淡江大學覺生紀念圖書館 (TKU Library)
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系統識別號 U0002-1607201316295100
中文論文名稱 企業社會責任與股票型基金報酬
英文論文名稱 Corporate Social Responsibility and Equity Fund’s Returns
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 101
學期 2
出版年 102
研究生中文姓名 李靕富
研究生英文姓名 Chen-Fu Lee
學號 700530206
學位類別 碩士
語文別 中文
口試日期 2013-06-22
論文頁數 62頁
口試委員 指導教授-邱建良
共同指導教授-黃健銘
委員-邱建良
委員-黃博怡
委員-蔡建雄
中文關鍵字 共同基金  企業社會責任  基金績效  三因子模型  分量迴歸 
英文關鍵字 mutual fund  corporate social responsibility  fund performance  three factor model  quantile regression 
學科別分類
中文摘要 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。
英文摘要 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.
論文目次 目 錄
頁次
第一章 緒 論 ................................ ................................ ................................ ............ 1
第一節 研究背景 ................................ ................................ ................................ 1
第二節 研究動機 ................................ ................................ ................................ 8
第三節 研究目的 ................................ ................................ .............................. 10
第四節 研究流程 ................................ ................................ ............................... 11
第五節 研究架構 ................................ ................................ .............................. 13
第二章 中國基金市場介紹及文獻回顧 ................................ ................................ .. 14
第一節 中國共同基金市場的介紹 ................................ ................................ .. 15
第二節 中國公募基金司綜合量化評估報告 ................................ .............. 19
第三節 企業社會責任的發展及對績效之影響 ................................ .............. 21
第四節 基金特徵對績效之影響 ................................ .............................. 28
第五節 投信公司特徵對其基金績效之影響 ................................ .................. 30
第六節 Fama and French 三因子模型 ................................ ............................ 32
第三章 研究方法與實證模型 ................................ ................................ .................. 34
第一節 變數操作性定義 ................................ ................................ .................. 34
第二節 分量迴歸模型 (quantile regression) (quantile regression) (quantile regression) (quantile regression)(quantile regression) (quantile regression)(quantile regression) (quantile regression) ................................ ..................... 38
第四章 資料來源與處理 ................................ ................................ .......................... 41
第五章 實證結果與分析 ................................ ................................ .......................... 42
第一節 各變數之基本敘述統計 ................................ ................................ ...... 42
第二節 普通最小平方法迴歸估計結果 ................................ .......................... 45
第三節 分量迴歸估計結果 ................................ ................................ .............. 47
第六章 結論與未來研究建議 ................................ ................................ .................. 52
第一節 研究結論 ................................ ................................ .............................. 52

第二節 未來研究建議 ................................ ................................ ...................... 54
參考文獻 ................................ ................................ ................................ ...................... 55

表 目 錄
頁次
【表 1-1-1】晨星 】晨星 2012 第四季中國基金公司综合量化評分前 20 名基金公司 …..7
【表 2-1-1】中國基金依「投資標的」不同之分類比較 】中國基金依「投資標的」不同之分類比較 】中國基金依「投資標的」不同之分類比較 】中國基金依「投資標的」不同之分類比較 】中國基金依「投資標的」不同之分類比較 …………………… . 15
【表 2-1-2】中國基金依「種類」不同之分比 】中國基金依「種類」不同之分比 】中國基金依「種類」不同之分比 】中國基金依「種類」不同之分比 】中國基金依「種類」不同之分比 較……… .……………… .…16
【表 2-1-3】中國開放式基金與封閉比較 】中國開放式基金與封閉比較 ………………… .………………. 17
【表 2-1-4】中國各類型共同基金檔數 】中國各類型共同基金檔數 及規模 比較表 ………… …... ……………. ..18
【表 3-1-1】Fama and FrenchFama and FrenchFama and French Fama and FrenchFama and French Fama and French Fama and French Fama and French 三因子模型投資組合區分 三因子模型投資組合區分 …………… …………… 36
【表 5-1-1】各變數基本敘述統計量表 …………… ………………………… .. …… 43
【表 5-1-2】PearsonPearsonPearsonPearson 相關性檢定 與共線相關性檢定 與共線…………… …………………… ....44
【表 5-2-1】普通最小平方法 】普通最小平方法 迴歸 估計結果 …………… ……………… .. ……… ....46
【表 5-3-1】全樣本分量 】全樣本分量 迴歸 估計結果 ………………… ……………… .. ……… ....48
【表 5-3-2】社會責任組之分量 】社會責任組之分量 迴歸 估計結果 …………… ………… .. ………… ....50
【表 5-3-3】不具社會責任組之分量 】不具社會責任組之分量 迴歸 估計結果 ………… ……… .. ………… ....51

圖 目 錄
頁次
【圖 1-1-1】近十年中國基金公司總數變動情形 ……………………….………… ..5
【圖 1-1-2】近五年中國基金公司總數成長率 近五年中國基金公司總數成長率 ………….…… ………….………… 6
【圖 2-2-1】晨星對中國公募基金司 】晨星對中國公募基金司 綜合量化評估報告分方法概覽 …… .. .20
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