| Summary: | 碩士 === 國立中央大學 === 財務金融研究所 === 98 === Abstract
Under the condition that Social Responsibility Investment (SRI) or Environmental, Social, Governance (ESG) Investment to a large extent is gaining acceptance from investors and institutional investors, the scale of corporate social responsibility investment keeps enlarging. UN and many large-scaled institutional investors worldwide, in 2005, enacted “The Principles for the Responsible Investment (PRI),” which officially classified such sustainable issues as ESG into the investment strategies. The following study examines some relative varieties between ESG and investment performance return. The first procedure starts with analyzing the investment return and volatility of FTSE4GOOD series index. And the other one goes to investigate the relevance and the influence levels of the return on investment (ROI) from FTSE4GOOD series index in four countries by means of running multiple-regression analyses with the independent variables rooted from some economic factors and the six sustainable elements of ESG, consisting of economic growth, risk-free rate of return, yield spread, environmental performance index, human development index, and worldwide governance indicator. The empirical study shows that in terms of FTSE4Good, from 2003 to 2008, Social Responsibility Index of the countries in different areas didn’t lead to better rates of return than ordinary benchmark indexes did. The variation of FTSE4Good Global and US indexes similarly and stably corresponded to the one of the local benchmark indexes; however, the variation of FTSE4Good Europe indexes was quite sensitively linked to the one of the local market benchmark indexes and also unsettled. The variation of FTSE4Good Japan indexes fixed to the one of local benchmark indexes correspondently with less range; hence, the variation of investment portfolios screened by the SRI was more settled than the one of normal investment portfolios. As for the environmental and social elements, they cost companies, in fact, not so much to manipulate governance. With firm governance, corporations can strengthen investors’ confidence and make them more positively willing to invest. As for the relevance between SRI and the rates of return for shareholders, the study showed that the environmental element of the world, USA, Japan appeared to be positive correlated to the element of corporate governance, and in the meantime, the environment element of Europe ended with the negative correlation to the element of corporate governance. It also revealed the negative correlation on the social element in all areas. It went obvious, as considering the whole world, that the level of correlation on the social element turned highest followed by the one on governance element. About Europe, the level of the negative correlation on the social element is higher the one on the environmental element.
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