ESG Rating、Online Public Opinion And Stock Return

Climate change and environmental degradation are common development challenges faced by countries around the world.So,China is committed to sustainable development.The transition of enterprises to green development is an important driving force for alleviating environmental pollution and promoting sustainable development.The key to the sustainable development of enterprises is how to increase economic benefits while also bringing environmental benefits.Therefore,the green investment concept representing environmental,social responsibility,and corporate governance(ESG)has been widely promoted.In A-share market,investors are easily influenced by media reports,which can also affect the performance of enterprises.Therefore,the relationship between ESG,online public opinion,and the stock return needs further exploration.This paper selects quarterly data of stock returns and ESG ratings of 1506 listed companies in the A-share market,and media data from 2012 to 2021,with a total of60,240 sample data.Firstly,a fixed-effect model is constructed to analyze the ESG rating and stock returns.Secondly,online public opinions are constructed from both macro and micro perspectives,and a moderation effect model is built.Finally,a machine learning method is used to forecast stock returns.The research results show that:(1)ESG ratings have a positive effect on stock returns,playing a promoting role.(2)Online public opinion at both macro and micro levels plays a first-order moderating role in the relationship between ESG ratings and stock returns.(3)The relationship between ESG ratings and stock returns exhibits a "inverted U-shaped" curve,and the changes in macro-level online public opinion(ESG attention)will change this relationship,there is a second-order moderating effect.However,this effect not exists at the micro level.(4)ESG factors have predictive power on stock returns and can improve the accuracy of forecasting results.