上市公司ESG责任表现与机构投资者持股偏好——来自中国A股上市公司的经验证据

ESG Responsibility Performance of Listed Companies and Institutional Investors’ Shareholding Preference

随着社会责任投资理念的广泛认同,中国证券市场中的机构投资者也更加关注企业的ESG责任表现,但异质性机构投资者的ESG责任持股偏好可能是有差异的。基于2010-2018年A股上市公司数据,实证研究结果发现:整体来看,机构投资者能够关注到公司ESG责任表现,在中国A股市场具有明显的ESG责任偏好,特别是对国有企业ESG责任表现的持股偏好更加明显。通过对异质性机构投资者的研究表明,相较于非独立型与短期交易型机构投资者来说,独立型机构投资者与长期稳定型机构投资者持股具有更加显著的ESG责任偏好。进一步研究还发现,ESG责任表现更好的公司,具有更高的超额回报;利用本次新冠疫情外生风险事件冲击的分析也表明,ESG责任表现较好的公司抗风险能力更强,累积超额收益远高于ESG责任表现差的公司。

With the widespread acceptance of the concept of socially responsible investment,institutional investors in China's securities market also pay more attention to the ESG responsibility performance of enterprises,but heterogeneous institutional investors may have different ESG responsibility shareholding preference.Based on the data of A-share listed companies from 2010 to 2018,the empirical research results show that,on the whole,institutional investors can pay attention to the ESG responsibility performance of companies and have obvious preference for ESG responsibility in China's A-share market,especially for stateowned enterprises.The research on heterogeneous institutional investors shows that,compared with non-independent and short-term trading institutional investors,independent institutional investors and long-term stable institutional investors have more significant ESG responsibility preference.Further research also found that companies with better ESG performance had higher excess returns;The analysis of the impact of COVID-19 exogenous risk events also shows that the companies with good ESG liability performance have stronger anti-risk capability,and the cumulative excess returns are much higher than those with poor ESG liability performance.