本研究探討台灣股市中，透過篩選ESG分數形成的投資組合是否能帶來正報酬，以及ESG因素是否能影響股價動能效應，進而在長期內維持正報酬。研究發現，雖然短期內存在價格動能效應，但長期則不顯著。此外，研究亦指出採用ESG投資策略能成功帶來正向收益。本研究進一步顯示，結合ESG分數的動能投資策略在短期內有效，長期則未見顯著影響，足以表示在台灣股市中，ESG因素並未對股價動能效應產生顯著影響，即使結合ESG分數的投資策略也主要在短期內顯現其效益。此外，將ESG投資策略應用於先前表現較差的股票，可以實現更顯著的投資報酬。

This study investigates whether investment portfolios formed through the screening of ESG scores can generate positive returns in the Taiwan stock market, and whether ESG factors can influence price momentum effects to sustain positive returns over the long term. The research finds that while short-term price momentum effects exist, they are not significant in the long term. Additionally, the study notes that adopting ESG investment strategies can effectively produce positive returns. It further discovers that momentum investment strategies combined with ESG scores are effective in the short term but do not show significant impact in the long term. This indicates that, in the Taiwan stock market, ESG factors do not significantly affect the price momentum effect, and investment strategies incorporating ESG scores primarily show their benefits in the short term. Moreover, applying ESG investment strategies to previously underperforming stocks can yield higher returns.

論文審訂書………………………………………………………………………………i
摘要……………………………………………………………………………………...ii
Abstract…………. iii
Figures…………. vi
Table………………. vii
1. Introduction 1
1.1. Research Background and Motivation 1
1.2. Research Purpose 3
1.3. Research Contributions 4
2. Literature Review and Research Hypotheses 6
2.1. Momentum Effect 6
2.2. The Impact of ESG Scores on Stock Investment Returns 9
2.3. Combining Momentum Effect with ESG Scores 14
3. Data and Methodology 17
3.1. Data Sources and Sample Selection 17
3.2. Research Methodology and Model Construction 19
3.3. Descriptive Statistics 22
4. Empirical Results 25
4.1. Momentum Effect 25
4.2. ESG Strategy 30
4.3. ESG Momentum Strategy 33
4.4. Momentum ESG Strategy 37
4.5. Fama-MacBeth Cross-Sectional Regression 41
5. Conclusion and Contribution 44
References………. 48
Appendix……………………… 57

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