王海军,陈波,何玉

• 1:北京物资学院中国投资者教育与保护研究中心
• 2:中央财经大学财经研究院
• 3:浙江财经大学金融学院

摘要(Abstract)：

ESG理念已成全球共识，而企业ESG责任的履行是中国“双碳目标”达成和全社会可持续发展的关键环节。基于此，以MCSI ESG评级入选的313家A股上市公司作为试验组样本，利用双重差分倾向得分匹配模型(PSM-DID)进行控制组样本匹配，从理论机制和实证分析角度探讨了ESG评级对企业估值的影响机制与路径，研究发现：第一，无论是评级事件还是评级分值，入选ESG评级都可以有效提高公司估值；第二，ESG评级调整与上市企业估值调整存在正相关关系，评级上调将推动估值上升，而评级下调将导致估值下降，但随时间推移这种相关关系存在递减效应，表明资本市场对ESG披露信息存在一个接收、消化和正反馈过程；第三，ESG评级通过机构持股比、股票波动率、年交易额和融资成本四个渠道来影响企业估值，表明ESG具有价值发现、风险抑制能、信息传递和融资约束缓解作用；第四，ESG评级对估值的影响存在异质性，相比高碳企业、工业企业和农业企业，低碳企业和服务业企业估值对ESG评级更为敏感；第五，采用工具变量法、样本重组、更换变量等方法进行内生性和稳健性检验，并没有改变研究结论。本文研究结果对于建立中国版本的ESG强制信息披露制度、统一和完善ESG评价评级标准、推动上市公司高质量发展和价值最大化具有重要参考价值。

关键词(KeyWords)： ESG;企业估值;MSCI评级;PSM-DID模型;中介效应

Abstract:

Keywords:

基金项目(Foundation): 国家自然科学基金青年科学基金项目“面向高维大数据的正则化统计方法的相关研究”（71701223）;; 浙江省软科学研究计划重点项目“浙江游资对我国股票市场的影响及其监管研究”（2019C25022）的资助

作者(Author): 王海军,陈波,何玉

DOI: 10.16513/j.cnki.cje.20220921.001

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• (1)数据来源:Sustainable Stock Exchanges Initiative官网,https://sseinitiative.org/exchanges-filter-search/。
• (2)数据来源:GSIA,http://www.gsi-alliance.org/wp-content/uploads/2021/08/GSIR-20201.pdf,PP9。
• (3)资料来源:中国证监会官网,http://www.csrc.gov.cn/pub/zjhpublic/zjh/201809/t20180930_344906.htm。
• (4)资料来源:http://www.csrc.gov.cn/newsite/zjhxwfb/xwdd/202102/t20210205_392302.html。
• (5)数据来源:https://finance.huanqiu.com/article/440sxupmT0g。
• (6)按照MSCI的定义,AAA和AA代表被评级企业在ESG风险和管理方面处于行业领先水平;A、BBB和BB代表被评级企业在ESG风险和管理方面处于行业平均水平;而B、CCC代表被评级企业具有高风险敞口和管理风险。
• (7)ESG评级原始数据来自MSCI官网(https://www.msci.com/zh/esg-ratings/)。