寻找绿色溢价:ESG因子在中国A股市场的投资可行性  

Research On the Application of ESG Ratings and Stock Quantitative Investment Strategy

作　　者：张鹏 苗子清 刘世森 王浩瀚 ZHANG Peng;MIAO Ziqing;LIU Shisen;WANG Haohan(Orient Securities Company Ltd.)

机构地区：[1]东方证券金融产品总部 [2]东方证券

出　　处：《金融市场研究》2024年第7期9-16,共8页Financial Market Research

基　　金：国家自然科学基金面上项目“数字金融支持实体经济高质量发展”(72273005)。

摘　　要：ESG投资将环境、社会及治理三种因素纳入资产选择和投资组合,与我国经济金融的未来发展趋势和方向高度契合。本文基于ESG评级指标数据构建ESG因子并进行有效性、相关性及行业分布等多维度检验,结果表明ESG因子在A股市场具有较为明显的风险溢价。进一步将ESG因子纳入股票组合投资策略的研发过程,分别考虑正面筛选、负面剔除和整合策略等多种方法,发现ESG因子量化选股策略可以取得较好的绩效表现。在传统“市值+价值”策略中整合ESG因子,策略绩效表现进一步提升,说明ESG因子还能够补充传统策略,在实际投资中具有较高的应用价值。ESG investment introduces environmental,social and governance factors into asset selection and portfolio management,and this is consistent with the future development trend of China's economy and financial system.This article constructs an ESG factor that is based on ESG rating indicator data and conducts multidimensional tests covering effectiveness,correlation,and industry distribution.The results show that ESG factors carrya significant risk premium in the A-share market.By further incorporating ESG factors into the research and development process of stock portfolio investment strategies and using various methods such as positive screening,negative exclusion,and integration strategies,it can be seen that quantitative ESG factor selection strategy can achieve a positive performance.Integrating ESG factors into traditional"size+value"strategy further improves performance,indicating that ESG factors can also supplement traditional strategies and have high application value in actual investment.

关 键 词：ESG评级 ESG因子 资产定价 量化投资 

分 类 号：F832.51[经济管理—金融学]