【作者】 王蕾；

【导师】 邬瑜骏；

【作者基本信息】 哈尔滨工业大学 ， 工商管理， 2024， 硕士

【摘要】 随着经济的快速发展,企业在追求利益最大化的同时,也开始出现忽略企业社会责任的现象,特别是对于温室气体排放、环境污染等问题引发关注。为应对此类问题,利益相关方开始呼吁企业在发展自身经营业绩的同时,需要重视履行对社会,环境和公司治理等领域的责任。在此背景下,关注于负责任投资的ESG基金得到了广泛关注,并迎来了快速发展。ESG基金的火热也让很多人开始质疑那些自称为遵循ESG风格的ESG基金是否真的履行了他们的承诺,还是只为了获得ESG标签带来的附加好处。并且ESG基金是否真的能给投资者带来实际的好处,学界和业界也希望有更多可以支撑ESG继续发展的证据,文章便基于此着重分析了ESG基金的实际在ESG投资风格上的具体表现。论文首先选取2016-2022年的基金数据,对ESG基金与非ESG基金的数据进行了对比,发现ESG基金多选择长期投资的战略配置,并有更出色的业绩表现,却无法吸引更多投资者,这是因为投资者更多出于自身偏好做出投资选择。并通过研究ESG基金本身投资风格变化与资金流的关系,发现持续践行ESG投资理念的ESG基金能吸引更多资金流,也更能获得投资者青睐。进一步通过研究签署负责任投资原则(PRI)的行为的异质性以及是否在招募说明书中明确界定投资范围的异质性发现,未签署PRI的基金在实际投资时反而能吸引更多的资金流;并且投资者更愿意关注易感知的ESG信息,因此在招募说明书中明确界定ESG基金的投资范围也能为ESG基金带来更多的资金流。研究使用了基于投资组合和基于收益的两种风格识别方法来计量ESG基金的风格,并从变化率和波动水平两个方面衡量ESG基金投资风格的改变程度,以准确判断ESG基金的实际投资表现。这较好的弥补了每种不同衡量方法所存在的缺点,使文章结果更为可靠,也为之后的研究提供了基础,同时为ESG基金的发展提供了理论支撑。更多还原

【Abstract】 With rapid economic development,companies focus on maximum profits have increasingly overlooked corporate social responsibility,especially concerning greenhouse gas emissions and environmental pollution.To address these issues,stakeholders are urging businesses to focus on their responsibilities in social,environmental,and corporate governance while pursuing business performance.In this context,ESG(Environmental,Social,Governance)funds have gained significant attention and have rapidly developed.The popularity of ESG funds has led many to question whether those claiming to follow the ESG style truly honor their commitments or simply seek the added benefits that come with the ESG label.Additionally,there is debate over whether ESG funds genuinely offer tangible benefits to investors.Academia and industry hope for more evidence to support the continued growth of ESG investments.Against this backdrop,the article focuses on analyzing the actual performance of ESG funds in adhering to ESG investment principles.The paper begins by selecting fund data from 2016 to 2022 and compares ESG funds with traditional funds.It finds that ESG funds often opt for long-term strategic allocations and have better performance yet fail to attract more investors.This is because investors often make choices based on personal preferences.Moreover,by studying the relationship between the investment style changes in ESG funds and capital flows,it reveals that ESG funds consistently practicing ESG investment principles attract more capital and garner greater investor favor.The study discovers heterogeneity in the actions of studying the signing of the Principles for Responsible Investment(PRI)and the heterogeneity of whether the investment scope is explicitly defined in the recruitment prospectus.It finds that those not signing the PRI can attract more capital flows in practice.And investors tend to prefer easily perceivable ESG information,so clearly defining the investment scope of ESG funds in prospectuses also attracts more capital flows.The research uses two methods to measure the style of ESG funds—based on portfolio and based on returns,and assesses changes in investment style and volatility levels to accurately evaluate the actual investment performance of ESG funds.This effectively compensates for the shortcomings of each different measurement method,making the results of the article more reliable,and providing a basis for future research,while also offering theoretical support for the development of ESG funds.更多还原