【作者】 刘琨；

【导师】 陈小蓓；

【作者基本信息】 哈尔滨工业大学 ， 应用经济学， 2023， 硕士

【摘要】 企业ESG评级是从非财务角度评估企业表现。对投资人而言,企业ESG数据与企业财务数据起到互补作用,能降低投资人信息不对称处境。尽管中国ESG投资处于发展初期,但在中国监管机构及证券交易所推动下,中国上市企业ESG信息披露以及ESG评级体系都在不断完善,ESG投资理念以及投资方式将被越来越多投资者所关注和实践。本文以A股上市企业ESG评级为研究对象,探究ESG非财务因子以及其三个分项因子(E,S,G)在A股市场有效性,并检验ESG是否能为资产定价提供额外信息。将ESG因子引入到Fama-French三因子模型构建FFE四因子模型,并检验其解释能力。ESG投资理念相较于传统的财务投资理论有所不同,本文研究此投资理念转变是否会影响以往资产定价方式。实证结果表明,样本周期内ESG因子存在超额收益。ESG因子能否通过显著性检验与其分组方式以及检验周期有一定关联。A股ESG因子收益显著性受到市场外部冲击影响较大,E(环境)因子最为典型。ESG因子在经Fama-French三因子模型风险调整后仍然存在风险溢价。ESG因子与SMB因子收益负相关且显著,在A股市场ESG因子收益显著性增强削弱了其规模效应,规模因子显著性降低将影响Fama-French三因子模型解释能力。将ESG因子添加到Fama-French三因子模型将提升其对资产收益的解释能力,尤其对具有ESG特征的资产,该四因子模型解释能力更强。更多还原

【Abstract】 Corporate ESG ratings assess the performance of companies from a non-financial perspective.For investors,corporate ESG data and corporate financial data play a complementary role and reduce the information asymmetry situation for investors.Although ESG investment in China is at an early stage of development,ESG disclosure and ESG rating system of Chinese listed companies are being improved under the promotion of Chinese regulators and stock exchanges,and ESG investment concept and investment approach will be paid attention to and practiced by more and more investors.This thesis investigates the effectiveness of ESG non-financial factors and its three sub-factors(E,S,G)in the A-share market,and tests whether ESG can provide additional information for asset pricing,taking ESG ratings of A-share listed companies as the research object.The ESG factors are introduced into the Fama-French three-factor model to construct the FFE four-factor model and test their explanatory power.ESG investment philosophy is different from the traditional financial investment theory,and whether the change in investment philosophy affects the previous asset pricing approach.The results show that the ESG factor has excess returns in the sample period,and whether the ESG factor can pass the significance test is related to its grouping method and testing period.The ESG factor is negatively and significantly correlated with the SMB factor.The increased significance of ESG factor returns in the A-share market weakens its scale effect,and the reduced significance of the scale factor will affect the explanatory power of the Fama-French three-factor model.Adding ESG factor to the Fama-French three-factor model will improve its explanatory power for asset returns,especially for assets with ESG characteristics.更多还原