臺灣博碩士論文加值系統

目前社會上對於企業社會責任與永續發展相關議題越來越重視，社會責任相關基金與指數也在各國蓬勃發展，但是對於分類與定義何謂社會責任相關基金與指數尚無一定準則，不同的基金研究機構與許多過往的文獻皆有不同標準。
在過往文獻中多以四因子模型作為分類及衡量共同基金的工具，在近期針對社會責任基金分類的相關文獻更新增了兩個因子成為六因子模型去作探討，本研究以此為基礎，針對新增的兩個因子做微調，使其更符合臺灣現狀，並對臺灣企業社會責任相關基金與指數作探討，並建立一套準則去分類及衡量在臺灣的企業社會責任相關基金及指數。
本研究微調過後的第一個因子為社會責任因子TMB其根據九個社會責任標準：員工關係、社區關係、環境保護、多樣性、產品、獲獎、正面新聞、負面新聞、法院宣判，來計算個股的年社會責任分數，依照行業別調整後，將得分高的公司股票收益與得分低的公司股票收益之間差異進行建構。第二個因子為迴避公司因子AMS，其根據社會責任投資者普遍接受的公司股票收益與他們通常避開的公司股票收益之間的差異，我們將避開的公司依照中國綠色信貸實施關鍵指標中兩高一剩的行業，也就是高耗能、高污染的產業作為迴避的公司。
研究發現在臺灣六因子模型並不適用所熟知的ETF以及與企業社會責任相關的指數，六因子模型並無法有效解釋其超額報酬，TMBβ與AMSβ無統計上的顯著性，這也造成了無法利用六因子模型去分類臺灣目前市面上存在的社會責任相關指數及基金，其因主要可能為臺灣相關社會責任基金與指數太少，且投資人目前對於相關投資不夠重視，且目前市面上社會責任相關基金及指數過於年輕，樣本資料不足。

At present, the society pays more and more attention to issues related to social responsibility and sustainable development. Social responsibility related funds and indices are also booming in various countries. However, there are no certain standards for classification and definition of social responsibility related funds and indices. Different funds Research institutions have different standards from many previous literature.
In the past literature, the four-factor model was used as a tool to classify and measure mutual funds. In the near future, the relevant literature for the classification of social responsibility funds has been updated with two factors to become a six-factor model. This study adjusts the two new factors to make it more in line with Taiwan's current situation, and discusses Taiwan's social responsibility related funds and indices, and establishes a set of guidelines to classify and measure CSR-related funds in Taiwan. index.
The first factor adjusted in this study is the social responsibility factor TMB, which calculates stocks based on nine social responsibility standards: employee relations, community relations, environmental protection, diversity, products, awards, positive news, negative news, and court judgments. The annual social responsibility score is adjusted according to the industry, and the difference between the company's stock returns with high scores and the stock returns of companies with low scores is constructed. The second factor is the avoidance of the company factor AMS, which is based on the difference between the company's stock returns generally accepted by socially responsible investors and the company's stock returns that they usually avoid, and the companies we will avoid are in accordance with the key indicators of China's green credit implementation. Energy-consuming, highly polluting industries as a company to avoid.
The study found that the six-factor model in Taiwan does not apply well-known ETFs and indexes related to social responsibility. The six-factor model cannot effectively explain its excess returns. TMBβ and AMSβ are not statistically significant, which also makes it impossible to use. The six-factor model is used to classify the social responsibility-related indexes and funds currently available in Taiwan. The main reason may be that the number of relevant social responsibility funds and indexes in Taiwan is too small, and investors are not paying enough attention to relevant investment, and the current social responsibility in the market. The relevant funds and indices are too young and the sample information is insufficient.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第二章 文獻回顧 4
第一節 社會責任基金的分類 4
第二節 社會責任基金的績效 6
第三節 台灣社會責任相關研究 8
第四節 因子模型 9
第三章 研究方法 10
第一節 樣本與研究因子 10
第二節 判斷指標與績效分析 15
第四章 研究結果 17
第一節 敘述統計 17
第二節 實證結果分析 19
第五章 結論 27
第一節 研究結論 27
第二節 研究建議與限制 28
參考文獻 29

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