基于多因子模型的ESG基金绩效评价与启示  

Evaluation and Implications of ESG Fund Performance Based on Multifactor Modeling

作　　者：王宪明 邢姝洁 石浩宇 WANG Xianming;XING Shujie;SHI Haoyu(Handan University,Handan 056005,China;College of Business and Economics Australian National University,Canberra 2600,Australia;College of Business and Economics University of Illinois Urbana-Champaign,Illinois 61820,USA)

机构地区：[1]邯郸学院,河北邯郸056005 [2]澳大利亚国立大学金融系,澳大利亚堪培拉2600 [3]伊利诺伊大学香槟分校金融系,美国香槟61820

出　　处：《经济论坛》2025年第2期144-152,共9页Economic Forum

基　　金：2022年河北省省级《投资学》研究生课程思政示范课程项目(YKCSZ2022123);河北省科技金融协同创新中心研究项目“金融支持河北省科技成果转化的机制、路径与政策研究”(STFCIC202218)。

摘　　要：ESG基金是将环境、社会和治理(ESG)这类非财务指标纳入投资决策过程的投资产品,以多元视角衡量企业可持续发展能力与潜在风险。目前,我国ESG基金整体处于发展初期,未来发展前景广阔,已经成为投资者资产配置的重要标的。文章以国内典型ESG基金产品为研究对象,依据2021—2022年ESG基金的业绩数据,运用多因子模型对基金绩效水平进行实证检验。研究发现:经典多因子评价模型与主要变量指标对样本基金具有较强解释能力。最后,为推动金融可持续发展,从设计科学的ESG产品评价体系、完善ESG基金信息披露标准、提升机构投资者和公众投资者对ESG基金产品关注度等三个角度提出建议。ESG fund is an investment product that incorporates non-financial indicators such as environment,society and governance(ESG)into the investment decision-making process,and measures the enterprise’s sustainable development capability and potential risks from a diversified perspective.At present,China’s ESG funds as a whole are in the early stages of development,with broad prospects for future development,and have become an important underlying asset allocation for investors.This paper takes typical domestic ESG fund products as the research object,and based on the performance data of ESG funds in 2021-2022,the multi-factor model is used to conduct an in-depth empirical test on the performance level of the funds.It is found that the classical multi-factor evaluation model and main variable indicators has strong explanatory ability for the sample funds.Finally,to promote sustainable financial development,this paper proposes recommendations from the three perspectives of designing a scientific ESG product evaluation system,improving the disclosure standards of ESG funds,and enhancing the awareness of institutional and retail investors regarding ESG fund products.

关 键 词：ESG基金 绩效评价 资产配置 多因子模型 

分 类 号：F832[经济管理—金融学]