ESG表现与股票收益率——基于医药卫生行业的实证研究.pdfVIP

統/計/學/報 2023 2 月 __________________________________JOURNA £ OF S屈 TISTICS__________________________________ Fed., 2023 第4卷第1期 Vol.4 No.l DOI 编码:10.19820/ki.ISSN2096-7411.2023.01.007 ESG表现与股票收益率 •基于医药卫生行业的实证研究 尹晓娜，李静萍 (山西财经大学金融学院，山西 太原030006) ［摘 要］随着全球经济向可持续发展转型,ESG^i资受到了资本市场的广泛关注和认可 。本文选取我国医药卫生行业上市 公司2011—2020年的非平衡面板数据，基于固定效应模型 ，实证考察ESG表现对股票收益率的影响及作用机制 。研究结果表明， 医药卫生行业上市公司的ESG表现对股票收益率有正向影响，但国有性质的上市公司ESG表现对股票收益率的影响不显著 。进 一步研究发现，财务绩效和企业竞争力都在ESG表现对股票收益率的作用机制中发挥部分中介效应 。本文对新兴市场培育投资 者价值投资理念以及完善ESG信息披露制度提供了启示。 ［关键词］ESG表现；股票收益率 ；医药卫生行业;财务绩效;企业竞争力 ［中图分类号］F271 ［文献标识码］A ［文章编号］2096-7411(2023)01-0073-10 ESG Performance and Stock Yield Rate Empirical Research Based on Pharmaceutical and Health Sector YIN Xiao-na LI Jing-ping (School o Finance, Shanxi University o Finance and Economics, Taiyuan 030006, China) Abstract： Along with the trend o the sustainable development o global economy, ESG investment has obtained a lot o attention and recognition from capital market. This paper selected the unbalanced panel data o China s listed companies in pharmaceutical and health sector from 2011 to 2020, and introduced the fixed e ect model, so as to empirically investigate the e ect o ESG performance on stock yield rate and its influencing mechanism. The results showed that, the ESG performance o Chinas listed companies in pharmaceutical and health sector had a positive e ect on stock yield rate, which was not significant in state-owned listed companies. Further study revealed that, both financial perfor