12-21-核心-我国A股市场ESG风险溢价与额外收益研究_李瑾.pdfVIP

微观结构 我国A股市场ESG风险溢价与额外收益研究 李瑾 (上海环境能源交易所，上海 200083) 摘要：ESG投资是一种关注企业环境保护、社会责任以及公司治理方面表现的投资理念。近年来，在政府与市场的共同推 动下，这种投资理念逐渐被国内投资者认可。本文基于我国机构ESG评级与A股市场数据，采用因素模型对市场ESG风险溢 价与额外收益进行分析与检验。结果表明：(1)未获评公司相对获评公司其股票平均收益率更高，即市场存在ESG风险溢 价；(2)高评级公司相对低评级公司其股票平均收益率更高，即前者可以获得ESG额外收益；(3)市场行情不好时，ESG风险 溢价和额外收益增加；在新冠疫情期间，二者减少。本文研究有助于了解我国资本市场对于ESG投资理念的认可程度以及 ESG投资策略的收益特征，为相关监管政策与投资策略的制定提供了理论与方法依据。 关键词：ESG投资；风险溢价；额外收益；新冠疫情冲击；ESG评级 Abstract: ESG investment focuses on environmental protection, social responsibility and corporate governance. In recent years, under the joint promotion of the government and the market, this concept has been gradually recognized by domestic investors. Based on China’s institutional ESG rating and A-share market data, this paper uses a factor model to analyze and test the ESG risk premiums and excess returns. The results show that: (1) the firms which have not been evaluated have higher average returns, that is, the market has ESG risk premiums; (2) the firms which have high scores on ESG rating have higher average returns, that is, there are excess returns for better ESG performance; (3) when the market is bad, the ESG risk premiums and excess returns increase; however, during the COVID-19, these two quantities decrease. This study helps understand the recognition of ESG investment concept in China’s capital market and the income characteristics of ESG investment strategy, and provides a theoretical and methodological basis for the formulation of relevant regulatory policies and investment strategies. Key words: ESG investment, risk premium, excess returns, COVID-19 impact, ESG rating 作者简介：李瑾，女，经济学博士，高级经济师，任职于上海环境能源交易所，研究方向：环境经济、绿色金融。 中图分类号：F830.91 文献标识码：A 投资机构资产总额的一半(杨业伟和李清荷，2020)[27]。 一、引言