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|Other Titles: ||Corporate social responsibility and equity fund's returns|
|Authors: ||李靕富;Lee, Chen-Fu|
|Keywords: ||共同基金;企業社會責任;基金績效;三因子模型;分量迴歸;Mutual Fund;corporate social responsibility;fund performance;three factor model;Quantile Regression|
|Issue Date: ||2014-01-23 13:30:34 (UTC+8)|
In recent years, the development of mutual fund market is more mature and has become an important global investors investment vehicle. In particular, the size and trading volume of stock fund is more than other fund. However, because of the difference of quality of securities investment trust companies, it is important that market investors must to know how to choose best investment company. In general, mangers are hired to manage the firm’s asset, to perform the objectives of company and to earn the maximum profits. Given the relevant, the measure of corporate social responsibility is also become an important indicator.
To summaries, considering that securities investment trust company is the institution of management of fund asset, the abilities of management will affect the performance of funds. Therefore, the study uses the monthly data to investigate the performance of investment trust companies in China from January 2004 to December 2012, and further adopts the reports of assessment of investment trust companies from Morningstar as a proxy for corporate social responsibility in January 2013 to divide our sample into two sub-samples. After controlling the effects of both fund size, this study adopts three factor model to test the difference between the companies with social responsibility and the companies with non-social responsibility. In addition, the quantile regression model is used to observe the effects of different performance quantiles. Empirical results demonstrate that the investment trust companies with social responsibility have higher performance than the companies with non-social responsibility. In addition, the estimated results from quantile regression model present that market factor have significantly positive effects in different performance quantiles. On the other hand, the effect of fund size only exists in the group of non-social responsibility. Finally, the book-to-market ratio also presents positive relationship in the companies with non-social responsibility and performance of low quantiles.
|Appears in Collections:||[財務金融學系暨研究所] 學位論文|
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