Title: EXPLORING ESG MOMENTUM: CORPORATE RESPONSIBILITY AND STOCK PERFORMANCE IN TAIWAN
Authors:
Szu-Hsien Lin, Shao-Chun Chiu, Huei-Hwa Lai* And Bo-Chun Huang
Abstract:
With the acceleration of global economic integration and a growing awareness of sustainability, investors are increasingly prioritizing corporate social responsibility (CSR) in their decision-making. This study examines the relationship between CSR and stock momentum by analyzing the Taiwan stock market through the lens of two prominent Exchange-Traded Funds (ETFs): the Fubon Taiwan Corporate Governance 100 ETF (00692) and the Yuanta Taiwan ESG Sustainability ETF (00850). Using a sample period from December 2009 to December 2019, the study constructs momentum portfolios based on historical returns to evaluate whether CSR-focused companies demonstrate persistent outperformance or reversal effects. Results reveal significant momentum effects in portfolios formed from CSR-oriented firms, offering valuable implications for institutional and retail investors alike.
Keywords: Corporate Governance, ESG, Stock Momentum Effect, Reversal Effect, Taiwan Stock Market, ETF Performance.
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