Analysis of the impact of ESG investment on stock returns of listed companies
Xuezhu Gong
School of Finance, Anhui University of Finance and Economics
DOI: https://doi.org/10.59429/bam.v8i1.13607
Keywords: ESG investment; stock returns; factor model; fixed effects model
Abstract
As social and environmental problems such as ageing populations, extreme weather and wars have become more prominent, the previous development pattern has been considered wrong and sustainable development is recognized globally. As an extension of the concept of sustainable development, ESG investment has been paid more and more attention. The thesis selects Bloomberg ESG, stock returns and financial data of Chinese listed companies from 2015 to 2021 as research samples, combines Fama-French five-factor model and fixed effects model and then introduces ESG rating factors to analyze the impact of ESG investment on stock returns of Chinese listed companies. The empirical results show that the ESG investment concept has begun to be accepted by China's stock market, and companies with different ESG performance can be distinguished by the market. Finally, this paper puts forward suggestions to the relevant subjects from the aspects of investment decision, information disclosure and evaluation system, hoping to further promote the development of ESG investment in China.
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