臺灣博碩士論文加值系統

本文以142個永續責任投資（SRI）基金建立投資組合瞭解其績效、下行保護和主動與被動式策略之影響。本文研究發現，第一，與指標績效相比永續責任投資(SRI)基金的表現不佳，而主動式SRI基金的績效優於被動式SRI基金，第二，被動式SRI基金具有下行保護之效，在經濟上揚階段，主動式SRI基金因選股而勝過被動式SRI基金的績效，但經濟衰退時期，被動式SRI基金的績效反而優於主動式SRI基金，第三，考量費用之後，主動式SRI基金的績效仍優於被動式基金，另外，SRI投資組合風格偏向將其資金著重於增長型股票，而減少於價值型或投資型股票，再者，SRI基金的主動與被動式策略之間的主要區別，在於低迷時期其超額報酬的高低與市場曝險的程度。由上述所見，SRI投資者為滿足SRI標準而付出代價，致使有SRI基金相對於傳統基金而言表現不佳的說法，此外，由於被動式SRI基金在經濟低迷時期提供下行保護，因此SRI基金在選擇投資策略時與傳統基金相反。

We use a sample of 142 sustainable and responsible investment (SRI) funds as portfolios to compare the performance of SRI funds to the benchmark, to examine their characteristic of downside protection, and to study the choice of active versus passive strategies of SRI funds. We find that, compared to the benchmark, SRI funds underperform, and active SRI funds outperform passive SRI funds. We show that passive SRI funds have outstanding performance as downside protection. During the upturn periods, active SRI funds have better security selection to outperform passive SRI funds. However, during the downturn periods, passive SRI funds outperform active SRI funds. Furthermore, concerning expense fees, active SRI funds still perform better than passive SRI funds. The investment style of SRI funds tends more towards the growth-oriented stocks, and less towards value-oriented, or investment-oriented stocks. The main differences between the active-passive strategies in SRI funds lie in abnormal return and market exposure in the downturn periods. Our findings suggest that SRI investors pay a cost to meet SRI criteria, and advocate that the underperformance of SRI funds relative to conventional funds. Moreover, because passive SRI funds provide downside protection in the downturn periods, SRI funds are opposite to traditional funds in the choice of investment strategy.

Abstract III
TABLE OF CONTENTS IV
LIST OF TABLES V
1. Introduction 1
2. Literature Review & Hypotheses 5
3. Methodology 8
3.1 Data 8
3.2 Downturn Periods 10
3.3 Performance Evaluation Model 10
4. Results & Discussion 13
4.1 Fund Performance 14
4.2 Fund Performance and Timing in Downturn 16
4.3 Factor-Based Performance 18
5. Conclusions 19
References 21

Bank of America Merrill Lynch. (2019). ESG Matters -US 10 reasons you should care about ESG.
Bauer, R., Koedijk, K., & Otten, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance, 29(7), 1751-1767.
Bender, J., Briand, R., Nielsen, F., & Stefek, D. (2010). Portfolio of risk premia: A new approach to diversification. The Journal of Portfolio Management, 36(2), 17-25.
Benson, K. L., & Humphrey, J. E. (2008). Socially responsible investment funds: Investor reaction to current and past returns. Journal of Banking & Finance, 32(9), 1850-1859.
Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82.
Chen, X., & Scholtens, B. (2018). The urge to act: A comparison of active and passive socially responsible investment funds in the United States. Corporate Social Responsibility and Environmental Management, 25(6), 1154-1173.
Cremers, M., Ferreira, M. A., Matos, P., & Starks, L. (2016). Indexing and active fund management: International evidence. Journal of Financial Economics, 120(3), 539-560.
Durbin, J., & Watson, G. S. (1950). Testing for Serial Correlation in Least Squares Regression: I. Biometrika, 37(3/4), 409-428.
Durbin, J., & Watson, G. S. (1951). Testing for Serial Correlation in Least Squares Regression. II. Biometrika, 38(1/2), 159-177.
Evans, R. B. (2010). Mutual Fund Incubation. The Journal of Finance, 65(4), 1581-1611.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.
Henke, H.-M. (2016). The effect of social screening on bond mutual fund performance. Journal of Banking & Finance, 67, 69-84.
Henriksson, R. D. (1984). Market Timing and Mutual Fund Performance: An Empirical Investigation. The Journal of Business, 57(1), 73-96.
International monetary fund. (2019). Global Financial Stability Report: Lower for Longer.
Investment Company Institute. (2019). 2019 INVESTMENT COMPANY FACT BOOK.
Jensen, M. C. (1968). THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964. The Journal of Finance, 23(2), 389-416.
Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263-291.
Leite, P., & Cortez, M. C. (2015). Performance of European socially responsible funds during market crises: Evidence from France. International Review of Financial Analysis, 40, 132-141.
Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91.
Morningstar. (2019). Sustainable Funds U.S. Landscape Report.
Morningstar. (2020). Sustainable Funds U.S. Landscape Report.
Newey, W. K., & West, K. D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55(3), 703-708.
Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193.
Pagan, A. R., & Sossounov, K. A. (2003). A simple framework for analysing bull and bear markets. Journal of Applied Econometrics, 18(1), 23-46.
Renneboog, L., Ter Horst, J., & Zhang, C. (2008a). The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of Corporate Finance, 14(3), 302-322.
Renneboog, L., Ter Horst, J., & Zhang, C. (2008b). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking & Finance, 32(9), 1723-1742.
Sharpe, W. F. (1991). The arithmetic of active management. Financial Analysts Journal, 47(1), 7-9.
Treynor, J. L., & Mazuy, K. K. (1966). Can Mutual Funds Outguess the Market? Harvard Business Review, 44(4), 131-136.
Wermers, R. (2000). Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses. The Journal of Finance, 55(4), 1655-1695.
White, H. (1980). A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica, 48(4), 817-838.