本文針對美國市場的基金商品之差異性進行探討，美國的 ESG 基金與傳統共同基金相比績效表現迥異，差異取決於市場條件和所採用的具體風險指標。多項研究報告顯示，在景氣正常或擴張時期，ESG 基金的表現往往遜於傳統共同基金，或收益率沒有顯著差異。而有些研究發現，高ESG基金呈現平均提供較低的風險調整後之回報——儘管在風險加劇期間差距會縮小，但有些研究則發現ESG基金似乎表現不佳且費用較高。
  相較之下，在市場危機發生或金融壓力增加的時期，許多研究報告顯示 ESG基金取得了良好的表現。有些學者研究指出，ESG基金在財政緊縮和危機期間可提供卓越的風險調整回報，而有些則發現，在 COVID-19 危機期間，ESG基金的表現優於傳統共同基金。而其他研究則表明，ESG 基金的波動性降低，下檔保護得到改善，而資金流動分析表明，ESG 基金的投資人基礎趨於穩定，價格壓力更小。
  本研究主要發現包括：
  研究結果顯示，與傳統共同基金相比，社會責任投資（SRI）基金在多頭市場期間的表現明顯優異，且具有統計上的顯著性。然而，在空頭市場期間，無論採用何種模型來識別市場狀況、評估超額報酬的資產定價模型，以及考量平均或中位數的超額報酬，其表現差異皆不明顯。
  整體而言，這些證據強烈的支持社會責任投資在經過風險調整後優於傳統共同基金的假設，或至少不會表現遜於傳統共同基金。若按照基金類型來分類，「股票型」社會責任投資基金表現出更強勁的優勢，無論假設的資產定價模型和市場狀態模型為何，在多頭和空頭市場均表現出色，但「固定收益型」基金的情況則不太一樣，社會責任投資和傳統共同基金均產生了顯著的負回報，且社會責任投資基金的較佳表現在統計上並不顯著。其他兩種類型（「股票和固定收益混合型」及「其他類型」）基金的比較績效結果則較為複雜，取決於經濟狀況或假設的資產定價模型。總結來說，社會責任投資基金優異表現的主要驅動因素是其更佳的選股能力造成的。

  This article examines the heterogeneity of fund commodities in the US market. ESG funds in the US exhibit significant performance differences compared to traditional mutual funds, depending on market conditions and the specific risk metrics used. Numerous studies have shown that during normal or expansionary periods, ESG funds often underperform or experience no significant difference in returns compared to traditional mutual funds. Some studies have found that high-ESG funds, on average, offer lower risk-adjusted returns—although this gap narrows during periods of heightened risk. Other studies have found that ESG funds appear to underperform and have higher fees.
  In contrast, during periods of market crises or increased financial stress, many studies have shown that ESG funds perform well. Some studies have shown that ESG funds offer superior risk-adjusted returns during periods of fiscal austerity and crises, while others have found that ESG funds outperformed traditional mutual funds during the COVID-19 crisis. Other studies have shown that ESG funds exhibit reduced volatility and improved downside protection, while fund flow analysis suggests that ESG funds have a more stable investor base and less price pressure.
  Key findings of this study include:
  The results show that socially responsible investing (SRI) funds significantly and statistically significantly outperform conventional mutual funds during bull markets. However, during bear markets, performance differences were not significant, regardless of the model used to identify market conditions, the asset pricing model used to estimate excess returns, or the average or median excess returns.
  Overall, this evidence strongly supports the hypothesis that SRI funds outperform, or at least do not underperform, conventional mutual funds on a risk-adjusted basis. When categorized by fund type, equity SRI funds exhibited a stronger advantage, outperforming in both bull and bear markets regardless of the assumed asset pricing model and market regime model. However, the situation was different for fixed income funds, where both SRI and conventional mutual funds generated significant negative returns, and the outperformance of SRI funds was not statistically significant. Comparative performance results for the other two fund types (equity and fixed income hybrid and other types) were more complex, depending on economic conditions or the assumed asset pricing model. In summary, the main driving factor behind the outperformance of socially responsible investment funds is their better stock selection ability.

中文摘要 …………………………………………………………………………………vii
英文摘要  …………………………………………………………………………………x
目錄  ……………………………………………………………………………………xiii
表目錄 ……………………………………………………………………………………xv
圖目錄  …………………………………………………………………………………xvi
第一章：緒論  ……………………………………………………………………………1
  第一節：研究背景及動機  …………………………………………………………1
  第二節：研究目的  …………………………………………………………………3
第二章：文獻回顧…………………………………………………………………………6
  第一節：分析美國市場中基金的績效差異…………………………………………6
  第二節：綜合分析現有ESG基金的研究成果 ……………………………………9
第三章：資料處理與研究方法 …………………………………………………………15
  第一節：樣本來源 …………………………………………………………………15
  第二節：識別方法 …………………………………………………………………19
  第三節：方法應用的意義 …………………………………………………………20
  第四節：政策轉變架構 ……………………………………………………………21
  第五節：資產定價模型 ……………………………………………………………27
第四章：研究結果 ………………………………………………………………………30
  第一節：等權重投資組合與價值加權投資組合 …………………………………30
  第二節：社會責任基金與傳統基金之間的異常報酬差異-常態分佈的假設……31
  第三節：社會責任基金與傳統基金之間的異常報酬差異-Wilkinson符號檢驗 …………………………………………34
  第四節：社會責任基金與傳統基金之間的異常報酬差異-單一體制模型………36
  第五節：政策轉變架構與NBER方法……………………………………………39
  第六節：社會責任基金等權重和價值權重投資組合的平均實際報酬率 ………44
  第七節：社會責任基金投組與10種風格的模擬投組之間的異常報酬比較……47
第五章：結論 ……………………………………………………………………………50
參考文獻 …………………………………………………………………………………54

表目錄
表1 SRI 基金和傳統基金的總淨資產價值……………………………………………18
表2 社會責任投資（SRI）基金的平均實際報酬率 …………………………………31
表3 社會責任投資（SRI）基金與其傳統共同基金之間的異常報酬 ………………33
表4 威爾金森符號檢驗的結果差異……………………………………………………35
表5 單一體制模型的平均異常收益結果差異…………………………………………38
表6 政策轉變架構的平均異常收益結果差異…………………………………………40
表7 NBER模型下分析的平均異常收益結果差異 …………………………………41
表8 SRI 基金等權重和價值權重投資組合的平均實際報酬率………………………46
表9 SRI投資組合與10種風格的模擬投資組合之間的異常報酬比較 ……………48

圖目錄
圖1 美國市場共同基金淨資產價值……………………………………………………2

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