题名

永續與邪惡：隨機優勢分析

并列篇名

Sustainability versus Sin: Stochastic Dominance Analysis

作者

蔡麗雀(Li-Chueh Tsai)；徐川皓(Chuan-Hao Hsu)；陳瑜禪(Yu-Chan Chen)

关键词

邪惡指數 ； 社會責任投資 ； 隨機優勢 ； Sin stocks ； Socially responsible investing ； Stochastic dominance

期刊名称

修平學報

卷期/出版年月

35期（2017 / 09 / 01）

页次

111 - 124

内容语文

繁體中文
中文摘要

利用隨機優勢分析，本文探討並比較永續與邪惡股票的投資績效。採指數月資料作分析，樣本期間涵蓋2006 年12 月至2016 年3 月，永續指數包括道瓊永續指數、倫敦金融時報社會責任指數、Calvert 社會指數、與MSCI 環境社會治理指數，分別與ISE 邪惡指數做隨機優勢檢定。實證結果顯示ISE 邪惡指數在前二階隨機優勢上，皆隨機優於道瓊永續指數與倫敦金融時報社會責任指數，但Calvert 社會指數在第二階隨機優勢上，則隨機優於ISE 邪惡指數。除此之外，景氣好時期的檢定結果與全樣本期間大致相同。然而，在景氣差時期，永續股票則隨機優於邪惡股票，道瓊永續指數除外。
英文摘要

In this paper, we use stochastic dominance analysis to study the relative performance of sustainability versus sin strategies. Using index return data on sustainability stocks versus sin stocks, including DJSI, FTSE4GOOD, Calvert Social, MSCI ESG, and SINdex, we find evidence that sin stocks stochastically dominate sustainability stocks only for DJSI versus SINdex and FTSE4GOOD versus SINdex, while there is a significant stochastic dominance relationship of sustainability stocks over sin stocks for Calvert Social versus SINdex. Furthermore, the evidence also shows that the results during economic boom periods are similar to those over the full sample period. However, during recession periods, we observe significant stochastic dominance relation of sustainability stocks over sin stocks, except for DJSI versus SINdex.
主题分类 人文學 > 人文學綜合
基礎與應用科學 > 基礎與應用科學綜合
工程學 > 工程學綜合
工程學 > 機械工程
社會科學 > 社會科學綜合
参考文献
  1. Lin, T. Y.,Wang, T. S.,Hsu, C. H.(2015).The performance of fat cat portfolios with companies announced by TWSE and GTSM: a stochastic dominance analysis.Review of Securities and Futures Markets,27(4),119-142.
    連結：
  2. Abhyankar, A.,Chen, H. C.,Ho, K. Y.(2006).The long-run performance of initial public offerings: stochastic dominance criteria.Quarterly Review of Economics and Finance,46(4),620-637.
  3. Abhyankar, A.,Ho, K. Y.,Zhao, H.(2008).Value versus growth: stochastic dominance criteria.Quantitative Finance,8(7),693-704.
  4. Braun, M.,Larrain, B.(2005).Finance and the business cycle: international, inter-industry evidence.Journal of Finance,60(3),1097-1128.
  5. Chen, D. H.,Bin, F. S.(2001).Effects of legislation events on US gaming stock returns and market turnings.Tourism Management,22(5),539-549.
  6. Derwall, J.,Guenster, N.,Bauer, R.,Koedijk, K.(2005).The eco-efficiency premium puzzle.Financiai Analysts Journal,61(2),51-63.
  7. Durand, R. B.,Koh, S. K.,Tan, P. L.(2013).The price of sin in the pacific-basin.Pacific-Basin Finance Journal,21(1),899-913.
  8. Eccles, R. G.,Ioannou, I.,Serafeim, G.(2014).The impact of corporate sustainability on organizational processes and performance.Management Science,60(11),2835-2857.
  9. Edmans, A.(2011).Does the stock market fully value intangibles? employee satisfaction and equity prices.Journal of Financial Economics,101(3),621-640.
  10. Fabozzi, F. J.,Ma, K. C.,Oliphant, B. J.(2008).Sin stock returns.Journal of Portfolio Management,35(1),82-94.
  11. Fung, H. G.,Hsu., C. H.,Lee, W.,Yau, J.(2014).Dim sum bonds: do they whet your appetite?.Journal of Portfolio Management,41(5),127-135.
  12. Gompers, P.,Ishii, J.,Metrick, A.(2003).Corporate governance and equity prices.The Quarterly Journal of Economics,118(1),107-155.
  13. Hong, H.,Kacperczyk, M.(2009).The price of sin: the effects of social norms on markets.Journal of Financial Economics,93(1),15-36.
  14. Hsu, C. H.,Fung, H. G.,Chang, Y. P.(2016).The performance of taiwanese firms after a share repurchase announcement.Review of Quantitative Finance and Accounting,47(4),1251-1269.
  15. Hsu, C. H.,Lee, K. C.,Chang, Y. P.,Fung, H. G.(2015).Value versus growth: taiwan evidence.Managerial Finance,41(8),845-856.
  16. Kempf, A.,Osthoff, P.(2007).The effect of socially responsible investing on portfolio performance.European Financial Management,13(5),908-922.
  17. Kim, I.,Venkatachalam, M.(2011).Are sin stocks paying the price for accounting sins.Journal of Accounting, Auditing and Finance,26(2),415-442.
  18. Lee, K. C.,Hsu, C. H.,Ke, M. C.(2013).Testing the monthly effect of agricultural futures markets with stochastic dominance.International Review of Accounting, Banking and Finance,5(3/4),35-60.
  19. Linton, O.,Maasoumi, E.,Whang, Y. J.(2005).Consistent testing for stochastic dominance under general sampling schemes.Review of Economic Studies,72(3),735-765.
  20. Nofsinger, J.,Varma, A.(2014).Socially responsible funds and market crises.Journal of Banking and Finance,48,180-193.
  21. Passant, F.,Robinson, J.,Woll, L.,Abbey, D.,O’Connor, S.(2014).Global sustainable investment review 2014.Global Sustainable Investment Alliance.
print cancel