中国证券市场的绿色激励:一个四因素模型  

Green Incentive in Chinese Securities Market: Four Factor Model

作　　者：韩立岩[1] 蔡立新[1] 尹力博[2] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]中央财经大学金融学院,北京100081

出　　处：《金融研究》2017年第1期145-161,共17页Journal of Financial Research

基　　金：国家自然科学基金的资助(71173008;71673020;71671193)

摘　　要：本文以节能环保相关的绿色概念股票为对象,研究中国证券市场是否存在绿色激励。在Fama-French三因素模型基础上引入绿色因子构建了四因素模型。实证结果表明该四因素模型能够更好刻画绿色概念股票的风险收益;绿色概念股票相对于其他股票存在显著的风险溢价,即中国证券市场存在绿色激励。但是证券市场还无法区分绿色技术的效率差异。本文结论对于新常态下投资组合策略有参考意义,也喻示中国证券市场需要更专业的绿色评级体系。We study whether green incentives work in Chinese securities market in term of green concept stocks with energy conservation and environmental protection technology. Based on the FF Three - Factor Model, we construct a Four - Factor Model by introducing a green factor. The empirical results show the green Four - Factor Model can explain the excess returns of green securities ; relative to other stocks, risk premiums exist in green concept stock block, namely green incentive; However, China securities market has not yet distinguished efficiency levels of green technologies. Our conclusions would be meaningful for portfolio selection strategies in the new normal economy and imply Chinese securities market needs a more professional green rating system.

关 键 词：节能环保 四因素模型 绿色激励 

分 类 号：F832.51[经济管理—金融学]