金融学院知识库

  随着我国经济结构的调整和发展模式的转型，加速推动绿色经济体系的变革已经成为了一个国家的重要发展战略，绿色产业的投资和融资要求也随之提高。与此同时，传统融资模式下以环保节能为主营业务的“绿色企业”往往面临着融资难、融资成本高的困境。在这种情况下，绿色产业投资基金应运而生并迅速发展，投资者也将环境治理、生态环保等非财务要素融入投资决策，并以此来践行责任投资、可持续投资，从而推动企业和社会实现可持续发展。因此，研究我国基金投资市场如何评价绿色发展理念与实践对于引导资本流向可持续发展领域具有重要意义。

  本文通过绿色产业、绿色金融的发展和相关学术研究的背景及意义的阐述，对绿色激励、绿色投资内涵的演变、企业可持续发展相关理论以及绿色企业的特有成本与风险进行相关概念界定，在此基础上分析了六个因子对超额收益的影响机制。随后选取与节能环保相关的绿色基金作为研究对象，基于Fama-French五因子模型，引入绿色因子构造新的六因子模型，验证该模型在基金投资市场中的适用性以及绿色因子对超额收益率是否有显著的正向影响。最后基于理论分析与实证分析，从绿色企业、绿色投资市场及投资者三个层面提出相关建议。

  本文实证结果表明，加入绿色因子的六因子模型适用于我国绿色基金市场且绿色因子对超额收益率具有显著的正向影响，也就是说中国投资基金市场存在绿色激励效应。本文结论对于新经济下的投资策略有参考意义，也预示中国投资基金市场需要更专业的绿色评级体系。

  Along with the adjustment of economic structure and the transformation of development mode, accelerating the reform of green economy system has become a country's important development strategy, and the investment and financing requirements of green industry also rise accordingly. At the same time, under the traditional financing mode, "green enterprises" whose main business is environmental protection and energy saving are often faced with difficulties in financing and high financing costs. In this case, green industry investment funds emerged and developed rapidly. Investors also incorporated non-financial factors such as environmental governance and ecological protection into their investment decisions, so as to practice responsible investment and sustainable investment, so as to promote the sustainable development of enterprises and society. Therefore, it is of great significance to study how to evaluate the concept and practice of green development for guiding the capital flow to the field of sustainable development.

   Through the elaboration of the development of green industry and green finance and the background and significance of relevant academic research, this paper defines the concepts of green incentive, the evolution of green investment connotation, the theories related to sustainable development of enterprises and the unique costs and risks of green enterprises. On this basis, it analyzes the influence mechanism of six factors on excess returns. Then, the green fund related to energy conservation and environmental protection is selected as the research object. Based on the Fama-French five-factor model, the green factor is introduced to construct a new six-factor model, Verify the applicability of this model in the fund investment market and whether the green factor has a significant positive effect on the excess rate of return. Finally, based on theoretical analysis and empirical analysis, relevant suggestions are put forward from three aspects: green enterprise, green investment market and investors.

   The empirical results of this paper show that the six-factor model with green factor is suitable for China's green fund market and the green factor has a significant positive effect on the excess return, that is to say, there is a green incentive effect in China's investment fund market. The conclusion of this paper has reference significance for investment strategies under the new economy, and also indicates that China's investment fund market needs a more professional green rating system.