ESG Performance,Investor Sentiment And Stock Excess Returns

In recent years,ESG gradually gets more and more attention due to the rapid development of our economic situation.The concept of ESG,developed from corporate social responsibility,advocates that enterprises strengthen environmental,social,governance and other aspects of governance,so as to offset the negative impact of economic growth on social,environmental and other aspects,so as to achieve the purpose of green and sustainable development.Sustainable development in the ESG concept is highly compatible with the goals of high-quality development,green development and low-carbon development proposed in the 14 th Five-Year Plan.It is of great significance to study and develop ESG system construction to solve environmental protection and corporate social responsibility problems.ESG consists of three aspects: environment,society and governance.It is not only a value of sustainable development,but also a new investment concept.At present,the academic research on ESG is still in its infancy,meanwhile the research fields mainly focus on three aspects: ESG performance,ESG information disclosure and ESG investment.The ESG performance of enterprises is reflected in the capital market through information disclosure.The ESG rating is formulated based on ESG performance and ESG information disclosure to provide a method of evaluation and comparison for ESG investment.This paper studies the process of ESG performance reflecting the capital market.Select ESG rating to represent ESG performance and stock excess return to represent capital market reaction,and study the influence of investor sentiment in this process.Through literature collation and theoretical analysis,hypotheses are proposed and models are established.From 2017 to 2021,2,292 listed companies were taken as research samples for empirical analysis.The conclusion is that good ESG rating has a promoting effect on stock excess return;Investor sentiment plays a moderating role in this process,that is,The higher the investor sentiment,the more pronounced the impact of ESG ratings on excess returns.Then,through grouping regression,the property rights nature and regional marketization degree are further analyzed,and the conclusion is drawn: among non-state-owned enterprises,the performance of ESG has a better promoting effect on stock returns.In regions with high marketization degree,ESG performance is positively correlated with stock returns.Finally,the robustness test verifies the reliability of the research results.Finally,suggestions are proposed from three aspects based on the conclusion,including government supervision,listed companies and investors.regulators can start to establish authoritative ESG rating agencies,and improve the ESG information disclosure system from the policy level;Listed companies strive to improve the performance of ESG,and adjust the disclosure content of ESG to pay more attention to environmental protection;Investors should strengthen personal education,reduce the impact of investor sentiment on investment decisions through comprehensive and systematic learning,and learn ESG investment concepts to develop more scientific investment strategies.By introducing investor sentiment,this paper analyzes the relationship between ESG performance and stock returns from the investor perspective and provides some innovations in the research perspective.From an empirical perspective,it verifies the regulating effect of ESG performance on investor sentiment in the process of stock returns.At the same time,it analyzes the differentiated influence of ESG performance on investor behavior from the perspective of property right nature and marketization degree,so as to enrich the research on ESG investment and provide certain reference for investors to make ESG investment.