ESG投资提高了基金业绩吗?——兼论ESG投资对“业绩-资金流量关系”的影响  

ESG Investment,Fund Performance and"Performance-Flow Relationship"

作　　者：李向前 赵锐 王菊 Li Xiangqian;Zhao Rui;Wang Ju(School of Finance,Tianjin University of Finance and Economics,Tianjin 300222,China)

机构地区：[1]天津财经大学金融学院,300222 [2]中国滨海金融协同创新中心,300222

出　　处：《南开经济研究》2024年第6期185-203,共19页Nankai Economic Studies

基　　金：天津社科基金项目(TJYJ20-005)的支持。

摘　　要：ESG投资将环境、社会责任与公司治理因素纳入考虑范畴,重新定义了投资与市场的边界,是新经济形势下投资领域的热点话题。而ESG投资行为是否具有超额收益,更是在实业界和学术界引发了广泛关注和讨论。本研究以我国2016—2021年股票型和偏股混合型基金为研究对象,从投资组合优化的角度探讨了基金ESG投资行为与业绩的关系,研究发现,基金开展ESG投资能够获得超额收益,并且这一效果在疫情发生后和经济政策不确定性较卡时更加明显。究其原因,在于开展ESG投资的基金对绩优个股的识别和选择能力更好,使得投资组合在个股配置方面得到优化。此外,基金虽然能够通过ESG投资获取超额收益,但也会导致基金业绩与资金流入的正相关性变弱。以上结论不仅深化和丰富了当前关于ESG投资与投资业绩关系的研究,也为我国完善ESG投资体系,进一步推动高质量可持续发展战略提供了政策参考。ESG investment takes environmental,social and corporate governance factors into account,redefining the boundary between investment and market.And it has became a hot topic in the investment field under the new economic situation.Whether ESG investment can improve fund performance has attracted widespread attention and sparked a lot of discussion in the business and academic circles.This study takes China's 2016-2021 equity and partial equity hybrid funds as the research object,and discusses the relationship be-tween fund ESG investment behavior and investment performance from the perspective of portfolio optimization.The reason is that funds funds that carry out ESG investment have better ability to identify and select high-performing individual stocks,so that the portfolio can be optimized in terms of individual stock allocation.In addition,Although the fund can obtain excess returns through ESG investment,it will also lead to a weakening of the posi-tive correlation between fund performance and capital inflow.The above conclusions not only deepen and enrich the current research on the relationship between ESG investment and investment performance,but also provide a policy reference for China to improve the ESG investment system and further promote the strategy of high-quality sustainable development.

关 键 词：ESG投资 基金超额收益 投资组合优化 选股择时 “业绩-资金流量关系” 

分 类 号：X322[环境科学与工程—环境工程] F832.51[经济管理—金融学] F224