中国股票市场的绿色激励:可持续发展视角  

Does Chinese Stock Market Reward for Going Green? Based on Enterprise Sustainable Development

作　　者：刘勇[1] 白小滢[2] LIU Yong;BAI Xiao ying(Economics and Management School,Wuhan University,Wuhan,Hubei,430072,China;School of Finance,Zhongnan University of Economics and Law,Wuhan,Hubei,430071,China)

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072 [2]中南财经政法大学金融学院,湖北武汉430071

出　　处：《经济管理》2020年第1期155-173,共19页Business and Management Journal ( BMJ )

基　　金：教育部人文社会科学基金项目“中国宏观金融风险部门间传染与金融稳定:渠道、机制与路径识别研究”(18YJA790003);国家自然科学基金项目“资本积累路径对我国环境动态跃迁的影响”(71203237);国家自然科学基金项目“收入断层背景下中国宏观金融风险传导机理与去杠杆化政策模拟研究”(71403194)

摘　　要：绿色金融的可持续性成为新阶段绿色金融体系建设的基本目标之一,其实现有赖于绿色企业是否具有可持续性发展特征。本文从企业可持续发展视角重新界定绿色企业,并实证检验中国股票市场是否对绿色企业做出激励反馈,以评估股票市场配置绿色资源的有效性。基于可持续发展标准下的企业样本构建绿色因子和绿色效率因子后,本文在Fama French五因子模型的基础上构建了新的六因子模型。基于2009—2015年A股上市公司样本的检验结果表明,绿色企业股票的预期超额收益率更高,且绿色效率越高的企业,超额收益率越高。本文经验结果表明,中国股票市场存在可持续发展视角下的绿色激励。对不同效率的企业,正向超额收益率激励都存在且不同。上述结论在Fama French三因子模型框架下、定价因子正交化后的模型中及重新分组的模型中均稳健。本文的研究结论表明,我国股票市场符合新阶段可持续发展的绿色金融体系的基本要求,但我国股票市场将绿色资源主要配置在头部绿色企业,配置效率有待进一步提高。The sustainable of Green Finance became one of new standards on constructing green financial system in new stage,which greatly relies on the sustainable of green enterprise financed by green stock market.How to identify a corporate as going green in the view of sustainable development?The paper considers a new evaluation method,which identifies the corporate as going green by the corporate s total green points,calculated from both the corporate s environmental protection and sustainable development strategies..The new evaluation covers the corporate s green culture,economic advantages,social harmonious,environmental friendly and green innovation,which mainly feature the corporate s sustainable performance relatively to traditional environmental protection performance.Specifically,the evaluation method covers 5 tier one indexes and 14 tier two indexes.We apply our new evaluation method to stocks in China stock market and construct two new factors,called the green factor and the green efficient factor which then be used to test if the green corporates are compensated by green premium in the framework of Fama French five factors model.We extend the Fama French five factors model to six factors model by introducing the green factor or the green efficiency factor to test green premium hypothesis in China stock market based on the sample between 2009 and 2015 We get the following empirical outcomes.First,the average excess return of the green corporate stocks,in names of both individual stocks and the portfolio,is higher than the average excess return of the non green corporate stocks,which significantly support that there is a positive green reward in China stock market.The policy implication of this outcome is that the new green evaluation method in our paper is suitable to identify green enterprise in China green stock market by means of sustainable green finance.Second,the top half efficiency green corporates get higher average excess return than the low half efficiency green ones,and the deference between them is

关 键 词：绿色激励 因子模型 可持续发展 绿色企业 

分 类 号：F832[经济管理—金融学]