Do green policies catalyze green investment? Evidence from ESG investing developments in China

Xiaoke Zhang, Xuankai Zhao and Linshan Qu

Economics Letters, 2021, vol. 207, issue C

Abstract: This study examines the heterogeneous performance of ESG investing in China before and after 2016, when the “Guidelines for Establishing a Green Financial System” was announced. In the portfolio analysis, high ESG portfolios earn significantly higher abnormal returns compared to low ESG portfolios in the post-2016 context, but this is not the case pre-2016. This outperformance is not closely related to common firm characteristics. Next, the stock analysis also shows that good ESG profiles predict higher future excess returns on average post-2016. The rising performance of good ESG stocks largely depends on equity cost advantage other than profitability improvement.

Keywords: ESG investing; Portfolio analysis; Alpha; Chinese stock market; Green policy (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:207:y:2021:i:c:s0165176521003050

DOI: 10.1016/j.econlet.2021.110028

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