結合「公司治理評鑑」與指標選股之投資績效

公司治理評鑑(corporate governance evaluation system, CGES)的宗旨包含：「獎勵優良企業，發揮標竿功能」。經由持續評鑑，可望提升企業因應ESG風險之能力。本研究探討CGES投資的相關議題。首先，針對不同評等的投資組合是否存在差異，本研究整合滾動式抽樣，7個CGES評等級距，8項財務指標，等權與最小變異數2種權重策略，評比各種CGES投資組合。其次，探討資訊取得成本較低的CGES策略，是否可以比擬ESG投資。將以元大台灣ESG永續發展ETF成分股為基礎，建構8種「模擬的ESG投資組合」並評比之。最後，進行2017年7月至2023年6月的實證研究。從報酬績效觀點來看，實證顯示：80%以上的CGES投資組合，打敗標竿（元大台灣50）；另一方面，CGES和ESG兩組投資組合，在等權與最小變異數策略則各具有優勢。

The aim of Taiwan’s Corporate Governance Evaluation System (CGES) is to reward excellent companies and serve as a benchmark. Continual evaluations are expected to improve the ability of companies to respond to environmental, social, and governance (ESG) risks. Accordingly, this study investigates two main questions related to CGES investment. First, do investment portfolios with varying CGES rankings differ? To answer this question, we use rolling sampling across seven CGES rankings, eight financial ratios, and two weighting strategies (averaged weights and minimum variance) to evaluate diverse CGES portfolios. Second, can CGES strategies with relatively low information acquisition costs perform similarly to ESG portfolios? To answer this question, we use the same method to construct eight simulated ESG portfolios by using the constituents of the Yuanta Taiwan ESG Sustainability (00850) exchange-traded fund. We conduct an empirical analysis for the period from July 2017 to June 2023 to examine the monthly returns of TAIEX and OTC companies. In terms of reward performance, the results demonstrate that more than 80% of the CGES portfolios outperform the benchmark (Yuanta Taiwan 50). In addition, the CGES and ESG portfolios exhibit excellent averaged weights and minimum variance, respectively.