勞保及勞退基金採行SRI之投資績效評估

The Investment Performance of Labor Insurance Fund and Labor Pension Fund Using SRI Stratedy

勞工退休基金監理會與勞保局先後在2008年及2009年宣布，未來擬將企業社會責任（CSR）列入基金投資股票的選股原則。惟對公共退休基金而言，政府介入人民退休經濟規劃的目的，是希望透過公權力來強化人民的退休經濟保障，亦即公共退休基金在投資行為上，仍需以追求財務性績效為首要考量，因之所謂「符合CSR理念」的投資標的在國內資本市場是否具有投資價值，即成了有待慎為評估之處。依據前述概念，本研究從國內目前較具公開性的CSR評選機制中，擇取出符合二大退休基金所界定之CSR訴求的上市櫃企業，並採用Jensen（1968）所提出的Jensen’s α及Fama and French（1993）所提出的三因子模式（three-factor model），將樣本 CSR企業以等權數（equal-weighted）的方式組成投資組合，來評估其股價表現。實證結果顯示，相較於台灣加權股價指數，樣本CSR企業基本上還是具有高報酬低風險的投資價值。此外，企業不僅在執行CSR期間中具有正向的股價績效，入榜後的股價績效也依然具有一定程度的持續性，且此一投資績效與公司規模及淨值市價比的關連性並不大。

The Labor Insurance Fund and Labor Pension Fund declared in 2008 and 2009 successively to incorporate corporate social responsibility（CSR） concept into investment strategies in the near future . The investment purpose of pension funds is to provide beneficiaries adequate retirement economic protection, so the stock returns of the CSR corporations become an important issue for the public pension funds. To perform our analysis, we first choose CSR corporations both listed on the popular CSR evaluation mechanisms in Taiwan and fitting the CSR standard developed by the two public pension funds, and form the CSR portfolios with equal-weighted method. Then we apply Jensen（1968）one-factor model and Fama and French（1993） three-factor model to evaluate the stock returns of CSR portfolios. We find that the CSR portfolios’ abnormal stock returns are higher than the benchmark, but the relative risks of CSR portfolios are lower than the benchmark, and the abnormal returns persist in the year after their nomination. Besides, the abnormal returns have no significant relationship with company sizes and investment styles.