ESG是一种弘扬经济可持续发展、倡导社会责任的投资理念和企业评价标准。与传统财务指标不同,ESG从环境、社会绩效和公司治理的角度审视公司应对风险以及长期发展的能力,是一种新型的企业评价方式,受到广大投资者的青睐。文章以Jianan ...ESG是一种弘扬经济可持续发展、倡导社会责任的投资理念和企业评价标准。与传统财务指标不同,ESG从环境、社会绩效和公司治理的角度审视公司应对风险以及长期发展的能力,是一种新型的企业评价方式,受到广大投资者的青睐。文章以Jianan Liu等提出的中国版三因子模型CH-3为基础,构建了一个包含ESG因子的四因子模型CH-4,从而尝试进一步提高该模型对中国A股市场上投资组合超额收益的解释能力。结果表明:改进后的CH-4模型对中国A股市场的解释作用优于CH-3模型,投资者投资ESG表现良好的企业可以获得超额收益。ESG is an investment philosophy and corporate evaluation standard that promotes sustainable economic development and advocates social responsibility. Different from traditional financial indicators, ESG examines a company’s ability to cope with risks and achieve long-term development from the perspectives of environmental, social performance, and corporate governance. It is a new way of evaluating enterprises and is favored by a large number of investors. Based on the Chinese Version of the Three-Factor Model CH-3 proposed by Jianan Liu et al., this paper constructs a four-factor model CH-4 that incorporates the ESG factor, aiming to further enhance the model’s ability to explain the excess returns of investment portfolios in the Chinese A-share market. The results show that the improved CH-4 model has a better explanatory power for the Chinese A-share market than the CH-3 model, and investors can obtain excess returns by investing in enterprises with good ESG performance.展开更多
文摘ESG是一种弘扬经济可持续发展、倡导社会责任的投资理念和企业评价标准。与传统财务指标不同,ESG从环境、社会绩效和公司治理的角度审视公司应对风险以及长期发展的能力,是一种新型的企业评价方式,受到广大投资者的青睐。文章以Jianan Liu等提出的中国版三因子模型CH-3为基础,构建了一个包含ESG因子的四因子模型CH-4,从而尝试进一步提高该模型对中国A股市场上投资组合超额收益的解释能力。结果表明:改进后的CH-4模型对中国A股市场的解释作用优于CH-3模型,投资者投资ESG表现良好的企业可以获得超额收益。ESG is an investment philosophy and corporate evaluation standard that promotes sustainable economic development and advocates social responsibility. Different from traditional financial indicators, ESG examines a company’s ability to cope with risks and achieve long-term development from the perspectives of environmental, social performance, and corporate governance. It is a new way of evaluating enterprises and is favored by a large number of investors. Based on the Chinese Version of the Three-Factor Model CH-3 proposed by Jianan Liu et al., this paper constructs a four-factor model CH-4 that incorporates the ESG factor, aiming to further enhance the model’s ability to explain the excess returns of investment portfolios in the Chinese A-share market. The results show that the improved CH-4 model has a better explanatory power for the Chinese A-share market than the CH-3 model, and investors can obtain excess returns by investing in enterprises with good ESG performance.
