绿色金融改革政策对ESG风险溢价的影响研究——来自我国A股市场的经验证据  

Research on the Impact of Green Finance Reform Policy on ESG Premia——Empirical Evidence from China's A-share Market

作　　者：金缦 凌士显[2] Man Jin;Shixian Ling(Department of Economics and Law,ChaoHu University;Business School,ShanDong University)

机构地区：[1]巢湖学院经济与法学学院 [2]山东大学商学院

出　　处：《经济学报》2024年第4期183-216,共34页China Journal of Economics

基　　金：国家社科基金一般项目,“双循环”新格局下金融支持技术创新的机制和路径优化研究(21BJY146);安徽省科协决策咨询研究“表达权争夺情境下安徽新能源汽车产业吸引国际绿色投资机制研究”(KX2024A22);安徽社会科学创新发展研究攻关项目“澳门回归治理实践对安徽省台湾事务产业协同发展实践研究”(2023CX86)的资助。

摘　　要：本文以我国绿色金融改革政策试点为外生冲击,构建了含ESG因子的多因子风险资产组合的理论模型,并通过多期DID模型实证检验了绿色金融改革政策对试点城市上市公司ESG风险溢价的影响。结果显示:在绿色金融试点城市中,披露ESG的公司和高ESG表现的公司,存在更高的额外资本回报。异质性检验的结果显示随着绿色政策试点城市的增加,将带来更显著的ESG的风险溢价,并在政策的持续推进中,有效提高了ESG风险溢价波动调整速度,降低了市场的过度反应。交叉效应结果显示各种绿色政策的引导存在间接为负的交叉效应,市场对更多的规制所导致的高ESG表现具有更大的不信任感。上述结果通过一系列稳健性检验后仍然成立。本研究为我国借助绿色金融改革引导上市公司有效提高绿色价值回报、发展绿色经济,提供了基础理论依据。This article employs China's green finance reform policy pilot as an exogenous shock for constructing a theoretical model of multi-factor risk asset portfolios that incorporate ESG factors.The empirical investigation utilizes a multi-period DID model to examine the impact of green finance reform policies on the ESG risk premium of listed companies in pilot cities.The findings indicate that firms which disclose ESG information and exhibit high ESG performance tend to generate higher additional capital returns within green finance pilot cities.Notably,these outcomes remain robust even after subjecting the results to a series of rigorous tests for validity.The results of the heterogeneity test show that with the continuity of the green financial reform pilot policy,policy guidance will become more significant as the number of pilot cities increases,resulting in a more significant risk premium for high ESG performance companies in the short term,and an increase in the market's response speed to ESG risk premiums in the long term.The cross-effect results show that there is an indirect negative cross-effect of guidance from various green policies,and the market shows greater distrust of high ESG performance information caused by more regulations.Overall,this study offers a foundational theoretical framework for China to leverage green finance reform as a mechanism for guiding listed companies towards enhancing green value returns and fostering the development of a green economy.

关 键 词：绿色金融改革 ESG 风险溢价 信息披露 绿色经济 

分 类 号：F832.51[经济管理—金融学] X196[环境科学与工程—环境科学]