“双碳”愿景下投资者情绪对低碳上市公司收益影响研究

Research on the Impact of Investor Sentiment on the Returns of Low-carbon Listed Companies under the“Double Carbon”Vision

本文选用2010年1月至2021年12月低碳上市公司和碳密集上市公司的相关月度数据为样本,首先通过两次主成分分析构造投资者情绪指数,然后基于分位数回归从三个方面分析投资者情绪对于低碳上市公司盈利能力的影响。结果表明,对于不同收益水平的低碳上市公司,投资者情绪的影响具有不对称性;高收益水平的公司,投资者情绪影响为正;低收益水平的公司,投资者情绪影响为负。“双碳”愿景提出后,投资者情绪偏好显著向低碳上市公司发生了转变。在低碳和碳密集上市公司中,投资者情绪的影响具有异质性,即在上分位数,投资者倾向投资低碳上市公司;在下分位数,投资者仍然选择投资传统碳密集上市公司。

In this paper,the relevant monthly data of low-carbon listed companies and carbon-intensive listed companies from January 2010 to December 2021 were selected as samples.Firstly,the investor sentiment index was constructed through two principal component analyses.And then the impact of investor sentiment on the profitability of low-carbon listed companies was analyzed from three aspects based on the quantile regression.The result showed that the impact of investor sentiment on low-carbon listed companies with different income levels is asymmetric.For companies with high returns,investor sentiment impact is positive;for companies with low returns,the impact is negative.With the“double carbon”vision being put forward,investor sentiment preference has changed significantly toward low-carbon companies.In low-carbon and carbon-intensive listed companies,the impact of investor sentiment is heterogeneous,that is,in high quantiles,investors tend to invest in low-carbon listed companies;in low quantiles,investors still choose to invest in traditional carbon-intensive listed companies.