中国股票市场“绿化”投资组合的策略选择研究

Constructing Strategies for “Green” Stock Portfolios in China's Stock Market

为了规避负面的环境风险,以证券投资基金为代表的机构投资者采用环境友好策略主动或被动地增持低环境风险资产或减持高环境风险资产,即进行投资组合的"绿化"。但"绿化"投资组合的挑战是如何协调机构投资者代客理财的中介属性(契约信托责任)与环境责任(非财务关注)的潜在矛盾,以实现资本投资的双重目标。文章依据和讯网上市公司环境绩效评分,采用不同强度的负向筛选策略,模拟构建(主动投资型)证券投资型基金的多层次绿色投资组合,研究显示:(1)文章构建的主动型绿色投资组合能够实现财务与"绿色"的双重目标;(2)主动型绿色投资与被动型绿色指数投资组合之间的财务绩效没有显著差异;(3)基于Carhart四因素模型,40%-50%的筛选强度投资组合获得显著高于最低筛选强度的财务绩效;(4)"绿色"投资组合的财务绩效随筛选强度的变化趋势呈现M形波动变化。文章为机构投资者的"绿化"转型提供决策依据。

In China,the construction of a green financial system has been set up as a national strategy.One of its core targets is to promote institutional investors to engage in green investment proactively,and then leverage more social capital.In practice,institutional investors represented by stock investment funds have made active or passive green portfolios aiming at avoiding the negative environmental risk.However,the challenge for constructing green stock portfolios is to coordinate capital gains and environmental sustainability in order to achieve the dual goal of capital investment.This paper investigates constructing strategies for green stock portfolios in China’s stock market.Motivations for green stock portfolios and their ecological value have been explored firstly to set up a theoretical foundation,and existing empirical studies on green strategies and performance have been reviewed.Then,by using environmental performance scores provided by Hexun and negative screening,this study constructs green portfolios with different levels of the cut-off rate between 2011 and 2018 and undertakes performance evaluation.The sustainable development goals of portfolios are ensured through environmental screening.The financial benefits of portfolios are secured by a systematic performance assessment of portfolios’overall returns,risk-adjusted returns and risks,using CSI 300 as the market benchmark and CSI Environmental Protection Industry Index as the passive green index benchmark.It is found that:(1)Active green investment portfolios can achieve double objectives by generating a return at no less than the market benchmark.(2)There is no significant difference between active green investment and passive green index investment.(3)Based on the Carhart four-factor model,40%-50%of the screening intensity portfolios can achieve significantly higher performance than the minimum screening stock pool;and the performance of our portfolios is mainly affected by the market factor,size factor and momentum factor.(4)Returns of green portfolios are volatile with the level of the screening cut-off rate,presented as an M shape,which is possibly caused by a combined influence of the lack of green efficiency in China’s stock market and stock diversification.All these findings provide new and direct evidence for understanding green investment in China.