考虑偏好差异的企业环境、社会和公司治理(ESG)综合排序
Environment,Social,and Governance(ESG)Comprehensive Ranking Considering Preference Differences
付业林 1喻寅昀 2张帆顺 3黎建强4
作者信息
- 1. 深圳大学经济学院,深圳 518060
- 2. 重庆交通大学经济与管理学院,重庆 400074
- 3. 湘潭大学商学院,湘潭 411105
- 4. 陕西师范大学国际商学院,西安 710000
- 折叠
摘要
ESG投资理念是指投资者在投资决策过程中除了关注资本收益率,还关注企业在环境(environment)、社会(social)、公司治理(governance)方面的表现.可靠的ESG排名能够对投资者决策行为起到良好的引导作用.前人研究发现,由于ESG评级机构之间缺乏一致性,导致同一家企业在不同评级体系下的ESG排名存在差异,这阻碍了 ESG发展.针对决策者偏好差异带来的ESG排序差异问题,文章提出一种融合群决策和吉布斯熵的ESG排序方法.具体来说,对于给定的ESG评价数据,首先,依据评价维度重要性顺序构建初始群决策矩阵;其次,利用吉布斯熵与数理模型计算被评企业的最优熵值;最后,给出ESG指数计算模型,实现对被评企业的排序.该研究使用嘉实基金与秩鼎公司发布的ESG数据对所提方法进行仿真研究.同时,基于斯皮尔曼相关系数和满意度指数对该方法的有效性和先进性进行检验.
Abstract
In the ESG investment decision,investors should pay attention not only to capital return,but also to environment,social,and governance.A reliable ESG ranking can be a good guide for investors'decision-making behavior.Previous stud-ies confirm that the differential ESG ranking of one company under different rating systems,which hinders the development of ESG.Thus,this paper proposes an ESG ranking method to solve the problem of differential ESG ranking due to decision mak-ers'preferences.Specifically,in line with ESG,the initial group decision matrix is first constructed based on the importance order of dimensions.Second,Gibbs en-tropy is applied to obtain the optimal entropy of the enterprise.Finally,the ESG index is given for the purpose of ranking the evaluated companies.The experimen-tal data were obtained from Harvest Fund and Quant Data,and then Spearman's rank correlation coefficient and satisfaction index were used to test the validity and sophistication of the proposed method.
关键词
ESG评价/偏好差异/群决策/吉布斯熵Key words
ESG evaluation/preference differences/group decision making/Gibbs entropy引用本文复制引用
基金项目
国家自然科学基金青年基金(72101098)
广东省自然科学基金面上项目(2022A1515010232)
重庆市社会科学规划项目(2023BS037)
重庆交通大学校级项目(F1230068)
出版年
2024
NETL
NSTL
万方数据