CAJ | 학술논문

社会责任投资已是当今欧美资本市场的主流，目前刚进入我国资本市场，国内理论界对这一问题仍缺乏足够研究。聚焦我国社会责任投资策略及其绩效，本文首先分析和比较社会责任投资的社会筛选、股东主张和社区投资三种策略；在此基础上，应用案例分析法探讨我国社会责任投资策略及其社会绩效；然后选取兴业全球社会责任基金等四家社会责任投资基金作为实证研究的样本，对社会责任投资基金的财务绩效收益与各自比较基准和市场基准的收益加以比较。研究表明，社会责任投资双重目标的实现需要三种策略共同发挥作用；社会责任投资在中国仍处于起步阶段，其中以社会筛选应用为主，其次是社会投资和股东主张；社会责任投资对资本市场和企业均产生一定社会影响，但主要是理念，实际社会绩效仍不显著。同时，国内社会责任基金的筛选标准主要关注社会责任、环境和可持续发展议题。实证研究结果显示，社会责任基金的收益均不低于比较基准和市场平均水平，且有较好的抗风险能力。最后，本文提出从扩大社会责任市场规模、提高资本市场透明度以及完善公司治理结构来促进社会责任投资在我国的发展。
사회책임투자이시당금구미자본시장적주류，목전강진입아국자본시장，국내이론계대저일문제잉결핍족구연구。취초아국사회책임투자책략급기적효，본문수선분석화비교사회책임투자적사회사선、고동주장화사구투자삼충책략；재차기출상，응용안례분석법탐토아국사회책임투자책략급기사회적효；연후선취흥업전구사회책임기금등사가사회책임투자기금작위실증연구적양본，대사회책임투자기금적재무적효수익여각자비교기준화시장기준적수익가이비교。연구표명，사회책임투자쌍중목표적실현수요삼충책략공동발휘작용；사회책임투자재중국잉처우기보계단，기중이사회사선응용위주，기차시사회투자화고동주장；사회책임투자대자본시장화기업균산생일정사회영향，단주요시이념，실제사회적효잉불현저。동시，국내사회책임기금적사선표준주요관주사회책임、배경화가지속발전의제。실증연구결과현시，사회책임기금적수익균불저우비교기준화시장평균수평，차유교호적항풍험능력。최후，본문제출종확대사회책임시장규모、제고자본시장투명도이급완선공사치리결구래촉진사회책임투자재아국적발전。
Following the idea of ＂making money, and make a difference＂, socially responsible investment （SRI） is different from conventional investment, which concerns not only about financial performance, but also about environmental and social performance of investment. As a new investment approach, socially responsible investment （SRI） has just occurred in Chinese capital market in the past several years, and it has aroused academic interest. However, the research on the strategy and performance of SRI in Chinese context still needs to be greatly improved. What about the current status of SRI in China？ Do Chinese socially responsible investment funds （ SRI funds）truly motivate corporate social responsibility （CSR）behavior？ Can Chinese SRI funds obtain higher return than conventional investment？ The exploration of the above questions will be helpful to promote the theoretical re- search and practice of SRI in China. By conducting a review of the literatures about SRI funds influence on corporate behaviors, social welfare and financial performance at home and aboard, this paper highlights three deficiencies of extant research, e. g. neglecting influence mechanism in relation to financial performance, ignoring the role of community investing in the influence mechanism, lacking of empirical research in developing countries. Due to the above limitations, this paper firstly an- alyses and compares the nature of three different investment strategis, e. g. social screening, shareholder advocacy and community investing strategy;Then it choose three different Chinese cases to study the social performance of the above strategies, respectively. Lastly,it introduces briefly the development status of Chinese SRI funds, and choose four representative SRI funds to empirically compare their financial return with that of market benchmark, by using the return rate with risk-adjusted and without risk-adjusted. And Jensen alpha, the Sharpe ratio and the Treynor ratio are used in the empirical analysis as evaluation indice. The systematic analysis conveys that the realization of dual goals of SRI depends on the fully and overall devel- opment of three different strategies. The case study shows that social screening has a few impacts on corporate be- haviors, but it is significant in introducing the awareness of corporate social responsibility into the capital market in China. Comparing to social screening, shareholder advocacy and community investing strategy are both less devel- oped and thus less social effects, but there also exist successful cases even at their infant stages. Meanwhile, the ex- plaration on the market staturs tells that there are altogether nine SRI funds have founded in China,which concern mostly on the issue of corporate social responsibility, environment protection and sustainable development. Among which, the ealiest on was founded in 2006, and the most typical one is Xingye Global SRI Fund. The empirical analysis finds that the return of SRI funds in China varies, amog which, the financial performance of Xingye Gloabal SRI is best, e. g. much higher than its benchmark level;and Jianxin SRI Fund perform worse than its comparing benchmark while perform better than Shanghai-Shenzhan 300 Index, and it shows that it is worth to be invested. The results also show that the financial performance of two other SRIs do not have significant different with their benchmark. Generally speaking, the financial performance of SRI funds in China can at least maintain the same level as that of conventional investment, and they may even outperform conventional investment in the long run. However, more tests would be need for reaching the reliable conclusion, because SRI is new and rare in China and no enough cases and data can support the research. Based on the above analysis, this paper proposes several suggestions as below. Considering the required market size for effective SRI, the awareness and guideline of social responsibility should be enhanced and more SRI practice be encouraged. Tthe transparency of capital market is also essential for the development of SRI as well because it is helpful for investors＇ correct dicision making. Besides, good corporate governance would increase the correlation be- tween corporate operation performance and managers＇ control right, which can encourage managers＇ to guide corpo- rate behave in a more socially responsible manner.