本研究目的為探討投資ESG表現較好的公司，會在哪一種風格因子的曝險以及風險預測的結果有顯著的變化。
首先參考The Barra Europe Equity Model Research Notes (2009)建置9個風格因子分別為：Size、Momentum、Volatility、Dividend Yield、Earnings Yield、Value、Growth、Leverage以及Liquidity。並加上產業因子與市場因子完成整個風險模型的建置。往後將用於分析投資組合的因子曝險變化以及風險預測結果。
在建構投資組合的部分，為了研究能夠有個對照的基準，我們建置兩種投資組合：(1)以完全複製法追蹤台灣五十指數並建置投資組合。(2)以此追蹤投資組合為基礎，使用MSCI ESG Rating的資料為依據調整權重組成ESG增值投資組合。
使用風險模型分析兩種投資組合的曝險變化。發現投資ESG表現較佳的公司，會顯著的提升投資組合在Value因子的曝險，並且使投資組合在Size、Volatility、Liquidity因子的曝險顯著下降。另一方面，在對風險預測差異的檢定中發現，ESG增值投資組合的風險預測會顯著低於追蹤台灣五十投資組合。
總結以上的檢定結果，我們可以得出投資ESG表現較好的公司可以享有較低的風險。並且ESG投資呈現出：規模較小、交易熱度較低、投資人估值較高、波動性較低的特性。

The purpose of this study is to examine in which style factors exposure and risk prediction results are different when investing in companies with better ESG performance.
The Barra Europe Equity Model Research Notes (2009) was used to construct nine style factors: Size, Momentum, Volatility, Dividend Yield, Earnings Yield, Value, Growth, Leverage and Liquidity. The model is completed by adding industry and market factors. The model will be used to analyze the changes in factor exposure and risk prediction results of the portfolio.
For the portfolio construction part, in order to have a benchmark for the study, two portfolios were constructed: (1) Track the Taiwan 50 Index by exact replication method and build a portfolio. (2) Based on this tracking portfolio, we use the MSCI ESG Rating data to adjust the weights to construct an enhanced ESG portfolio.
Risk models are used to analyze the change in exposure of the two portfolios. It is found that investing in companies with better ESG performance significantly increases the portfolio's exposure to the Value factor and significantly decreases the portfolio's exposure to the Size, Volatility, and Liquidity factors. On the other hand, in the test of the difference in risk forecast, it was found that the risk forecast of the enhanced ESG portfolio is significantly lower than that of the tracking Taiwan 50 portfolio.
Summarizing the above results, we can conclude that investing in companies with better ESG performance can enjoy lower risk. ESG investments are also characterized by smaller size, lower transaction activity, higher investor valuation, and lower volatility.

論文審定書 i
摘要….. ii
Abstract iii
Content. v
List of Figures vii
List of Tables viii
1. Introduction 1
1-1. Introduction 1
1-2. Motivation for Research 3
1-3. Research Purpose 3
1-4. Research Framework 4
2. literature review 5
2-1. Modern Portfolio Theory 5
2-2. Multi-Factor Model 6
2-3. Risk Model 8
2-4. ESG 10
3. Research Methodology 17
3-1. Research Process 17
3-2. Research Data 19
3-3. Risk Model 22
3-4. Portfolio Construction 35
3-5. Analysis of Portfolio Risk Changes 37
4. Empirical Results 39
4-1. Factor Effectiveness Test 39
4-2. Factor Return Regression R2 40
4-3. Risk Model Predicts Quality 41
4-4. Investment Portfolio 42
4-5. Factor Exposure Variation 47
4-6. Risk Prediction Changes 54
5. Conclusions and Suggestions 56
5-1. Conclusions 56
5-2. Suggestions 58
References 60

1. Briner, B. G., Smith, R. C., & Ward, P. (2009, June). The Barra Europe Equity Model.
2. Brière, M., Peillex, J., & Ureche-Rangau, L. (2017). Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance? Financial Analysts Journal , 73(3), 53–66.
3. Carhart, M. M. (1997). On Persistence in Mutual Fund Performance . The Journal of Finance, 52(1), 57–82.
4. Chen, S.-Y. (2018, June). Construction and Evaluation of Taiwan ESG Investment Portfolio. (Master's thesis)
5. Chen, H.-Y., & Yang, S. S. (2020). Do Investors exaggerate corporate ESG information? Evidence of the ESG momentum effect in the Taiwanese market. Pacific-Basin Finance Journal, 63.
6. Chen, L.-C. (2020). 重視ESG的企業是否有較小的下方風險—以台灣市場為例. (Master's thesis)
7. Chen, Y.-T. (2021). A Study of Relationship Between ESG Index and Corporate Performance. (Master's thesis)
8. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56.
9. Fetsun, A., & Söhnholz, D. (2014). A Quantitative Approach to Responsible Investment: Using a ESG-Multifactor.
10. Fama , E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22.
11. FTSE TWSE Taiwan Index Series. (2021, August). Retrieved from https://www.ftserussell.com/products/indices/twse-taiwan
12. Gammal, W. E., Yassine, N., Fakih, K., & El-Kassar, A.-N. (2020). The relationship between CSR and corporate governance moderated by performance and board of directors’ characteristics. Journal of Management and Governance, 24, 411–430.
13. Hicks, J. R. (1935). Annual Survey of Economic Theory: The Theory of Monopoly. Econometrica, 3(1), 1–20.
14. Hicks, J. R. (1939). The Foundations of Welfare Economics. The Economic Journal, 49(196), 696–712.
15. Henriksson, R., Livnat, J., Pfeifer, P., & Stumpp, M. (2019). Integrating ESG in Portfolio Construction. The Journal of Portfolio Management, 45(4), 67–81.
16. Jensen, M. C. (1968). The Performance of Mutual Funds in the Period 1945–1964. The Journal of Finance, 23(2), 389–416.
17. Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13–37.
18. Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77–91.
19. Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica, 34(4), 768–783.
20. Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341–360.
21. Roselle, P. (2016). The Evolution of Integrating ESG Analysis into Wealth Management Decisions. Journal of Applied Corporate Finance, 28(2), 75–79.
22. Ruo, G.-T. (2021). The Impact of Country-Level ESG Performance on Sovereign Bond Yield: Evidence from Asian Region. (Master's thesis)
23. Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. The Journal of Finance, 19(3), 425–442.
24. Statman, M., & Glushkov, D. (2016). Classifying and Measuring the Performance of Socially Responsible Mutual Funds. The Journal of Portfolio Management, 42(2), 140–151.
25. Su, Y.-T. (2019). An Analysis of Combining ESG-Scores and Price Momentum Strategies. (Master's thesis)
26. See, K.-C. (2021). A Study of Material ESG SASB Factors and Firm Financial Performance. (Master's thesis)
27. Tobin, J. (1958). Liquidity Preference as Behavior Towards Risk. Review of Economic Studies, 25(2), 65–86.