| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 107 === In recent years, the concept of sustainability has gradually emerged, and more and more investors have incorporated the non-financial information into investment strategy considerations. This article tries to use ESG scores which is from Thomson Reuters Eikon to construct different screening methods to combine ESG information with price momentum strategy. The empirical results show that the Independent Sort screening method, which directly combines past stock return with ESG scores, performs best. By buying companies with high past return and high ESG scores, and selling the company with low past return and low ESG scores have a maximum average weekly return of 0.32%. If the screening conditions are changed to companies with high ESG scores for two consecutive years, the average weekly return is as high as 0.4%. Successfully established a sustainable and profitable portfolio. In addition, the investment strategies profits are all from the long side. After the risk adjustment, the strategies can get positive significant profit different from zero. It shows that after considering the short-selling restriction on the market, the strategies still can get profits by buying companies with high past return and high ESG scores.
|
|---|
