社會責任投資 : 綠能基金投資人是否真的具有社會企業責任?

Abstract

此篇論文分別對綠能基金與傳統基金的績效，基金特性，基金流量與次貸危機造成的影響進行研究。在基金績效方面，結果顯示綠能基金與傳統基金的績效並沒有顯著的差異；而基金特性方面，綠能基金相較於傳統基金對市場風險較為敏感；基金流量與基金年齡也有反向關係，越成熟的基金，其基金流量也會較小。此外，綠能基金的基金流量也都小於傳統基金。而此篇論文最重要的結果，綠能基金的績效與前期正報酬有顯著關係，但對前期負報酬卻沒有顯著關係，顯示出綠能基金投資人重視前期正報酬。然而當前期報酬為負時，他們卻不會積極拋售手中的部位。

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.