企業社會責任與股票型基金報酬

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Title:	企業社會責任與股票型基金報酬
Other Titles:	Corporate social responsibility and equity fund's returns
Authors:	李靕富;Lee, Chen-Fu
Contributors:	淡江大學財務金融學系碩士在職專班邱建良;Chiu, Chien-Liang
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
Date:	2013
Issue Date:	2014-01-23 13:30:34 (UTC+8)
Abstract:	隨著中國經濟的崛起及證券市場之開放，如何在中國金融市場獲利，已成為全球投資人關注的焦點。中國基金投資行業交易熱絡，投資者踴躍購買，使基金規模迅速擴大，近年來市場更發展愈趨成熟，已成為全球投資人重要的投資途徑，其中又以股票型基金規模及交易量最大，為最主要及具代表性之標的。但是中國基金檔數眾多，投信公司素質差異分化明顯，應如何選擇基金投資標的，是投資人急欲了解的重要課題。投信公司是基金資產的管理和運用者，其運用基金資產的能力及管理效能，實為影響基金績效之一關鍵因素；企業社會責任為衡量公司績效及管理能力的重要指標，在晚近更成為國際間衡量企業成就的一種新的規範，但鮮少被運用在基金投資上對投信公司好壞之衡量，本文選取2004至2012年中國股票型基金為樣本，依據晨星（morningstar）中國研究中心於2013年1月25日所發表的中國公募基金公司综合量化評估報告作為評量投信公司社會責任的基礎，觀察企業社會責任之於投信公司與其旗下基金績效間之關聯性，並透過分量迴歸模型實證具社會責任與不具社會責任投信公司旗下基金平均報酬與三因子模型及基金規模，在各分量下之關聯性，期提供投資人作為投資決策依據。實證結果顯示，具社會責任之投信公司其基金報酬優於不具社會責任之投信公司。經過分量迴歸估計發現，無論是全樣本、具社會責任組及不具社會責任組，市場因子與基金報酬具有顯著之相關性；在不具社會責任組中，具有中高基金報酬之投信公司，其基金績效與規模因子具有顯著正相關；另在具社會責任組中，具有中低基金報酬之投信公司，其基金績效與淨值市價比因子具有顯著正相關；基金報酬分量在兩尾端之投信公司，其基金績效與基金淨值規模有顯著正相關。 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.
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