股票投资者重视企业ESG表现吗?——来自ESG指数的事件研究证据

Do Stock Investors Value Corporate ESG Performance?:Event Study Evidence From ESG Index Adjustment

近年来,随着企业社会责任与可持续发展意识的增强,ESG受到了社会各界的广泛关注。从CSR到ESG,投资者是否重视和理解企业ESG,ESG又是否能够为企业带来回报是学者们重点关注的问题。然而,已有研究尚未就此得到一致的结论。基于此,本文采用事件研究法探索资本市场如何看待企业被纳入或剔除出ESG指数。研究结果表明,纳入ESG指数能够带来显著的正向市场反应,表明投资者因此提高对企业的估值,而剔除出ESG指数并未引起显著的市场反应。进一步研究表明,纳入ESG指数所引起的正面市场反应不会随着纳入次数的增加而改变。

With the increasing awareness of corporate social responsibility and sustainable development in recent years,ESG has received widespread attention.From CSR to ESG,whether investors care about corporate ESG and whether firms can benefit from ESG remain unclear.This paper focuses on the ESG index and uses event study methods to explore the market reaction around the adjustment of ESG index.We find that the inclusion in ESG index leads to a positive market reaction,indicating that investors increase their valuation of the included firms,while excluding from the ESG index does not cause a significant response.Furthermore,the frequency of inclusion does not affect the corresponding market reactions.