責任報告書之公司及2016年度有獲得社會責任評鑑的企業組成投資組合，探討其投資組合報酬是否能夠超越對照之投資組合以及市場大盤，實證結果顯示，以所有2016年度有獲得企業社會責任評鑑的優良企業組成的投資組合，其年化報酬率、年化標準差皆比大盤優秀；本研究更進一步探討，以上述條件篩選股票，再與目前現存的指數(例如臺灣50、臺灣公司治理100指數等)選取交集股票組成投資組合，其報酬率幾乎都能夠打敗市場大盤，結果顯示善盡企業社會責任的企業在股票市場上，的確能更獲得投資人的青睞，真實反映在投資組合報酬率的結果呈現是可以打敗大盤及Benchmark。關鍵字：企業社會責任、投資績效、臺灣50、臺灣公司治理100指數 ;Abstract This study examines whether a listed company that has issued a CSR report in Taiwan is the investment target. Compared with the average company, could it make better investment performance? and further explore if there is a report and a company Good performance of social responsibility assessment, investment performance is better? This study further explores the use of the above-mentioned excellent companies as investment portfolios in an indexed approach. Whether performance can exceed the market and keep pace with the benchmark index. At present, there are few documents related to social responsibility investment in Taiwan. Most of the literature is aimed at corporate social responsibility or corporate financial performance. For this reason, this study takes the enterprises that issued the corporate social responsibility report of Taiwan listed companies in 2016 as the research object. In 2016, the company that issued the Corporate Social Responsibility Report and the company that has received social responsibility assessment in 2016 will form a portfolio to discuss whether its portfolio remuneration can exceed the comparative investment portfolio and market market. The empirical results show that all 2016 The investment portfolio composed of excellent enterprises with corporate social responsibility assessment has excellent annualized return rate and annualized standard deviation than the broader market; this study further explores the screening of stocks under the above conditions, and then with existing existing indexes (such as Taiwan 50 Index or Taiwan Corporate Governance 100 Index, etc.) Selecting the portfolio of stocks and stocks, the rate of return can almost beat the market, and the results show that companies that do their best in corporate social responsibility can be more favored by investors in the stock market. Result in portfolio return Now that can beat the market and Benchmark. Keywords: CSR, Investment Performance, Taiwan 50 Index,Taiwan Corporate Governance 100 Index
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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