教師資料查詢 | 類別: 期刊論文 | 教師: 黃健銘 HUANG, CHIEN-MING (瀏覽個人網頁)

標題:The Effects of Corporate Social Responsibility on Equity Fund’s Returns: Evidence from China
學年104
學期2
出版(發表)日期2016/04/30
作品名稱The Effects of Corporate Social Responsibility on Equity Fund’s Returns: Evidence from China
作品名稱(其他語言)
著者Chen, M.C.; Lee, C.F.; Huang, Chien-Ming
單位
出版者
著錄名稱、卷期、頁數International Journal of Economics and Finance 8(10), p.92-102
摘要The purpose of this paper is to investigate whether the fund management companies in China have the corporate social responsibility (CSR) and its correlation with the fund performance. The samples are the equity funds between 2004 and 2012. The basis for assessment for the CSR is the Chinese fund company comprehensive assessment report, published by Morningstar Chinese Research Center in Jan 25th 2013. This research uses quantile regression model with three factors to measure the fund management companies with high ranking or low ranking average fund returns and provide investors some basis for investment decisions. The empirical results show the fund management companies with high ranking have better fund returns than those low ranking. Through quantile regression estimations, it is found that the market factors and fund returns have significant correlation with high ranking. The groups with low ranking and high fund returns, the funds performance has a significant positive correlation with the size factors. The group with high ranking and below medium fund returns, the fund performance has a positive relationship with the book to price ratio. Finally, in the fund management companies with extreme CSR ranking, the fund performance has a significant positive correlation with the fund net asset value.
關鍵字corporate social responsibility;equity funds;quantile regression model
語言英文(美國)
ISSN1916-971X
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,電子版
相關連結
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