ESG Performance,Financial Characteristics and Stock Systematic Risk
A large amount of evidence suggests that companies with good ESG per-formance have a lower risk of collapse and stakeholder risk,thereby diluting systematic risk.However,compared to fundamental financial indicators,ESG as a non-financial indicator has not yet reached a consistent conclusion on its mechanism,dynamic vari-ability,and heterogeneity of impact on stock systematic risk.Based on this,this paper selects data from January 2009 to November 2023 in the A-share market for empirical research.Based on the conditional CAPM model,the systematic risk βis dynamically characterized as a linear function of ESG performance(non-financial characteristics)and company fundamental characteristics(financial characteristics).Then,the MCMC Bayesian estimation method is used to obtain time-varying esti-mates of β for results analysis.The research results are as follows:First,there is a negative correlation between ESG performance and stock systematic risk,which has become increasingly strong and significant in recent years.Second,the impact of ESG performance on stock systematic risk shows heterogeneity across industries.For in-dustries that are more affected by energy or national policies,good ESG performance helps to reduce systematic risk.Third,although ESG performance can affect stock systematic risk,investors respond less to ESG risk than to fundamental risk,leading to asymmetric investor reactions.Therefore,ESG risk can be considered a secondary risk,and its impact on systematic risk is moderated by fundamental characteristics such as market value and book-to-market ratio.
ESG performancesystematic riskconditional capital asset pricing modeltime-varying βBayesian estimation
万方数据
维普
