選股策略一直是投資人重視且熱烈討論的事，其中熱門的 ESG (environment, social and governance) 指標和大數據預測都是選股策略。自從 2005 年由聯合國報告提出 ESG 永續經營的觀念後，全球許多政府與企業都致力於追求 ESG 永續發展的營運目標；而大數據預測選股的方法千千萬萬種，甚至一直推陳出新，網路聲量也是大數據預測選股其中一種方法。本研究主要結合 ESG 指標及個股網路聲量組成投資組合，其與元大台灣 50 ETF (exchange traded funds) 以及其他 ESG 相關 ETF 做績效的比較。本研究將利用 2017 至 2019 年三個年度的 TWSE 台灣公司治理評鑑指標和 Google 搜尋量指數 (search volume index) 挑選出排名前 15 名、前 20 名、前 25 名、前30名、前35名及前 40 名之投資組合，再利用 Markowitz 投資組合理論模型產生投資組合的效率前緣 (efficient frontier)、報酬率、Sharpe ratio 以及各組投資權重。最後依照各年度 TWSE 指標 Sharpe ratio 最佳的投資組合權重進行投資，並將其績效與當年度的元大台灣 50 ETF 及 ESG 相關 ETF 做比較。實證研究結果顯示利用本文所建構的投資組合報酬率不一定優於元大台灣 50 ETF 以及其他 ESG 相關 ETF，但其 Sharpe ratio 表現都優於元大台灣 50 ETF 以及其他 ESG 相關 ETF，符合在相同風險下能獲得較高報酬率的論點。因此我認為 ESG 指標結合網路聲量之投資組合績效是值得參考的。

Stock selection strategies are a topic that has been arousing great interest and heated discussion among investors. The popular environment, social and governance (ESG) indicators and big data predictions are two types of such strategies. Since the concept of sustainable operations from an ESG perspective which was introduced by a United Nations report in 2005, many governments and enterprises around the world have been committed to pursuing the business goal of ESG sustainable development. Meanwhile, there are myriad ways in which big data predictions are used for stock selection. The ‘volume of internet posts’ is one of the big data prediction-based stock selection methods. This study mainly uses ESG indicators and the volume of internet posts for individual stocks to formulate portfolios, and compares the performance of these portfolios with those of Yuanta Taiwan Top 50 (0050.TW) exchange traded funds (ETF) and other ESG related ETFs. We first use Taiwan Stock Exchange (TWSE) of Taiwan Corporate Governance Assessment Indicator and Google search volume index to select the top 15, top 20, top 25, top 30, top 35 and top 40 companies. Then we use the stocks of the selected companies to construct the portfolios. Further, Markowitz’s Modern Portfolio Theory was adopted to generate the efficient frontier of the portfolios, the rate of return, Sharpe ratio and investment weights. Invest in the next year according to the best Sharpe ratio of each year's portfolio investment weight. According to the empirical research results, the rate of return is not necessarily better than those of Yuanta Taiwan Top 50 ETF (0050.TW) and other ESG related ETFs. But the Sharpe ratio is better than those of Yuanta Taiwan Top 50 ETF (0050.TW) and other ESG related ETFs, which is consistent with the argument that higher returns can be obtained under the same risk. On this ground, this study argues that portfolios selected with reference to a combination of ESG indicators and the volume of internet posts is worth considering.

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