ESG评级能否创造股票投资价值?——基于企业经营绩效与投资者关注视角  

Does ESG Rating Create Equity Investment Value?—Based on Operational Performance and Investor Attention

作　　者：周杰怡 郭捷 李全 ZHOU Jieyi;GUO Jie;LI Quan(Nankai University,Tianjin 30035,China;Puyang Industrial Energy Conservation and Cleaner Production Association,Puyang 457099,China)

机构地区：[1]南开大学,天津30035 [2]濮阳市工业节能与清洁生产协会,濮阳457099

出　　处：《中国证券期货》2023年第3期53-66,共14页Securities & Futures of China

基　　金：国家社会科学基金重大项目“深化混合所有制改革的机制创新和实践路径研究”(21ZDA039)。

摘　　要：在我国大力推动“双碳”目标、促进经济高质量发展的背景下,ESG理念越来越受到社会各界的关注。本文以2009年第一季度到2022年第三季度的A股上市公司为样本,实证分析ESG评级对股票投资价值的影响。研究发现,ESG评级与股票超额收益率存在显著的正向关系,中介效应检验表明,这种正向影响能通过在企业内部提升经营绩效、在外部市场吸引投资者关注的途径实现,ESG评级能有效发挥内部价值创造作用、外部信号传递作用、外部声誉价值创造作用,且异质性分析发现这种正向影响在非国有企业、低碳行业与新冠肺炎疫情发生后更为明显。最后,本文结论通过了两种方法的稳健性检验,具有良好的可靠性。综上,本文丰富了国内关于ESG评级对股票投资价值的相关研究,并为未来我国推动ESG相关体系的建立完善提供了新的理论依据。In the context of China s efforts to promote the“double carbon”goal and promote high-quality economic development,the ESG concept has attracted more and more attention from all walks of life.This paper takes A-share listed companies from the first quarter of 2009 to the third quarter of 2022 as samples to empirically analyze the impact of ESG rating on stock investment value.The research finds that ESG rating has a significant positive relationship with stock excess return.The intermediary effect test shows that this positive impact can be achieved by improving business performance within the enterprise and attracting investors attention in the external market.ESG rating can effectively play the role of internal value creation,external signal transmission,and external reputation value creation,and the heterogeneity analysis finds that this positive impact in non-state-owned enterprises Low-carbon industry is more obvious after the epidemic.Finally,the conclusion of this paper has passed the robustness test of the two methods and has good reliability.To sum up,this paper enriches the domestic research on the impact of ESG rating on stock investment value,and provides a new theoretical basis for China to promote the establishment and improvement of ESG-related systems in the future.

关 键 词：ESG 股票投资价值 经营绩效 投资者关注 中介效应 

分 类 号：F83[经济管理—金融学]