【作者】 张宇；

【导师】 马晓君；

【作者基本信息】 东北财经大学 ， 统计学， 2024， 硕士

【副题名】基于A股上市公司分析

【摘要】 随着气候变化、贫富差距和传染性疾病等全球性问题日益严峻,可持续发展理念再次成为全球关注的焦点。环境、社会和治理(ESG)因素在企业运营与投资决策中的重要性不断提升。越来越多的国际资本和投资者将ESG视为评估企业长期价值与风险管理的关键标准。在应对气候变化、促进社会公平和提升治理透明度方面表现突出的企业,往往能够获得更多投资者的青睐,并享有较低的风险溢价。随着我国经济结构调整和绿色发展战略的推进,企业在应对国内外监管及市场变化时,ESG表现的优劣逐渐成为影响其融资成本、市场竞争力以及可持续发展的核心因素。因此,深入研究ESG表现对企业风险溢价的影响,不仅有助于理解企业如何通过提升ESG表现来降低风险,还能为企业在日益复杂的市场环境中实现长期稳健发展提供战略指导。本文旨在基于我国A股市场非金融上市公司数据,分析ESG表现对企业风险溢价的影响。首先,本文从ESG的研究现状、企业风险溢价的研究现状,以及ESG对企业溢价的防范作用三个方面对现有文献进行了梳理与述评。在总结已有研究成果和不足的基础上,明确本文的研究目标,即分析ESG表现对企业风险溢价的影响。接着,本文简要介绍了 ESG、企业风险溢价的概念,阐述了信号理论和利益相关者理论,基于这两种理论分析了 ESG表现对企业风险溢价的影响,并从信息不对称程度和投资者情绪的角度探讨其具体影响机制。第三,本文以华证公司ESG评级数据为基础,构建基准回归模型,检验ESG表现对企业风险溢价的影响,并具体分析了环境(E)、社会(S)、治理(G)三个维度的独立作用。同时,通过引入ESG表现的滞后变量(滞后1至5期),进一步研究了 ESG表现对企业风险溢价的动态影响。为保证结果的稳定性,本研究采用了“ESG投资基金”持有企业的数量作为衡量企业ESG表现的工具变量进行内生性检验,并进行了一系列的稳定性检验。第四,本文探讨了 ESG表现对不同类型企业的风险溢价影响存在的异质性差异。此外,从内部环境和外部环境的双重视角,深入分析了 ESG表现对企业风险溢价的具体影响机制。最后,结合理论与实证分析结果,提出了促进各地区提升ESG表现、降低企业风险溢价的政策建议。基于上述研究,本文得出以下结论:(1)ESG评级越高,企业的风险溢价越低,且这一影响在长期内仍然显著。(2)从结构上看,治理(G)维度对降低企业风险溢价的作用最为显著。(3)从异质性角度分析,ESG表现对不同类型企业的风险溢价影响存在差异,尤其是大型企业、国有企业和低碳企业,ESG表现对其风险溢价的影响更为显著。(4)从影响机制上看,信息不对称程度和投资者情绪在ESG表现对企业风险溢价的影响中起到了正向调节作用。具体而言,信息不对称程度越低、投资者情绪越高,ESG表现对企业风险溢价的负向作用越显著。本文的创新之处主要体现在以下两方面:(1)研究内容的创新。企业风险溢价是衡量企业财务健康状况的重要指标之一,本文将其作为被解释变量,探讨ESG表现对企业风险溢价的影响。这为推动金融市场的可持续发展提供了新的视角,并为企业、投资者及政策制定者提供了重要参考,具有深远的现实意义。(2)研究角度的创新。本文扩展了关于ESG表现对企业风险溢价影响机制的研究,揭示了 ESG表现与企业风险溢价之间的负相关关系如何受到企业内部管理实践与外部市场环境(如投资者情绪)的双重作用。这对于理解ESG因素在企业价值与风险中的作用机制具有重要意义。更多还原

【Abstract】 With global issues such as climate change,wealth disparity and infectious diseases becoming increasingly serious,the concept of sustainable development is once again at the center of global attention.The importance of Environmental,Social and Governance(ESG)factors in corporate operations and investment decisions continues to grow.More and more international capital and investors regard ESG as a key criterion for assessing long-term corporate value and risk management.Enterprises that excel in combating climate change,promoting social equity and enhancing governance transparency tend to be favored by more investors and enjoy a lower risk premium.With the advancement of China’s economic restructuring and green development strategy,the strength of ESG performance has gradually become a core factor affecting the cost of financing,market competitiveness,and sustainable development of enterprises in response to domestic and international regulatory and market changes.Therefore,an in-depth study of the impact of ESG performance on corporate risk premium not only helps to understand how companies can reduce risks by improving ESG performance,but also provides strategic guidance for companies to realize long-term sound development in an increasingly complex market environment.This paper aims to analyze the impact of ESG performance on corporate risk premium based on the data of non-financial listed companies in China’s A-share market.First of all,this paper combs and reviews the existing literature from three aspects:the current research status of ESG,the current research status of corporate risk premium,and the preventive role of ESG on corporate risk premium.On the basis of summarizing the existing research results and shortcomings,the research objective of this paper is clarified,i.e.,to analyze the impact of ESG performance on corporate risk premium.Next,this paper briefly introduces the concepts of ESG,corporate risk premium,signaling theory and stakeholder theory,analyzes the impact of ESG performance on corporate risk premium based on these two theories,and explores the specific impact mechanism from the perspectives of information asymmetry degree and investor sentiment.Third,based on the ESG rating data of CSI,this paper constructs a benchmark regression model to test the impact of ESG performance on corporate risk premium,and specifically analyzes the independent role of the three dimensions of environment(E),society(S)and governance(G).Meanwhile,the dynamic impact of ESG performance on corporate risk premium is further investigated by introducing lagged variables of ESG performance(lagged from 1 to 5 periods).To ensure the stability of the results,this study adopts the number of companies held by“ESG investment funds" as an instrumental variable to measure corporate ESG performance for endogeneity testing,and conducts a series of stability tests.Fourth,this paper explores the heterogeneity of the impact of ESG performance on the risk premium of different types of firms.In addition,the specific impact mechanism of ESG performance on firms’ risk premiums is analyzed in depth from the dual perspectives of internal and external environments.Finally,combining the results of theoretical and empirical analyses,policy recommendations are put forward to promote the improvement of ESG performance and the reduction of corporate risk premium in various regions.Based on the above research,this paper draws the following conclusions:(1)The higher the ESG rating,the lower the corporate risk premium,and this effect remains significant in the long run.(2)Structurally,the governance(G)dimension has the most significant effect on reducing corporate risk premium.(3)Analyzing from the perspective of heterogeneity,there are differences in the impact of ESG performance on the risk premiums of different types of firms,especially large firms,state-owned enterprises and low-carbon firms,where the impact of ESG performance on their risk premiums is more significant.(4)In terms of the impact mechanism,the degree of information asymmetry and investor sentiment play a positive moderating role in the impact of ESG performance on corporate risk premium.Specifically,the lower the degree of information asymmetry and the higher the investor sentiment,the more significant the negative effect of ESG performance on corporate risk premium.The innovation of this paper is mainly reflected in the following two aspects:(1)the innovation of research content.Corporate risk premium is one of the important indicators of corporate financial health,and this paper takes it as an explanatory variable to explore the impact of ESG performance on corporate risk premium.This provides a new perspective to promote the sustainable development of the financial market,and provides an important reference for enterprises,investors and policy makers,with far-reaching practical significance.(2)Innovation of research perspective.This paper extends the research on the mechanism of ESG performance on corporate risk premium,revealing how the negative correlation between ESG performance and corporate risk premium is subject to the dual roles of firms’ internal management practices and external market environments(e.g.,investor sentiment).This is important for understanding the mechanism of ESG factors in corporate value and risk.更多还原