| In recent years,the black swan incidents such as formaldehyde exceeding standard in free rental houses,Changchun Changsheng Biological’s toxic vaccines,Luckin Coffee’s financial and operational data falsification,Kangmei Pharmaceutical’s financial falsification have occurred constantly,which have had a serious negative impact on the society,not only did it cause huge financial losses to investors,but also caused serious damage to the stable development of China’s capital market.At the same time,the rapid development of the economy has also caused the deterioration of the climate and environment,pollution,corporate responsibility,human rights,work standards and many other issues,which has focused the attention of the public on the environment,social and corporate governance(ESG).With the emphasis on China’s green finance development in the 14 th Five-Year Plan and the goal of "Double carbon" and the gradual development and improvement of China’s local ESG rating agencies,ESG investment will surely attract more attention and become an important tool to accelerate China’s future green development and green investment.This paper studies the relationship between the ESG performance of A-share listed companies and the excess return of stocks,so as to provide reference for ESG investment strategies in the stock market,and to force enterprise reform and pay attention to sustainable development.In this paper,the event study method was adopted,and the samples were selected as A-share listed companies in Shanghai and Shenzhen from2018 to 2021.The event excess returns of 5,15 and 30 days before and after the release of the rating were taken as explanatory variables,and the ESG rating of Syn Tao Green Finance was taken as explanatory variables to establish A model for regression.Then,considering that this relationship may be affected by the market environment,the cross term between market conditions and ESG is added to discuss whether the changes of market conditions will make people pay more or less attention to the ESG performance of listed companies,and whether the screening function of ESG will be significantly enhanced or weakened.Finally,the sample companies were divided into two groups according to different sizes and property rights,and whether ESG performance could improve the stock market performance of companies with different sizes and property rights was discussed.Through empirical analysis,it is found that:(1)The ESG performance of A-share listed companies in Shanghai and Shenzhen,it has a significant positive influence on the excess return rate of the company’s stock,the better the ESG performance is,the higher the excess return rate of the company’s stock,and the ESG performance has a screening effect on the market stocks.(2)In the case of market decline,the positive correlation between excess stock return rate and ESG is strengthened,the screening effect of ESG on the market is strengthened in the case of market decline;In the case of rising market conditions,the positive correlation between excess stock return rate and ESG is weakened,the screening effect of ESG performance on the market is weakened.(3)The heterogeneity study found that for large-scale,state-owned listed companies,the higher the ESG score,the higher the excess return rate;For small-scale,non-state-owned listed companies,the regression result between ESG score and CAR of excess return in event period is not significant,which indicates that the correlation between excess return rate of shares and ESG rating of companies with different sizes and property rights is different.Based on the above research conclusions,this paper propose the following suggestion that perfect ESG information disclosure related laws and regulations system,listed companies should actively improve the performance of ESG,advocate investors to pay attention to ESG investment,establish and perfect our characteristic ESG rating system,hoping to be helpful to our investment market. |
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