摘要
本文从价值投资和ESG责任投资理念出发,构建复合品质因子指标衡量好企业、以企业ESG责任得分度量做好事,探讨好企业做好事的股票市场认可与股票收益表现。实证结果表明:好企业的股票市场表现更好,在控制企业品质的同时,企业做好事也有较好的股票收益;进一步地,好企业履行环境责任表现越好也越能获得资本市场认可。以上研究结果与更加注重价值投资和责任投资的发展趋势不谋而合,说明当前中国A股市场的好企业做好事能够带来股票收益的"锦上添花"作用。
Based on the concept of value investment and ESG responsibility investment,this paper constructs a composite quality factor index to measure good enterprises,and uses the ESG responsibility score to measure good deeds,and discusses the stock market recognition and stock return performance of good enterprises to do good deeds.The empirical results show that:the stock market performance of good enterprises is better,while controlling the quality of enterprises,enterprises do good deeds also have better stock returns;further,the better the performance of good enterprises to fulfill their environmental responsibilities,they can also obtain the recognition of the capital market.The above research results coincide with the development trend of paying more attention to value investment and responsibility investment,which shows that good enterprises in China’s A-share market can bring"icing on the cake"effect of stock returns by doing good deeds.
出处
《投资研究》
CSSCI
北大核心
2021年第7期128-141,共14页
Review of Investment Studies
基金
教育部人文社会科学研究项目:“异质性机构投资者的ESG持股偏好、溢价来源及基金业绩评价研究”(20YJA790095)
国家自然科学基金青年项目“创投双方匹配结构对企业经济绩效的影响机制及调控政策研究”(71903077)
关键词
品质因子
ESG因子
市场表现
环境因子
Quality index
ESG index
Market performance
Environmental index
作者简介
周方召,江南大学商学院教授、博士;通讯作者:高巧林,江南大学商学院,硕士生;付辉:江南大学商学院副教授、博士。
