社会责任投资的避险效应和预期误差效应——基于产品市场竞争的视角

The Shunned-Stock Effect and the Error-in-Expectation Effect of Corporate Socially Responsible Investment——From the Perspective of Product Market Competition

基于企业社会责任表现(CSP)对公司股票收益率可能存在避险效应和预期误差效应的两种假设,同时考虑这两种效应在产品市场竞争程度不同的企业间存在非对称性,本文使用2009—2013年百余家A股上市企业的股票收益率数据检验社会责任投资组合的超额收益。该投资组合在卖出CSP"不佳"企业股票的同时,买入CSP"优秀"企业的股票,然后用Carhart四因子模型估算其超额收益。实证结果显示:避险效应在长期内是显著存在的,且在低竞争行业企业、国有企业和出口企业中更为强烈:短期的误差效应仅存在于高竞争行业企业,不存在于私营企业和出口企业之中。若以所有企业为样本,则CSP的避险效应体现为年均5.7%—10.2%的风险溢价;若按产品市场竞争程度分组,该效应在低竞争行业中高达9.66%—13.44%。短期内,CSP的预期误差效应可使得投资者从高竞争行业的对冲组合中获得年均2.42%—3.12%的超额收益。

The relationship between corporate social responsible performance and corporate asset price can be explained by two effects： the Shunned-stock effect and the Error-in-expectation effect. We also consider the asymmetric influence of these two effects on firms with different level of product market competition, which might in turn have impacts on the abnormal return of socially responsible investment portfolio. We construct the socially responsible investment hedge portfolio by selling socially irresponsible firms＇ stock and buying socially responsible firms＇ stock, and then estimate the abnormal return of this portfolio with Carhart＇s four factor model. Using monthly data of year 2009--2013 from Chinese A-Stock listed companies, we find the following results： the Shunned-stock effect is long lasting in China, especially in firms with low product market competition, stated- owned enterprises and export firms; The Error-in-expectation effect only exist in firms with fierce product market competition, which does not exist in private-owned enterprises and non-export firms; Socially responsible investment portfolio consist of all firms on average has an annual risk premium of 5.7%--10.2%, however it is 9.66%--13.44% in noncompetitive portfolio; In the short term, the significant error-in-expectation effect of socially responsible investment portfolio in competitive industry might on average result in an annually abnormal return of 2.42%--3.12%.