ESG表现、财务特征与股票系统性风险  

ESG Performance,Financial Characteristics and Stock Systematic Risk

作　　者：孙会霞 黄嵩[2] 郑田田 SUN Huixia;HUANG Song;ZHENG Tiantian(School of Public Finance and Taxation,Central University of Finance&Economics,Beijing 100081;School of Software and Microelectronics,Peking University,Beijing 100871)

机构地区：[1]中央财经大学财政税务学院,北京100081 [2]北京大学软件与微电子学院,北京100871

出　　处：《系统科学与数学》2024年第8期2173-2191,共19页Journal of Systems Science and Mathematical Sciences

摘　　要：大量证据指出ESG表现良好的企业面临更低的崩盘风险和利益相关者风险,从而稀释系统性风险.然而,相较于基本面类的财务指标,ESG作为一种非财务指标,其对股票系统性风险影响的作用机制、动态时变性和异质性特点尚未得出一致结论.据此,文章选取A股市场2009年1月至2023年11月的数据展开实证研究,基于条件CAPM模型,将系统性风险β动态刻画成关于ESG表现(非财务特征)和公司基本面特征(财务特征)的线性函数,然后采用MCMC贝叶斯估计方法得到时变β的估计量用于结果分析.研究结果如下:第一,ESG表现和股票系统性风险呈负相关关系,这种关系在近几年越来越强且变得显著;第二,ESG表现对股票系统性风险影响的大小在行业上呈现异质性,对于受能源或受国家政策影响较大的行业,良好的ESG表现有助于降低系统性风险;第三,虽然ESG表现会影响股票系统性风险,但投资者对ESG风险的反应弱于基本面风险,这之中存在投资者反应的不对称,所以ESG风险可被看作第二性风险,其对系统性风险影响的大小受市值、账面市值比这类基本面特征的调节影响.A large amount of evidence suggests that companies with good ESG performance have a lower risk of collapse and stakeholder risk,thereby diluting systematic risk.However,compared to fundamental financial indicators,ESG as a non-financial indicator has not yet reached a consistent conclusion on its mechanism,dynamic variability,and heterogeneity of impact on stock systematic risk.Based on this,this paper selects data from January 2009 to November 2023 in the A-share market for empirical research.Based on the conditional CAPM model,the systematic riskβis dynamically characterized as a linear function of ESG performance(non-financial characteristics)and company fundamental characteristics(financial characteristics).Then,the MCMC Bayesian estimation method is used to obtain time-varying estimates ofβfor results analysis.The research results are as follows:First,there is a negative correlation between ESG performance and stock systematic risk,which has become increasingly strong and significant in recent years.Second,the impact of ESG performance on stock systematic risk shows heterogeneity across industries.For industries that are more affected by energy or national policies,good ESG performance helps to reduce systematic risk.Third,although ESG performance can affect stock systematic risk,investors respond less to ESG risk than to fundamental risk,leading to asymmetric investor reactions.Therefore,ESG risk can be considered a secondary risk,and its impact on systematic risk is moderated by fundamental characteristics such as market value and book-to-market ratio.

关 键 词：ESG表现 系统性风险 条件资本资产定价模型 时变β 贝叶斯估计 

分 类 号：X322[环境科学与工程—环境工程] F832.51[经济管理—金融学] F275