本篇研究主要目的是根據ESG分數來建構一個績效穩定的ESG投組，希望能透過投組的表現，引領政府、企業、投資人重視社會責任表現，提升台灣的社會責任投資發展。在文中，我們根據道瓊永續指數(DJSI)和社會責任報告書的各產業發布量，選擇在永續方面表現良好的七個產業做為樣本產業，另外也定義幾樣重要議題作為ESG選股準則，並根據此資訊來建構ESG資料庫與計算其分數。本篇總共建構三個ESG投組，分別為「同業最佳ESG投組」、「前30高ESG投組」、「菁英ESG投組」，其中「同業最佳ESG」是將ESG表現與同業比較，選出同業相對較佳的股票; 「前30高ESG」則是跨產業選出前30檔ESG表現佳的股票; 「菁英ESG」則結合上述兩者的特色，因而同時擁有產業表現最佳及跨產業最佳的30檔股票作為成分股。最終，在Fama-French三因子模型和Carhart四因子中加入社會責任因子(TMB因子)來評估投組績效。

研究結果發現，無論從累積報酬或夏普比率來看，菁英 ESG 的表現為三個投組中最佳的，而在「台灣永續指數回測期間」，其績效勝過台灣永續指數(標竿指數)。從因子模型的結果來看，社會責任因子在「台灣永續指數回測期間」表現也非常顯著且調整後R平方高達93.77%，代表社會責任因子可以充分解釋ESG投組的報酬表現。

The objective of this study is to construct a best-performing ESG (Environment, Social and Governance) portfolio, based on ESG scores. Hope to Encourage companies to attach importance to ESG performance and promote Taiwan’s socially responsible investing development. In this study, we select seven major industries into the ESG portfolios according to the constituents of the Dow Jones Sustainability Index (DJSI) and the number of Taiwan CSR reports. We identify several important issues as our ESG selection rules and use this information to build an ESG database and calculate scores. Finally, we extend the Fama-French three-factor & Carhart four-factor models by adding a socially responsible factor to evaluate ESG investment portfolios. The result shows that regardless of cumulative returns or Sharpe ratio, the Elite ESG portfolio is the best-performing among three kinds of ESG portfolios. When we add the FTSE4Good TIP Taiwan ESG Index as our benchmark in available benchmark back-testing period, the Elite ESG portfolio can still beat the benchmark. In terms of the extended Fama-French three-factor model, we find our new factor (TMB factor) is very significant in available benchmark back-testing period, and the adjusted R-squared values are all suitably high, meaning that socially responsible factors can adequately explain the return of an ESG portfolio.

Abstract
Contents
I. INTRODUCTION 1
1.1. BACKGROUND INFORMATION 1
1.1.1. Sustainable Investment 1
1.1.2. Socially Responsible Investing in Taiwan 4
1.2. PURPOSE OF RESEARCH 8
1.3. RESEARCH FRAMEWORK 8
II. LITERATURE REVIEW 9
2.1. SOCIALLY RESPONSIBLE INVESTING 9
2.2. PERFORMANCE ANALYSIS OF FUND 12
III. METHODOLOGY 16
3.1. ESG DATABASE CONSTRUCTION 16
3.1.1. ESG Selection Rule 17
3.1.2. Calculate ESG Score 20
3.2. CONSTRUCT THE ESG PORTFOLIO FOR BACK-TESTING 30
3.2.1. Benchmark Index 30
3.2.2. Construct ESG Portfolio 32
3.2.3. Construct Control Portfolio 35
3.2.4. Performance Analysis 35
IV. EMPIRICAL RESULTS AND INTERPRETATION 38
4.1. DATA 38
4.2. SAMPLE 38
4.3. EMPIRICAL RESULT－ESG PORTFOLIO 42
4.3.1. Components of ESG Portfolio 42
4.3.2. Cumulative Active Return 44
4.3.3. Result of Back-Testing Performance 47
4.3.4. Factor model -Extended from Fama-French’s Model 51
4.3.5. Turnover Rate 53
V. CONCLUSION 56
REFERENCES 60
APPENDIX: ESG INDICATORS DEFINITIONS 62

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【12】蔡豐清、陳樹、丁克華、林弘立、范志強、柯承恩、黃肇熙、葉銀華(2010)，「專題研討二-企業社會責任與投資策略」，證券櫃檯, 98-101。
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