Excess stock returns and corporate environmental performance in China  

作　　者：Dandan Ma Pengxiang Zhai Dayong Zhang Qiang Ji 

机构地区：[1]Institutes of Science and Development,Chinese Academy of Sciences,Beijing,100190,China [2]School of Public Policy and Management,University of Chinese Academy of Sciences,Beijing,100049,China [3]School of Economics&Management,Beihang University,Beijing,100191,China [4]Research Institute of Economics and Management,Southwestern University of Finance and Economics,Chengdu,China

出　　处：《Financial Innovation》2024年第1期3093-3122,共30页金融创新(英文)

基　　金：Supports from the National Natural Science Foundation of China under Grant Nos.72348003,72022020,72203016,71974181 and 71974159 are acknowledged.

摘　　要：Using unbalanced panel data on 3326 Chinese listed companies from 2014 to 2021,this study investigates the impact of corporate environmental performance on China’s excess stock returns.The results show that stocks of companies with better environmental performance earn significantly higher excess returns,indicating the existence of green returns in the Chinese stock market.We further reveal that heightened climate-change concerns can boost the stock market’s green returns,while tightened climate policies decrease green returns by increasing long-term carbon risk.Our findings are robust to endogeneity problems and hold great implications for both investors and policymakers.

关 键 词：Environmental performance Excess stock returns Climate perception Climate policies 

分 类 号：F42[经济管理—产业经济]