标题: | 社会责任投资 : 绿能基金投资人是否真的具有社会企业责任? Socially responsible investment : are green fund investors really socially responsible? |
作者: | 蔡佩君 Tsai, Pei-Chun 钟惠民 Chung, Hui-Min 管理科学系所 |
关键字: | 绿能基金;传统基金;基金绩效; 基金流量;Green Funds;Conventional Funds;Performance; Fund Flows |
公开日期: | 2009 |
摘要: | 此篇论文分别对绿能基金与传统基金的绩效,基金特性,基金流量与次贷危机造成的影响进行研究。在基金绩效方面,结果显示绿能基金与传统基金的绩效并没有显着的差异;而基金特性方面,绿能基金相较于传统基金对市场风险较为敏感;基金流量与基金年龄也有反向关系,越成熟的基金,其基金流量也会较小。此外,绿能基金的基金流量也都小于传统基金。而此篇论文最重要的结果,绿能基金的绩效与前期正报酬有显着关系,但对前期负报酬却没有显着关系,显示出绿能基金投资人重视前期正报酬。然而当前期报酬为负时,他们却不会积极抛售手中的部位。 This paper investigates the performance, fund characteristic, fund flow and the impact of subprime loan crisis on fund flow volatility respectively. In terms of fund performance, the result shows that there is no significant difference in performance between green funds and conventional funds. As for fund characteristics, CAPM Model reveals that green funds are more sensitive to market risk than conventional funds with the 25th and 50th percentile. Four-factor model exhibits that green funds are more sensitive to size factor compared to conventional funds. In the other hand, green funds are less sensitive to the momentum factors than conventional funds. In consideration of age, fund flow volatility is much lighter when mutual funds are mature. When conducting the OLS regression which is described in Bollen (2007), there exist asymmetric phenomenon for green funds in the “All”, “Young”, and “Mature” category. That is, fund flows of green funds are significant related to the lagged positive return but not significant associated with lagged negative returns. |
URI: | http://140.113.39.130/cdrfb3/record/nctu/#GT079731539 http://hdl.handle.net/11536/45365 |
显示于类别: | Thesis |
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