近年來各大企業與民眾對於企業社會責任（CSR）之態度愈見積極，社會責任投資（SRI）亦於歐美市場上蓬勃發展，尤其以社會責任共同基金成長最為迅速。本文除了對社會責任投資之發展、策略做一敘述外，亦以Sharpe所提出之報酬率風格分析方法（Return-based Style Analysis），分析社會責任共同基金與一般型共同基金報酬率受各資產風格影響之差異。我們除了檢驗傳統的大型、小型股與成長、價值型股風格外，還引入了兩種社會責任投資指數代表社會責任投資風格。結果發現，社會責任投資共同基金和一般型基金相比下，社會責任基金之報酬似乎更偏重於受大型股報酬影響；但社會責任共同基金之報酬率受傳統資產分類風格之影響情形，在統計上並不顯著異於一般型共同基金；而就超額報酬 而言，社會責任基金之 較一般型基金來得高，然而兩者間之差距並不顯著且均為負值。然而我們發現，除了傳統的資產分類外，社會責任基金之報酬確實受社會投資風格顯著地影響，此外，BMS（KLD Broad Market Social Index）較DJSI（Dow Jones Sustainability United States Index）為一更全面性、亦更能鑑別社會責任基金報酬率風格之社會投資指數。 / For seeing that corporations and consumers are getting serious about Corporate Social Responsibility (CSR) and Socially Responsible Investing (SRI) is gaining its popularity in Europe and United States, this dissertation focuses on this subject, especially SRI mutual funds. In the paper we describe the development and strategies of SRI, and we also apply William F. Sharpe's method of return-based style analysis to assess SRI and regular fund performances. Apart from traditional capitalization and growth/value-oriented style indices used in style analysis, we also use two SRI indices to represent the style of SRI. We found that SRI fund returns seem to be more affected by large-cap stock returns than conventional fund returns, and SRI funds also have bigger alpha than conventional ones, but there is no significant different between style configurations of two type of funds either. However, we are confident that SRI mutual funds do have a special investing style that explained best by SRI indices. And we found that KLD Broad Market Social Index is a better index of indicating the SRI style than Dow Jones Sustainability United States Index.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0094352002 |
| Creators | 黃民志 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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