由於全球暖化、氣候變遷等議題目前逐漸受到重視，而氣候變化將直接影響全球資源及農產品等，因此有些企業開始落實環保政策，認為企業亦應具備企業社會責任。先進國家中的美國及英國開始發行倫理型共同基金（又稱社會責任型共同基金），主要採取將環境保護、社會公平以及企業倫理考慮在內的投資決策，投資於具企業社會責任的公司。 本研究係以美國、英國、日本之倫理型共同基金樣本共105檔，及股票型共同基金共654檔作為研究對象，研究期間自2004年至2007年，採用單因子資本資產訂價模型（CAPM）為基礎，進行瞭解倫理型共同基金與一般股票型共同基金績效差異性及績效持續性等分析。 經由實證結果，本研究發現： 一、美國、英國、日本等三國之倫理型共同基金平均經理費率均高於一般股票型基金，且倫理型共同基金平均存續期間及平均資產規模則低於一般股票型基金。 二、美國、英國、日本倫理型共同基金之績效報酬與一般股票型共同基金報酬沒有明顯的差異。 三、美國、英國倫理型共同基金具績效持續性，日本則不具績效持續性。 四、美國及日本市場，倫理基金績效報酬變化與其主要股價指數指標具較高的相關性。 本研究顯示倫理基金之平均存續期間及平均資產規模均低於一般股票型基金，可能是因為倫理基金是屬於較新的基金產品，且目前還呈現持續成長的階段，還未被投資人完全接受；由於倫理基金其持股標的的差異性，倫理基金經理費率高於一般股票型，也許是倫理基金之投資標的需要經過經理人特別篩選是否符合企業社會責任所致，因此基金投資標的差異性與經理費率有直接的關係；至於基金績效部份，兩類型基金績效報酬則是十分相似。這個結果對投資人來說或許多了一項投資選擇，期望未來企業越來越重視社會責任及企業形象，基金經理人將篩選後的投資標的建置成投資組合，相信可以吸引重視企業社會責任投資者的興趣，對於企業社會責任運動的推行將具正面效果。 The importance of global warming and climate change issues are gradually acknowledged. The global resources and agricultural products are affected accordingly. Some enterprises have begun to carry out an environmental protection policy and are willing to undertake certain degree of social responsibility. The US and UK have started to issue ethical mutual funds (also known as social responsibility investment) which invest those firms with social responsibility, and the funds’ investment strategy takes into consideration of environmental protection, social equity, and enterprise ethics. Using the database of 105 ethical mutual funds and 654 conventional mutual funds fromthe US,UK and Japan, we employed the single factor model of Capital Asset Pricing Model to measure the performance and persistence comparisons between the ethical and conventional mutual funds from the periods of 2004 to 2007. Our empirical results are summarized as follows： (i) In the US.UK and Japan, the average management fee of ethical mutual funds is higher than conventional mutual funds, however, the average duration and fund size of ethical mutual funds are less than conventional mutual funds. (ii) In the US.UK and Japan, we find no statistically significant difference in performance between ethical mutual funds and conventional mutual funds. (iii) The performances of the ethical mutual funds are persistent in UK and US from 2004 to 2007, except for Japan. (iv) The conventional equity indices are more powerful in explaining ethical mutual funds return variation compared to ethical equity indices in US and Japan
Our empirical results show that the average management fee ratio of ethical mutual fund is higher than conventional mutual funds. The duration of conventional mutual fund is longer than ethical mutual funds and the fund size is higher than ethical mutual funds. Maybe because ethical mutual fund is a new product and undergoes a catching up phase; fund managers need to screen the portfolio to investment of the ethical funds with enterprise''s community responsibility, so there are direct relationship between management fee ratios and mutual fund types. However, the performance of ethical fund and conventional fund is very similar.
