社會責任投資：共同基金的績效與資金流動評估

Abstract

本文比較社會責任基金與一般傳統基金在績效與資金流動上的不同。社會責任基金投資人擁有較高的道德標準，對他們而言，投資社會責任基金為對社會的一種回饋，對績效的要求不如傳統投資人要高，而偏好長期持有的社會責任基金投資人對資金流動的變異也會比較低。證據顯示兩類基金在1999年至2008年間，日報酬並無顯著差異，社會責任基金的資金流動量顯著高於一般傳統基金，但資金變動率卻小於一般傳統基金。另外，兩類投資人對前期報酬並無一致的敏感性差異，對於較年輕的基金，社會責任基金投資人受前期正報酬的影響大於一般傳統基金投資人；而發行較久的基金，社會責任投資人受前期負報酬的影響大於一般傳統基金投資人。最後，本研究加入次級房貸風暴考量其對基金績效與資金流動的影響，發現兩類基金報酬依舊無明顯差異，且都因金融風暴使報酬明顯下降；而資金流動變動在次貸發生後，一般傳統基金流量變動甚至高達社會責任基金流量變動的兩倍多。

This paper analyzes the differences of performances and fund flows for socially responsible funds and conventional funds. Evidence shows that there is no significant difference between the daily returns of socially responsible funds and that of conventional funds over 1999-2008. Although the monthly quantity of socially responsible fund flows is significantly higher, the variation of fund flows is smaller compared to conventional funds. Besides, I do not find a consistent result that it exists lower cash outflows for socially responsible funds when lagged returns are negative than conventional funds. Finally, I reconsider the performances and fund flows before and during the subprime loan crisis. I find that the performances are still similar between the two groups, but strong evidence that the variation of conventional fund flows is as twice as that of socially responsible fund flows. It fits our intuition that socially responsible investors are less sensitive to financial tsunami.