中国资本市场对绿色投资认可吗?——基于绿色基金的分析

How Does China's Capital Market Respond to Green Investment? An Analysis Based on Green Funds

在可持续发展思想的指导下,人们对绿色投资的生态价值已达成共识。而绿色投资能否兼顾环境绩效和财务收益的双重目标,无论是在理论上还是实证上都还没有得到统一的结论。文章以绿色基金的绩效评估为切入点,研究了我国绿色投资的收益与风险。文章首先从环境金融、社会责任投资和金融创新视角系统梳理了绿色投资研究的发展脉络,然后选取22只绿色基金,在选定市场基准和匹配非绿色传统基金对照组的基础上,评价了绿色基金的直接收益和风险以及基于单因素和多因素模型(Carhart四因素模型)的风险调整收益,并进一步分析了基金投资者(绿色投资者)的收益敏感性。基于单因素模型的绩效评价显示,现阶段我国绿色基金的风险调整收益要低于市场基准和传统基金,投资策略差异和成立时间长短对基金收益和风险有影响。基于Carhart四因素模型的分析结果显示,我国绿色基金的投资表现要显著低于市场平均水平,市场风险因子、价值因子和动量因子可以较为客观地解释绿色基金的收益。另外,绿色基金投资者的收益敏感性不高。文章为尚有限的我国绿色投资研究提供了新的直接的证据。

Guided by the principle of sustainable development,people have reached a consensus on ecological value of green investment.However,the challenge facing green investment is how to coordinate between profit-driven nature of the capital and environmental sustainability,in order to achieve a dual goal of environmental performance and financial returns.The green fund is one of the fastest-growing green investment vehicles in China’s green investment market,implying that Chinese institutional investors are beginning to incorporate environmental elements into their investment decisions.While the primary data in the green equity market is still quite limited and not comparable,green funds claimed as the door of green investment provide us a way to look into the performance of green investment.The benefits and risks of green funds under current market conditions can reflect the price discovery toward green asset investment in the Chinese capital market.This paper aims to explore returns and risks of green investment in the context of China,through the performance evaluation of green funds.It firstly systematically reviews the literature on green investment by following perspectives of environment finance,socially responsible investment and financial innovation.Then,based on a sample of 22 green funds which were founded during June 8th 2010 and Dec 31st 2016 for more than one year,it identifies the market benchmark and 22 non-green funds as a reference group,and assesses funds’returns and risks,and risk-adjusted returns by using single factor and multifactor models（the Carhart four-factor model）.Furthermore,it analyzes profit sensitivity of fund investors（green investors）.It finds that：firstly,in the context of China,single-factor performance evaluation has suggested that green funds have lower risk-adjusted returns than market benchmark and traditional non-green funds;secondly,investment strategies and fund age have impacts on the performance of green funds;thirdly,as indicated by Carhart fourfactor analysis,green funds’profits are significantly worse than the market average;market risk,value and momentum factors can be more objective to explain the benefits of green funds;fourthly,profit sensitivity of green fund investors is not high.The contributions of this paper include as follows：firstly,it initiates a way to explore the development of green investment research from perspectives of environmental finance,socially responsible investment and financial innovation,aiming to facilitate a discussion on setting up a systematic research framework on emerging green investment;secondly,it is the first one in the literature to evaluate the performance of Chinese green funds;therefore,this paper has brought many new findings,contributing new and direct evidence for understanding green investment in China,as well as reference for policy making.