ESG投资绩效因子对公司股票资产定价的影响——基于中国A股市场的实证检验  

The Impact of ESG Investment Performance Factor on the Pricing of Corporate Equity Assets:An Empirical Research in China's A-Share Market

作　　者：李岩[1] 何红洁 牟博佼 Li Yan;He Hongjie;Mu Bojiao

机构地区：[1]中国矿业大学(北京)管理学院,北京100083 [2]中国地质大学(北京)经济管理学院,北京100083

出　　处：《金融理论与实践》2024年第7期93-105,共13页Financial Theory and Practice

基　　金：中国矿业大学(北京)“越崎青年学者”项目(800015Z11A21);中央高校基本科研业务费项目“基于有限理性假设的决策行为研究”(590121047);教育部新文科研究与改革实践项目“能源行业大数据管理与应用专业建设探索与实践”(2021060018)的阶段性成果。

摘　　要：环境、社会责任与公司治理(ESG)投资绩效对公司股票资产定价的作用正日益受到关注,但尚缺乏系统的计量检验。为此,依据上海华证公布的ESG投资绩效评级信息,构建ESG投资绩效因子,将其纳入三因子模型形成四因子股票资产定价计量模型。基于2011年至2022年中国A股上市公司月度数据的实证分析显示,中国A股市场上存在ESG投资绩效因子,拓展的四因子模型有效,但是整体上对于资产价格的解释力度提升有限。分组研究发现,相对于大市值规模公司或高账面市值比公司,ESG投资绩效因子对小市值规模和低账面市值比公司股票价格的影响更为显著,中国A股市场投资者在对小市值规模和低账面市值比公司股票估值时对ESG投资绩效给予了更高溢价。研究结论为深入理解ESG投资绩效在股票市场上的作用以及对公司股票做出更加准确的资产定价提供参考借鉴。The role of ESG(Environment,Social and Governance) investment performance on company stock asset pricing is receiving increasing attention,but systematic econometric tests are still lacking.To this end,based on the ESG rating published by Sino-Securities Index Information Service(Shanghai) Co.Ltd,this paper constructs an ESG performance factor and incorporates it into the Fama-French three-factor model to form a four-factor stock asset pricing econometric model.The empirical analysis based on monthly data of Chinese A-share listed companies from 2011 to 2022shows that the ESG investment performance factor exists in the Chinese A-share market,and the extended four-factor model is valid,but the overall improvement in the explanation of asset prices is limited.The grouping study finds that compared to the companies with large market capitalization or high book-to-market ratios,the ESG investment performance factor has a significant impact on the stock prices of companies with small market capitalization and low book-to-market ratios.Investors in the Chinese A-share market give a higher premium to ESG investment performance when valuing small-scale and low book-to-market ratio companies' stocks.The research findings provide reference for a deeper understanding of the role of ESG investment performance in the stock market and for more accurate asset pricing of company stocks.

关 键 词：投资绩效 股票 资产定价 多因子模型 

分 类 号：F831[经济管理—金融学]