| Summary: | 碩士 === 中原大學 === 企業管理研究所 === 94 === Along with the emphasis on corporate social responsibility (CSR) from Occident during the past decades, the social responsibility (SR) investment has also become a conspicuous trend. Ethical fund is a kind of social responsibility investment, which is established based on a criteria to invest the companies which implement social responsibility. This study attempts to examine whether the “ethical fund” has a higher rate of return than that of the “unethical fund”, containing the companies which are deemed not to emphasize social responsibilities.
This work also explores the relationship between social responsibility and financial performance. First, the questionnaires were distributed to 154 financial experts to select 20 most socially responsible companies from the manufacturing industries and 10 most socially responsible companies from the non-manufacturing industries. The exports also chose 20 most socially irresponsible corporations from the manufacturing industries and 10 most socially irresponsible corporations from the non-manufacturing industries. Second, the traditional fund evaluation indices and the modified Sharp index are carried out for optimal analysis. The conclusions are summarized as follows:
1. This study compares the performance of the portfolio containing SR firms with that of non-SR firms by using Treynor, Sharpe, Jensen , and adjusted Jensen indices. The result shows that SR portfolio outperforms non-SR portfolio.
2. This work then uses Sharpe Index with Value-at-Risk (VaR) to measure the rate of return and the risk on investment, the findings indicate that Ethical funds outperformed the non-ethical funds and the ethical funds undertake lower risk than non-ethical funds.
3. According to the results based on the interviews with three experts, this work learns that, during the short-term period, the Ethical Fund should be established by private placement rather than by publicly listing.
4. In summary, ethical funds outperform unethical funds on both financial and social functions by employing four indices. This study also finds that the Ethical Fund has lower risk than non-ethical fund. This investigation also suggests that government shall emphasize on implementing SR investment and encourage the trust fund company and the security firms to issue ethical funds in order to promote the concept of social responsibility.
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