Investment Sentiment,ESG Score And Excess Return On Stock

In the context of global resource shortage and severe environmental problems,it has become the consensus of enterprises and investors to incorporate environmental,social and corporate governance(ESG)factors into their investment decision-making process,in order to encourage development of green economic activities.Compared with traditional corporate responsibility assessment,ESG Scores is a more comprehensive indicator which better identify environmental and social risks and provide an evaluation of the listed companies from a unique perspective.The ESG investment concepts and it's rating system are originated from the Western securities market and has been widely applied and used.By contrast,China's securities market has been established for a relatively short time,and the overall system construction and enterprise evaluation mechanism need to be further improved.In order to study the effectiveness of Chinese local ESG rating system as an investment guide and the role of investor sentiment in this process,this paper conducts an empirical analysis on the influence of ESG scores of listed companies on excess returns on stocks from the perspective of investor sentiment.In this paper,domestic and foreign researches on ESG scores,investor sentiment and stock returns are sorted out,research hypothesis is established based on relevant theories,and empirical analysis is conducted on the semi-annual data of A-share market from 2016 to 2019.The main conclusions of this paper are as follows: the ESG Score is positively correlated with the excess return on stocks;The excess return on stocks with ESG rating is higher than that of stocks without ESG rating.With other conditions unchanged,the higher the investor sentiment,the more significant the positive promoting effect of ESG score on the excess returns.In general,it shows that ESG information has certain explanatory power to the excess returns on stocks,and investor sentiment plays a positive promoting role in this relationship.Based on the research conclusion,this paper proposes the following policy suggestions from the perspective of individual investors,financial institutions and securities markets: Firstly the financial institution and Securities market supervision department should guide investors to use ESG information when making investment decisions;Secondly,Strengthening ESG information disclosure and improve the quality of ESG disclosure report is vital for creating an effective environment for ESG investment.Finally,in order to promote Sustainable development and green finance,it is essential to reduce investor sentiment in the stock market by improve regulations of Chinese stock market system.This paper comprehensively expounds the relevant research results in this certain area,the theoretical meaning and practical significance is to provide reference for further study and investment behavior.