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

• Main Authors: Tu,Pei-Yun, 杜培筠
• Other Authors: Wang,Ching-Yi
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/5gne45

碩士 === 南台科技大學 === 財務金融系 === 101 === As the economic prosperity in 1970s and 1980s brings the environment, labor and corporate governance issues, the corporate social responsibility（CSR）issue also emerges in Taiwan, making Labor Insurance Fund and Labor Pension Fund declare to incorporate social responsibility investment（SRI）into investment strategy in the near future . The investment purpose of pension funds is to provide beneficiaries adequate retirement economic protection, but as the SRI development is still immature in Taiwan, the financial performance of SRI becomes an important evaluation for the public pension funds. The recent SRI literature employs two groups of data: balance sheet data and financial data. Because the balance data can not reflect the investment risk, and to earn the stock return is the final goal for all investors, the data we employed here is financial data. 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 adopt both 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 risk of CSR portfolios are lower the benchmark, and the abnormal returns persist in the year after their nomination. Besides, the abnormal returns have no significant relationship with company size and investment style.