ESG表现与超额收益:基于投资者和企业的双重视角

ESG Performance and Excess Returns:A Dual Perspective of Investors and Corporations

在中国经济结构调整和实现“双碳”目标的大环境下,ESG表现越来越受到企业的重视,为了让投资者在进行ESG投资时能有更多的实证结果支撑,以及为了处于不同行业和不同生命周期的企业更加了解自身的ESG表现会对财务绩效产生何种影响,本文从投资者和企业的双重视角研究ESG表现的影响。结果发现,从投资者视角来看,在Fama-French五因子模型加入ESG因子之后,市场上存在显著的ESG因子效应。即市场存在ESG风险溢价;从企业视角来看,ESG表现显著促进了上市公司的财务绩效。而ESG三大维度对不同行业不同生命周期企业的财务绩效存在异质性影响。本文研究有助于投资者和企业获得更加深入、多维度的ESG理解,进而推动资本市场的可持续发展。为相关监管政策与投资策略的制定提供丰富的经验证据。

In the broader context of China's ongoing economic structural adjustments and the realization of the"Carbon Peak and Carbon Neutrality"target,there is a growing emphasis on ESG performance among corporations.To furnish investors with robust empirical evidence for informed ESG investment decisions and gain deeper insights into how ESG performance influences financial outcomes across various industries and lifecycle stages,this research investigates the effects of ESG performance from both investor and corporate standpoints.Our findings demonstrate that,when considering various factors within the Fama-French five-factor model,significant ESG-related effects emerge from an investor's viewpoint,signifying the existence of an ESG risk premium in the market.From a corporate perspective,ESG performance significantly enhances the financial performance of publicly listed companies.Furthermore,the three dimensions of ESG have heterogeneous effects on the financial performance of companies in various industries and stages of their lifecycle.This study contributes to a deeper and multidimensional understanding of ESG for investors and corporations,thereby promoting the sustainable development of capital markets.It provides substantial empirical evidence for the formulation of relevant regulatory policies and investment strategies.