绿色因子对A股市场投资决策的影响研究

Research on the Influence of Green Factors on the Investment Decision of A-share Market

全球气候变化日益加剧,投资者已意识到需要将与气候相关因素纳入投资决策,这将对市场估值产生影响。选取1995年1月至2022年5月中国A股市场的月度数据,在FamaFrench因子模型基础上增加绿色因子,分析绿色因子对中国A股市场收益率的影响。研究发现,引入绿色因子的六因子模型能够更好地解释中国A股市场股票风险溢价;《巴黎协定》的签署给股票市场传递较强的政策信号,在2015年之前,中国A股市场非污染企业投资风险高于污染企业,当投资者绿色投资意识增强时,污染企业投资风险高于非污染企业;绿色因子对股票超额收益率的影响受回归子样本影响,重污染企业面临的绿色转型风险较大,非污染企业在面临较小绿色转型风险的同时,还能享受更多的绿色激励效应。基于此,提出激活股票市场绿色激励效应,引导市场参与者进行绿色低碳投资,丰富绿色金融产品创新的政策建议。

The global climate change is getting worse, the risks of financial assets are becoming more obvious, and investors are increasingly aware of the need to incorporate climate-related factors into their investment decisions, all of which have an impact on market valuation. Based on the monthly data of China’s A-share market from January 1995 to May 2022, this paper adds green factor to Fama-French model to analyze the impact of green factor on asset pricing in China’s A-share market. It is found that the six-factor model with green factor can better explain the stock risk premium in China’s A-share market. The signing of Paris Climate Change Agreement gives a strong policy signal to the stock market, before 2015, the investment risk of green enterprises in China A-share market was higher than that of polluting enterprises. After 2015, when investors’ awareness of green investment increased, the investment risk of polluting enterprises was higher than that of nonpolluting enterprises. The influence of green factors on the excess return of stock is influenced by regression sub-samples. Heavy polluting enterprises face greater green transformation risks, and green enterprises can enjoy more green incentive effects while facing less green risks. Based on this, this paper puts forward some policy suggestions to activate the green incentive effect of the stock market,guide market participants to make green low-carbon investments, and enrich the innovation of green financial products.