企业ESG绩效:一个新的股票定价因子?

Is Enterprise ESG Performance a New Stock Pricing Factor?

在绿色金融不断发展和“双碳”目标驱动下,中国ESG投资市场呈现加速发展态势。然而,企业ESG绩效能否为其带来真正的经济回报尚有争论,投资者也很难分清企业ESG绩效是否真实可靠。为此,本文构建Fama-French因子模型和PVAR模型,探究企业ESG绩效能否成为一个新的股票定价因子,并探究其中的影响机制。实证结果表明:(1)市场对ESG绩效良好的企业给予其股票收益上的正面反馈,且绩效表现越好反馈越高,而对绩效较差的给予负面反馈;(2)投资者ESG偏好存在不对称性,即面对ESG绩效差的企业,投资者更在意企业ESG绩效而选择不投资;面对ESG表现较好的企业,投资者在该方面的考虑更少,更在意企业经营绩效等其他方面;(3)企业ESG绩效和股票收益率存在因果关系,这主要是由社会维度和治理维度引起,环境维度则没有显著关联。

Driven by the development of green finance and the carbon peaking and carbon neutrality goals,China’s ESG investment market shows an accelerated development trend.However,whether ESG performance can bring real economic returns to enterprises is still controversial,and it is difficult for investors to distinguish whether enterprise ESG performance is true and reliable.Therefore,this paper constructs a Fama-French factors model and a PVAR model to investigate whether enterprise ESG performance can be a new stock pricing factor and to explore the influence mechanism involved.The empirical results show that:First,the market gives companies with good ESG performance positive feedback on stock returns,and better performance will cause higher positive feedback,while those with poor performance are given negative feedback;Second,there is an asymmetry in investors’ESG preferences,which means that for companies with poor ESG performance,investors may be more concerned about their ESG performance and choose not to invest in them,for companies with good ESG performance,investors pay less attention to their ESG performance but more attention to other aspects such as business performance;Third,there exists a causal relationship between ESG performance and stock returns,which is primarily driven by the social and governance dimensions,while the environmental dimension is not significantly associated.