突发性事件冲击下ESG投资对基金绩效的影响:理论与实证  

ESG investing and fund performance under sudden shock:Theory and evidence

作　　者：凌爱凡 黄昕睿 谢林利 杨晓光[4] LING Aifan;HUANG Xinrui;XIE Linli;YANG Xiaoguang(School of Economics and Finance,Shanghai International Studies University,Shanghai 201620,China;Shanghai Underwriting and Sponsoring Branch of Sinolink Securities Co.,Ltd.,Shanghai 201204,China;School of Economics and Management,East China Jiaotong University,Nanchang 330013,China;Academy of Mathematics&Systems Science,CAS,Beijing 100190,China)

机构地区：[1]上海外国语大学国际金融贸易学院,上海201620 [2]国金证券股份有限公司上海证券承销保荐分公司,上海201204 [3]华东交通大学经济管理学院,南昌330013 [4]中国科学院数学与系统科学研究院,北京100190

出　　处：《系统工程理论与实践》2023年第5期1300-1319,共20页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71771107,72071098);中央高校基本科研业务费专项。

摘　　要：如何正确地引导社会资本流向绿色和环保项目,以促进企业的绿色和低碳转型,成为当前中国经济可持续发展的重要问题.在此背景下,论文提出了含ESG投资和突发性冲击风险的均衡投资组合模型,理论结果表明:1)投资组合的预期收益与组合自身和市场的ESG水平、外生冲击风险等因素有关;2)当存在外生冲击时,ESG水平对组合预期收益率的影响与受到的冲击程度正向相关.论文以我国股票型基金和新冠疫情为自然实验对理论结果进行了实证检验,并进一步分析了ESG投资水平对基金绩效影响的理论机制,所有实证结果均与理论预期高度吻合.本文的研究将有助于引导社会资本通过ESG投资方式,流向企业的绿色和环保项目,为金融资本促进企业绿色转型提供了有价值的理论和实证依据.How to correctly guide more capital to green projects and promote the transformation of enterprises to the green and low carbon emission have become a hot issue for the sustainable development of China.In this background,the paper proposes an equilibrium investment decision model with ESG investing and exogenous sudden shock.The theoretical results show that:1)The expected return of portfolio is related to the ESG level from the market and the portfolio itself;2)The impact of ESG level on the expected return of the portfolio is positively dependent on the degree of sudden shock when there is a sudden shock to the market.Using COVID-19 shock as a national experiment,all theoretical results are checked empirically by the stock funds data,and the impact mechanism of the ESG level on the fund performance are further analyzed.The empirical results are highly consistent with the theoretical prediction.The research of this paper will help guide social capital to the green and environmental protection projects of enterprises through ESG investment,or rather provide valuable helps for financial capital to promote green transformation of enterprises.

关 键 词：ESG投资 均衡模型 基金绩效 新冠疫情 市场贝塔 

分 类 号：F830[经济管理—金融学]