The role of ESG(Environment,Social and Governance)investment performance on compa-ny stock asset pricing is receiving increasing attention,but systematic econometric tests are still lacking.To this end,based on the ESG rating published by Sino-Securities Index Information Ser-vice(Shanghai)Co.Ltd,this paper constructs an ESG performance factor and incorporates it into the Fama-French three-factor model to form a four-factor stock asset pricing econometric model.The empirical analysis based on monthly data of Chinese A-share listed companies from 2011 to 2022 shows that the ESG investment performance factor exists in the Chinese A-share market,and the ex-tended four-factor model is valid,but the overall improvement in the explanation of asset prices is limited.The grouping study finds that compared to the companies with large market capitalization or high book-to-market ratios,the ESG investment performance factor has a significant impact on the stock prices of companies with small market capitalization and low book-to-market ratios.Investors in the Chinese A-share market give a higher premium to ESG investment performance when valuing small-scale and low book-to-market ratio companies'stocks.The research findings provide refer-ence for a deeper understanding of the role of ESG investment performance in the stock market and for more accurate asset pricing of company stocks.
investment performancestocksasset pricingmulti-factor model
NETL
NSTL
万方数据
