金融学院知识库

近年来，自如出租屋的甲醛超标、长春长生生物的毒疫苗、瑞幸咖啡的财务和运营数据造假、康美药物财务造假等黑天鹅事件不断发生，对社会产生了严重的负面影响，不仅让投资者遭受了巨大的经济损失，而且对我国资本市场的稳定发展造成了严重的损害。同时，经济的飞速发展也引起了气候环境恶化、污染、企业责任、人权、工作准则等众多问题，这将社会大众的目光聚焦到环境、社会和公司治理（ESG）。随着“十四五规划”和“双碳”目标中对我国绿色金融发展的高度重视和我国本土ESG评级机构的逐步发展完善，ESG投资必将越发受到人们注重，ESG会成为加速中国未来绿色发展和绿色投资的重要工具。本文通过对A股上市公司ESG表现和股票超额收益率之间的关系进行研究，为股票市场中ESG投资策略提供参考，并以此倒逼企业改革，注重可持续发展。

本文采用事件研究法，选用样本为在我国沪深A股上市的公司，时间段为2018年至2021年，以评级发表前后5、15、30天的事件超额收益率作为被解释变量，商道融绿ESG评级为解释变量，建立模型进行回归。接着考虑到这种关系可能会受到市场环境的影响，加入市场行情与ESG的交叉项，探讨市场行情的变化能否会让人们更加关注或者不关注上市公司的ESG表现，从而ESG所发挥出的筛选作用是否会显著增强或减弱。最后把样本公司按照规模不同、产权性质不同各划分为两组，讨论对于不同规模、产权性质的公司而言，ESG表现能否提升公司股票市场表现。

通过实证分析，发现：（1）我国沪深两市A股上市公司ESG表现会给公司股票超额收益率带来显著正向影响，即ESG表现越好的公司股票超额收益率越高，ESG表现对市场股票具有筛选作用。（2）在市场行情下降的情况下，股票超额收益率与ESG的正相关关系得到加强，即在市场下行时ESG对市场的筛选作用得到了加强；而在市场行情的上升的情况下，股票超额收益率与ESG的正相关关系减弱，即在市场上行时ESG表现对市场的筛选作用减弱。（3）通过异质性研究发现，对于大规模、国有上市公司，公司ESG评分越高，超额收益率就越高；而对于小规模、非国有上市公司，ESG评分与事件期超额收益率CAR之间的回归结果并不显著，这说明不同规模、不同产权性质的公司股票超额收益率与ESG评级之间的相关关系存在差异性。

基于研究结论，本文提出了健全ESG信息披露相关法律法规体系、上市公司应积极主动提高ESG表现、大力倡导投资者注重ESG投资、建立健全我国特色ESG评级体系的建议，期望能对我国投资市场有所帮助。

In recent years, the black swan incidents such as formaldehyde exceeding standard in free rental houses, Changchun Changsheng Biological's toxic vaccines, Luckin Coffee's financial and operational data falsification, Kangmei Pharmaceutical's financial falsification have occurred constantly, which have had a serious negative impact on the society, not only did it cause huge financial losses to investors, but also caused serious damage to the stable development of China's capital market. At the same time, the rapid development of the economy has also caused the deterioration of the climate and environment, pollution, corporate responsibility, human rights, work standards and many other issues, which has focused the attention of the public on the environment, social and corporate governance (ESG). With the emphasis on China's green finance development in the 14th Five-Year Plan and the goal of "Double carbon" and the gradual development and improvement of China's local ESG rating agencies, ESG investment will surely attract more attention and become an important tool to accelerate China's future green development and green investment. This paper studies the relationship between the ESG performance of A-share listed companies and the excess return of stocks, so as to provide reference for ESG investment strategies in the stock market, and to force enterprise reform and pay attention to sustainable development.

In this paper, the event study method was adopted, and the samples were selected as A-share listed companies in Shanghai and Shenzhen from 2018 to 2021. The event excess returns of 5, 15 and 30 days before and after the release of the rating were taken as explanatory variables, and the ESG rating of SynTao Green Finance was taken as explanatory variables to establish A model for regression. Then, considering that this relationship may be affected by the market environment, the cross term between market conditions and ESG is added to discuss whether the changes of market conditions will make people pay more or less attention to the ESG performance of listed companies, and whether the screening function of ESG will be significantly enhanced or weakened. Finally, the sample companies were divided into two groups according to different sizes and property rights, and whether ESG performance could improve the stock market performance of companies with different sizes and property rights was discussed.

Through empirical analysis, it is found that: (1) The ESG performance of A-share listed companies in Shanghai and Shenzhen, it has a significant positive influence on the excess return rate of the company's stock, the better the ESG performance is, the higher the excess return rate of the company's stock, and the ESG performance has a screening effect on the market stocks. (2) In the case of market decline, the positive correlation between excess stock return rate and ESG is strengthened, the screening effect of ESG on the market is strengthened in the case of market decline; In the case of rising market conditions, the positive correlation between excess stock return rate and ESG is weakened, the screening effect of ESG performance on the market is weakened. (3) The heterogeneity study found that for large-scale, state-owned listed companies, the higher the ESG score, the higher the excess return rate; For small-scale, non-state-owned listed companies, the regression result between ESG score and CAR of excess return in event period is not significant, which indicates that the correlation between excess return rate of shares and ESG rating of companies with different sizes and property rights is different.

Based on the above research conclusions, this paper propose the following suggestion that perfect ESG information disclosure related laws and regulations system, listed companies should actively improve the performance of ESG, advocate investors to pay attention to ESG investment, establish and perfect our characteristic ESG rating system, hoping to be helpful to our investment market.