Does It Pay to Be Responsible? The Performance of ESG Investing in China

被引:67
作者
Zhang, Xiaoke [1 ]
Zhao, Xuankai [2 ,3 ]
He, Yu [2 ]
机构
[1] Peking Univ, Sch Econ, Beijing, Peoples R China
[2] Cent Univ Finance & Econ, Sch Econ, Beijing, Peoples R China
[3] Cent Univ Finance & Econ, China Ctr Internet Econ Res, Beijing, Peoples R China
关键词
ESG investing; responsible investment; portfolio analysis; abnormal return; chinese stock market; CORPORATE SOCIAL-RESPONSIBILITY; FINANCIAL PERFORMANCE; FIRM VALUE; STOCK RETURNS; CROSS-SECTION; RISK; DISCLOSURE; IMPACT; LEVEL; WAGES;
D O I
10.1080/1540496X.2022.2026768
中图分类号
F [经济];
学科分类号
02 ;
摘要
The capital market in China has progressed rapidly within the realm of ESG and sustainability. This study investigates whether and how ESG investing works in China. The portfolio-level analysis shows that both high- and low-level ESG portfolios can earn higher abnormal returns, which implies a non-linear relationship between ESG and portfolio excess returns. In stock-level analysis, the effect of ESG on future stock returns varies by pillar and sector. Governance and social pillars work in opposite directions to predict returns. In the secondary (tertiary) sector, higher ESG scores predict lower (higher) returns. Furthermore, we find that higher ESG performance is associated with worse future profitability, which impairs firm value, and lower cost of equity capital, which increases firm value.
引用
收藏
页码:3048 / 3075
页数:28
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