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| 研究生： |
林季萱 Lin, Chi-Hsuan |
|---|---|
| 論文名稱： |
ESG因子納入Smart Beta指數:市值加權、基本面加權與ESG加權之比較 Incorporating ESG Factors into Smart Beta Indices: A Comparison of Market Capitalization Weighted vs. Fundamental Weighted vs. ESG Weighted Indices |
| 指導教授： |
許仲翔
楊曉文 |
| 口試委員: |
許仲翔
楊曉文 郭維裕 賴興國 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
國際金融學院 - 國際金融碩士學位學程 Master’s Program in Global Banking and Finance |
| 論文出版年： | 2026 |
| 畢業學年度： | 114 |
| 語文別： | 英文 |
| 論文頁數： | 56 |
| 中文關鍵詞： | ESG 、Smart Beta 、基本面加權 、投組績效 、風險管理 |
| 外文關鍵詞： | ESG, Smart Beta, Fundamental Weighting, Portfolio Performance, Risk Management |
| 相關次數： | 點閱：16 下載：0 |
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| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本研究探討不同指數權重配置方式以及環境、社會與公司治理(ESG)因素之納入，如何影響臺灣股票市場中的投資組合績效與風險表現。鑑於傳統市值加權可能導致評價偏誤與風險集中，本研究在一致的事前(ex-ante)框架下，建構並比較三種投資組合：市值加權(MCAP)、基本面加權(RAFI)，及結合ESG調整之基本面加權(RAFI_ESG)。
實證結果顯示，相較於市值加權，基本面加權有助於改善投資組合結構，並透過較低的波動率與較淺的最大回撤，提升投資組合的風險報酬特徵。在結合ESG調整方面，分析並未發現ESG能作為獨立超額報酬來源的明確證據。雖然ESG調整後之投資組合在ESG可比較期間展現出較高的獲利能力與較佳的績效表現，但其效果在很大程度上與傳統因子暴露及科技產業的部門集中現象相互重疊。整體而言，本研究結果顯示，ESG較可被理解為基本面加權架構中的一種結構性調整，而非直接驅動報酬的來源。上述發現可為資產配置與指數設計提供實務上的參考依據。
This study examines how different index weighting schemes and Environmental, Social, and Governance (ESG) integration affect portfolio performance and risk in the Taiwan equity market. Given that traditional market-capitalization weighting may introduce valuation bias and risk concentration, this study constructs and compares three portfolios—market-cap weighting (MCAP), fundamental weighting (RAFI), and ESG-adjusted fundamental weighting (RAFI_ESG)—under a consistent ex-ante framework.
The empirical results suggest that fundamental weighting improves portfolio structure and enhances the risk-return profile through lower volatility and shallower drawdowns compared to market-cap weighting. Regarding ESG integration, the analysis does not find clear evidence that ESG serves as an independent source of excess returns. Although the ESG-adjusted portfolio exhibits stronger profitability and better performance during the ESG-comparable period, its effect largely overlaps with traditional factor exposure and sector concentration in the technology industry. Overall, ESG in this study is better understood as a structural adjustment within a fundamentally weighted portfolio rather than a direct return driver. These findings provide practical insights for asset allocation and index design.
Chapter 1: Introduction 1
1.1 Background and Motivation 1
1.2 Research Objectives 3
Chapter 2: Literature Review 5
2.1 The Paradigm Shift: From the Factor Zoo to Smart Beta 5
2.2 Fundamental Indexing: Correcting Valuation Biases 7
2.3 ESG Integration: From Financial Metrics to Non-Financial Risk 8
Chapter 3: Methodology 11
3.1 Data Sources and Sample Selection 11
3.2 Index Construction Methodology 15
3.3 Financial Quality Metrics 20
3.4 Performance and Risk Evaluation Metrics 22
Chapter 4: Empirical Results and Analysis 24
4.1 Comparison of Portfolio Financial Characteristics 24
4.2 Long-term Performance Analysis 31
4.3 Risk Profile and Stress Testing 36
4.3.1 Drawdown Analysis 37
4.3.2 Scenario Analysis 39
4.3.3 Up/Down Capture Decomposition 41
4.4 Comprehensive Discussion 44
4.4.1 CAPM Regression: Does ESG Generate Independent Alpha? 45
4.4.2 What Role Does ESG Play in Taiwan? 48
Chapter 5: Conclusion 50
References 52
Appendix A: Robustness Tests for the Long-term RAFI Risk-Reduction Mechanism 54
A.1 Motivation and Design Choices 54
A.2 Empirical Results 54
A.3 Discussion: Robustness of the Risk-Reduction Mechanism 55
A.4 Summary 56
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全文公開日期 2031/08/17