結合「公司治理評鑑」與指標選股之投資績效

Portfolio Performance Based on Corporate Governance Evaluation System and Financial Ratios

10.7086/TJAE.202406_(115).0004

邱萬益(Wan-Yi Chiu)；林思妘(Sz-Yun Lin)；盧聖雅(Sheng-Ya Lu)；劉丞軒(Cheng-Hsuan Liu)

公司治理評鑑 ； ESG ； 財務指標 ； 最小變異數 ； 等權 ； 滾動式抽樣 ； Corporate Governance Evaluation System ； ESG ； Financial Ratios ； Minimum-variance ； Averaged Weights

應用經濟論叢

115期（2024 / 06 / 01）

149 - 216

繁體中文;英文

公司治理評鑑（corporate governance evaluation system, CGES）的宗旨包含：「獎勵優良企業，發揮標竿功能」。經由持續評鑑，可望提升企業因應ESG風險之能力。本研究探討CGES投資的相關議題。首先，針對不同評等的投資組合是否存在差異，本研究整合滾動式抽樣，7個CGES評等級距，8項財務指標，等權與最小變異數2種權重策略，評比各種CGES投資組合。其次，探討資訊取得成本較低的CGES策略，是否可以比擬ESG投資。將以元大台灣ESG永續發展ETF成分股為基礎，建構8種「模擬的ESG投資組合」並評比之。最後，進行2017年7月至2023年6月的實證研究。從報酬績效觀點來看，實證顯示：80%以上的CGES投資組合，打敗標竿（元大台灣50）；另一方面，CGES和ESG兩組投資組合，在等權與最小變異數策略則各具有優勢。

The aim of Taiwan's Corporate Governance Evaluation System (CGES) is to reward excellent companies and serve as a benchmark. Continual evaluations are expected to improve the ability of companies to respond to environmental, social, and governance (ESG) risks. Accordingly, this study investigates two main questions related to CGES investment. First, do investment portfolios with varying CGES rankings differ? To answer this question, we use rolling sampling across seven CGES rankings, eight financial ratios, and two weighting strategies (averaged weights and minimum variance) to evaluate diverse CGES portfolios. Second, can CGES strategies with relatively low information acquisition costs perform similarly to ESG portfolios? To answer this question, we use the same method to construct eight simulated ESG portfolios by using the constituents of the Yuanta Taiwan ESG Sustainability (00850) exchange-traded fund. We conduct an empirical analysis for the period from July 2017 to June 2023 to examine the monthly returns of TAIEX and OTC companies. In terms of reward performance, the results demonstrate that more than 80% of the CGES portfolios outperform the benchmark (Yuanta Taiwan 50). In addition, the CGES and ESG portfolios exhibit excellent averaged weights and minimum variance, respectively.

1. 邱萬益，2020，「臺灣股市局部最小變異數投資組合之績效」，應用經濟論叢，108：165-206。(Chiu, W. Y., 2020, “The Performance of Local Minimum-Variance Portfolio based on Taiwan Stocks”, Taiwan Journal of Applied Economics, 108: 165-206.)
   連結：
2. 張惠晴、林昆立與張元，2022，「家族傳承與公司績效－企業社會責任的調節作用」，應用經濟論叢，111：121-178。(Chang, H. C., K. L. Lin, and Y. Chang, 2022, “Family Succession and Corporate Performance-The Moderating Effects of Corporate Social Responsibility”, Taiwan Journal of Applied Economics, 111: 121-178.)
   連結：
3. 梁連文、張海燕與柳君翰，2019，「企業社會責任能使銀行更有成本效率嗎？」，應用經濟論叢，106：109-148。(Liang, L. W., H. Y. Chang, and J. H. Liu, 2019, “Does Corporate Social Responsibility Make Banks More Cost Efficient?”, Taiwan Journal of Applied Economics, 106: 109-148.)
   連結：
4. 陳賢名、馮鴻璣、林楚雄與王立勳，2015，「報酬偏態、實質選擇權與公司治理」，財務金融學刊，23：1-39。(Chen, H. M., H. G. Fung, C. H. Lin, and L. H. Wang, 2011, “Return Skewness, Real Options, and Corporate Governance”, Journal of Financial Studies, 23: 1-39.)
   連結：
5. 賴靖宜、董澍琦、楊聲勇與苗建華，2011，「價值投資：財務報表與公開資訊之應用」，證券市場發展季刊，22：123-182。(Lai, J. Y., S. C. Doong, S. Y. Yang, and C. H. Miao, 2011, “Value Investing: An Application of Financial Statement and Public Announcement Information”, Review of Securities and Futures Markets, 22: 123-182.)
   連結：
6. 薛敏正、葉淑玲、邱彥毅與江璧岑，2018，「公司治理評鑑與證券報酬」，中華會計學刊，14：261-289。(Shiue, M. J., S. L. Yeh, Y. Y. Chiou, and P. T. Chiang, 2018, “Corporate Governance Evaluation and Stock Returns”, Taiwan Accounting Review, 14: 261-289.)
   連結：
7. 謝素真、盧以誠、洪張瑜、徐展康與鍾志杰，2022，「公司治理與股票超額報酬之關聯性-以上市公司為例」，管理資訊計算，11：366-377。(Hsieh, S. C., Y. C. Lu, C. Y. Hung, C. K. Hsu, and C. C. Chung, 2018, “The Correlation Between Corporate Governance and Abnormal Rate of Return of Stocks”, Management Information Computing, 11: 366-377.)
   連結：
8. Azmi, W., M. K. Hassan, R. Houston, and M. S. Karim, 2021, “ESG Activities and Banking Performance: International Evidence from Emerging Economies”, Journal of International Financial Markets, Institutions & Money, 70: 101217.
   連結：
9. Bagella, M., L. Becchetti, and A. Carpentieri, 2000, “Size and Value Strategy Premia at the London Stock Exchange”, Journal of Banking & Finance, 24: 893-919.
   連結：
10. Baker, M., B. Bradley, and J. Wurgler, 2011, “Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly”, Financial Analysts Journal, 67: 40-54. Bhandari, L. C., 1988, “Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence”, Journal of Finance, 43: 507-528.
    連結：
11. Campbell, J. Y. and S. B. Thompson, 2008, “Rredicting Excess Stock Returns out of Sample: Can Anything Beat the Historical Average?”, Review of Financial Studies, 21: 1509-1531.
    連結：
12. Cerqueti, R., R. Ciciretti, A. Dalò, and M. Nicolosi, 2021, “ESG Investing: A Chance to Reduce Systemic Risk”, Journal of Financial Stability, 54: 100887.
    連結：
13. Chance, D. M., A. Shynkevich, and T. H. Yang, 2011, “Experimental Evidence on Portfolio Size and Diversification: Human Biases in Naïve Security Selection and Portfolio Construction”, The Financial Review, 46: 427-457.
    連結：
14. Chen, H. Y. and S. S. Yang, 2020, “Do Investors Exaggerate Corporate ESG Information? Evidence of the ESG Momentum Effect in the Taiwanese Market”, Pacific-Basin Finance Journal, 63: 101407.
    連結：
15. Chou, J. and W. G. Hardin III, 2012, “The Corporate Governance Premium, Returns, and Mutual Funds”, Financial Review, 47: 299-326.
    連結：
16. Clarke, R. G., H. de Silva, and S. Thorley, 2006, “Minimum-Variance Portfolios in the U.S. Equity Market”, Journal of Portfolio Management, 33: 10-24.
    連結：
17. Core, J. E., W. R. Guay, and T. O. Rusticus, 2006, “Does Weak Governance Cause Weak Stock Returns? An Examination of Firm Operating Performance and Investors’ Expectations”, Journal of Finance, 61: 655-687.
    連結：
18. Cornell, B., 2021, “ESG Preferences, Risk and Return”, European Financial Management, 27: 12-19.
    連結：
19. DeMiguel, V., L. Garlappi, and R. Uppal, 2009, “Optimal versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?”, Review of Financial Studies, 22: 1915-1953.
    連結：
20. Duchin, R. and H. Levy, 2009, “Markowitz versus the Talmudic Portfolio Diversification Strategies”, Journal of Portfolio Management, 35: 71-74.
    連結：
21. Dutt, T. and M. Humphery-Jenner, 2013, “Stock Return Volatility, Operating Performance and Stock Returns: International Evidence on Drivers of the Low Volatility Anomaly”, Journal of Banking & Finance, 37: 999-1017.
    連結：
22. Ekholm, A. and B. Maury, 2014, “Portfolio Concentration and Firm Performance”, Journal of Financial & Quantitative Analysis, 49: 903-931.
    連結：
23. Elton, E. J. and M. J. Gruber, 1977, “Risk Reduction and Portfolio Size: An Analytic Solution”, Journal of Business, 50: 415-437.
    連結：
24. Evans, J. L. and S. H. Archer, 1968, “Diversification and the Reduction of Dispersion: An Empirical Analysis”, Journal of Finance, 23: 761-767.
    連結：
25. Frazzini, A., D. Kabiller, and L. H. Pedersen, 2018, “Buffett’s Alpha”, Financial Analysts Journal, 74: 35-55.
    連結：
26. Goyal, A. and I. Welch, 2003, “Predicting the Equity Premium with Dividend Ratios”, Management Science, 49: 639-654.
    連結：
27. Khan, M., 2020, “Corporate Governance, ESG, and Stock Returns around the World”, Financial Analysts Journal, 76: 103-123.
    連結：
28. Lee, C. M. C., J. Myers, and B. Swaminathan, 1999, “What is the Intrinsic Value of the Dow?”, Journal of Finance, 54: 1693-1741.
    連結：
29. Lockwood, L. and W. Prombutr, 2010, “Sustainable Growth and Stock Returns”, Journal of Financial Research, 33: 519-538.
    連結：
30. Mahesh, P., S. Sean, and M. Aran, 2012, “The Performance Characteristics of Minimum Variance Portfolios”, Journal of Trading, 7: 74-77.
    連結：
31. Mahn, K. D., 2016, “The Impact of Sustainable Investment Strategies”, Journal of Investing, 25: 96-102.
    連結：
32. Maio, P. and P. Santa-Clara, 2015, “Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks”, Journal of Financial & Quantitative Analysis, 50: 33-60.
    連結：
33. Markowitz, H., 1952, “Portfolio Selection”, Journal of Finance, 7: 77-91.
    連結：
34. Nguyena, P. A., A. Kecskés, and S. Mansi, 2020, “Does Corporate Social Responsibility Create Shareholder Value? The Importance of Long-term Investors”, Journal of Banking & Finance, 112: 105217.
    連結：
35. Pedersen, L. H., S. Fitzgibbons, and L. Pomorski, 2021, “Responsible Investing: The ESG-efficient Frontier”, Journal of Financial Economics, 142: 572-597.
    連結：
36. Scherer, B., 2011, “A Note on the Returns from Minimum Variance Investing”, Journal of Empirical Finance, 18: 652-660.
    連結：
37. Smith, J. and K. Wallis, 2009, “A Simple Explanation of the Forecast Combination Puzzle”, Oxford Bulletin of Economics and Statistics, 71: 331-355.
    連結：
38. Statman, M., 1987, “How Many Stocks Make a Diversified Portfolio?”, Journal of Financial and Quantitative Analysis, 22: 353-363.
    連結：
39. Tang, G. Y. N., 2004, “How Efficient is Naive Portfolio Diversification? An Educational Note”, Omega, 32: 155-160.
    連結：
40. Tu, J. and G. Zhou, 2011, “Markowitz Meets Talmud: A Combination of Sophisticated and Naive Diversification Dtrategies”, Journal of Financial Economics, 99: 204-215.
    連結：