Fuzzy–Rough Analysis of ESG Ratings and Financial and Growth Ratios on the Stock Returns of Blue-Chip Stocks in Taiwan
Abstract
:1. Introduction
2. Literature Review
2.1. ESG and Stock Returns
2.2. Financial Ratios and Stock Returns
2.3. RST-Based Financial Modeling
3. RST-Based Bipolar Model
4. A Case Study from Taiwan
5. Discussion
6. Concluding Remarks
Funding
Data Availability Statement
Conflicts of Interest
References
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Notebooks | Style (a1) | Performance (a2) | Price (a3) | Overall Evaluation (aD) |
---|---|---|---|---|
N1 | Good | Medium | Bad | Bad |
N2 | Medium | Medium | Bad | Medium |
N3 | Medium | Medium | Medium | Medium |
N4 | Good | Good | Medium | Good |
N5 | Good | Medium | Good | Good |
Symbol | Full Name | Definition or Short Explanation |
---|---|---|
ROA | Return on asset | Net profit/Total asset |
ROE | Return on equity | Net profit/Equity |
Rev_G | Revenue growth | Revenuet − Revenuet−1/Revenuet−1 |
NAV_G | Net asset value growth rate | (Net asset valuet − net asset valuet−1)/Net asset valuet−1 |
PreTaxProfit_G | Pre-tax income margin growth rate | (Pre-tax incomet − pre-tax incomet−1)/Pre-tax incomet−1 |
AfterNProfit_G | Net profit margin growth rate | (Net profitt − net profitt−1)/Net profitt−1 |
Earning_G | Compound Annual Growth Rate of Net Income | (Net ending valuet/Net ending valuet−1) − 1 |
SusNetProfit_G | Compound Annual Growth Rate of Continuous Net Income | (Net incomet/Net incomet−1) − 1 |
TAsset_G | Total asset growth rate | (Total assett − Total assett−1)/Total assett−1 |
TAssetProfit_G | ROA growth rate | (ROAt − ROAt−1)/ROAt−1 |
TESG | TESG grade | The ESG grade given by TEJ |
Classification Accuracy (DRSA) | VC-DRSA (Consistency = 0.9) | |
---|---|---|
1st | 66.0% | 57% |
2nd | 64.0% | 54% |
3rd | 69.0% | 55% |
average | 66.33% | 55.33% |
SD | 2.05% | 1.25% |
Number of Rules | Rules | Supports | Normalized Weights |
---|---|---|---|
Positive P1 | NAV_G ≥ 3 & TESG ≥ 6 ⇒ S_Return ≥ 2 | 3 | 100% |
Negative N1 | ROA ≤ 2 & TESG ≤ 2 ⇒ S_Return ≤ 1 | 5 | 3.70% |
Negative N2 | TAsset_G ≤ 2 & TESG ≤ 2 ⇒ S_Return ≤ 1 | 5 | 3.70% |
Negative N3 | TAssetProfit_G ≤ 1 & TESG ≤ 3 ⇒ S_Return ≤ 1 | 6 | 4.44% |
Negative N4 | ROA ≤ 2 & Rev_G ≤ 1 ⇒ S_Return ≤ 2 | 21 | 15.56% |
Negative N5 | ROA ≤ 2 & TESG ≤ 3 ⇒ S_Return ≤ 2 | 27 | 20.00% |
Negative N6 | TAsset_G ≤ 2 & TESG ≤ 3 ⇒ S_Return ≤ 2 | 26 | 19.26% |
Negative N7 | ROE ≤ 1 & TESG ≤ 5 ⇒ S_Return ≤ 2 | 22 | 16.30% |
Negative N8 | ROA ≤ 1 & Rev_G ≤ 2 & AfterNProfit_G ≤ 2 & TESG ≤ 5 ⇒ S_Return ≤ 2 | 23 | 17.04% |
Companies | |||
---|---|---|---|
Symbols | N | Q | A |
ROA | 3 | 3 | 3 |
ROE | 3 | 3 | 3 |
Rev_G | 1 | 1 | 1 |
NAV_G | 1 | 3 | 1 |
PreTaxProfit_G | 1 | 3 | 1 |
AfterNProfit_G | 1 | 3 | 1 |
Earning_G | 1 | 3 | 1 |
SusNetProfit_G | 1 | 3 | 1 |
Tasset_G | 1 | 1 | 1 |
TAssetProfit_G | 3 | 3 | 1 |
TESG | 3 | 6 | 5 |
Rules | P1 | N1 | N2 | N3 | N4 | N5 | N6 | N7 | N8 | Final Scores |
---|---|---|---|---|---|---|---|---|---|---|
Weights | 100.00% | 3.70% | 3.70% | 4.44% | 15.56% | 20.00% | 19.26% | 16.30% | 17.04% | |
N | 0.00% | 0.00% | 50.00% | 100.00% | 50.00% | 50.00% | 100.00% | 50.00% | 75.00% | −64.26% |
Q | 100.00% | 0.00% | 50.00% | 0.00% | 50.00% | 0.00% | 50.00% | 0.00% | 25.00% | 76.48% |
A | 0.00% | 0.00% | 50.00% | 0.00% | 50.00% | 0.00% | 50.00% | 50.00% | 75.00% | −40.19% |
Rules | P1 | N1 | N2 | N3 | N4 | N5 | N6 | N7 | N8 |
---|---|---|---|---|---|---|---|---|---|
N | H | H | M | H | M | M | H | M | M |
Q | H | H | H | H | H | H | H | H | M |
A | H | H | H | H | H | H | H | H | H |
Rules | P1 | N1 | N2 | N3 | N4 | N5 | N6 | N7 | N8 | Final Scores |
---|---|---|---|---|---|---|---|---|---|---|
Weights | 100.00% | 3.70% | 3.70% | 4.44% | 15.56% | 20.00% | 19.26% | 16.30% | 17.04% | |
N | 0.00% | 0.00% | 29.17% | 80.00% | 29.17% | 29.17% | 80.00% | 29.17% | 43.75% | −42.62% |
Q | 80.00% | 0.00% | 40.00% | 0.00% | 40.00% | 0.00% | 40.00% | 0.00% | 14.58% | 62.11% |
A | 0.00% | 0.00% | 40.00% | 0.00% | 40.00% | 0.00% | 40.00% | 40.00% | 60.00% | −32.15% |
Rules | P1 | N1 | N2 | N3 | N4 | N5 | N6 | N7 | N8 | Ratio |
---|---|---|---|---|---|---|---|---|---|---|
ROA | ● | ● | ● | ● | 4/9 | |||||
ROE | ● | 1/9 | ||||||||
Rev_G | ● | ● | ● | 3/9 | ||||||
NAV_G | 0/9 | |||||||||
PreTaxProfit_G | 0/9 | |||||||||
AfterNProfit_G | ● | 1/9 | ||||||||
Earning_G | 0/9 | |||||||||
SusNetProfit_G | 0/9 | |||||||||
TAsset_G | ● | ● | 2/9 | |||||||
TAssetProfit_G | ● | 1/9 | ||||||||
TESG | ● | ● | ● | ● | ● | ● | ● | ● | 8/9 |
Rules | P1 | N1 | N2 | N3 | N4 | N5 | N6 | N7 | N8 |
---|---|---|---|---|---|---|---|---|---|
Weights | 100.00% | 3.70% | 3.70% | 4.44% | 15.56% | 20.00% | 19.26% | 16.30% | 17.04% |
Q | 100.00% | 0.00% | 50.00% | 0.00% | 50.00% | 0.00% | 50.00% | 0.00% | 25.00% |
Gaps | 0.00% | 0.00% | 50.00% | 0.00% | 50.00% | 0.00%. | 50.00% | 0.00% | 75.00% |
Weighted gaps | 0.00% | 0.00% | 1.85% | 0.00% | 7.78% | 0.00% | 9.63% | 0.00% | 12.78% |
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Shen, K.-Y. Fuzzy–Rough Analysis of ESG Ratings and Financial and Growth Ratios on the Stock Returns of Blue-Chip Stocks in Taiwan. Mathematics 2024, 12, 2511. https://doi.org/10.3390/math12162511
Shen K-Y. Fuzzy–Rough Analysis of ESG Ratings and Financial and Growth Ratios on the Stock Returns of Blue-Chip Stocks in Taiwan. Mathematics. 2024; 12(16):2511. https://doi.org/10.3390/math12162511
Chicago/Turabian StyleShen, Kao-Yi. 2024. "Fuzzy–Rough Analysis of ESG Ratings and Financial and Growth Ratios on the Stock Returns of Blue-Chip Stocks in Taiwan" Mathematics 12, no. 16: 2511. https://doi.org/10.3390/math12162511