ESG专题：中国股票市场 ESG 溢价现象探析

Core Insights - The report identifies a significant ESG premium phenomenon in the A-share market, particularly pronounced in large-cap and mid-cap stocks, indicating that companies with higher ESG scores tend to yield higher future returns [1][2][3] - The study utilizes a comprehensive ESG scoring dataset from Zhitong and employs Fama and French's sorting and cross-sectional regression methods to analyze the relationship between stock returns and ESG performance over an extended period [1][2] ESG Premium Analysis - The report finds a clear positive correlation between ESG indicators and stock returns across the full sample and various market capitalization groups, with the hedge portfolio (longing high ESG score stocks and shorting low ESG score stocks) showing increasing returns with larger stock sizes [1][2][3] - Among the ESG components, the social responsibility (S) indicator exhibits the strongest alpha source, consistently showing a positive correlation with returns across all market sizes, while the environmental (E) indicator also demonstrates significant predictive power in large-cap stocks [2][5] Robustness Checks - The robustness tests indicate that while the significance of the ESG indicators may decrease when adjusted using the Chinese four-factor model, the hedge portfolios based on ESG and S indicators still achieve significant excess returns in large-cap and all size groups respectively [3][5] - The report emphasizes that the ESG factors encourage "investment for good," suggesting that higher ESG scores correlate with better stock performance, particularly in large and mid-cap stocks, which can effectively filter out underperforming stocks [3][5] Methodology and Data - The research design incorporates a rigorous approach to ESG data reliability, utilizing Zhitong's ESG scoring system, which covers a wide range of A-share stocks and provides monthly updates, thus addressing the limitations of existing ESG rating data [21][22][23] - The study categorizes stocks into four groups based on market capitalization (large, mid, small, and micro) and analyzes the average returns and standard deviations of these groups, revealing that smaller stocks tend to have higher average returns but also higher volatility [31][32][34]