| ESG,namely environment,social responsibility and corporate governance,is an investment concept and enterprise evaluation standard focusing on enterprise performance about environment,social responsibility and company administration.ESG investment theory has experienced nearly 20 years of academic research at home and abroad,but it has not formed a completely consistent research conclusion.Investment based on ESG has developed rapidly abroad.On this basis,it has also formed a relatively rich ESG fund products,which are prominent in the quantity,scale and performance.Domestic ESG investment is still in its primary stage.With the background of carbon neutralization,the goal of "double carbon",the concept of sustainable development and green development,the concept of ESG responsible investment have been continuously promoted,bringing opportunities and challenges to the development of ESG at home and abroad.Financial institutions are actively studying and formulating ESG investment guidelines,so as to guide the industry to built a perfect green financial service system,improve the green investment ability of the whole industry,and make financial companies participate in green investment and responsible investment more comprehensively and deeply.Firstly,the paper defines the concept of ESG and ESG responsible investment,combs the theoretical basis of ESG responsible investment and quantitative investment strategy,the development status at home and abroad,the relevant research contents and research systems such as ESG mainstream investment strategy,quantitative investment strategy and multiple-factors stock selection strategy.Make a literature review,summarize the theoretical basis which is suitale for the paper,and then further enrich the research on this basis.Secondly,it introduces the mainstream ESG rating agencies,ESG rating index system and rating data at home and abroad,and makes a detailed comparative analysis.Thus,the ESG rating system and data suitable for this study are selected through the judgment of the professionalism and authority of the rating unit,the rationality of the rating index system,data integrity and timeliness.Thirdly,in order to study the correlation between ESG rating and stock return,the quantitative investment strategy design of ESG rating is carried out by using the empirical research method.Analyze the quantitative investment strategy,the stock pool data required by the research strategy,and factors such as financial factors,technical factors and consistency prediction factors.Preprocess the data of the factors in the selected factors’ pool,and then analyze the effectiveness and correlation of the factors,so as to select the appropriate factors for model construction.A single factor long strategy model based on ESG rating is constructed to prove the positive effect of high ESG rating factors on stock return.Based on the traditional financial factors and technical factors,ESG rating factors are added to build a multiple-factors strategy model based on ESG rating to further improve the model,so as to enhance the stability of income.Then,the quantitative investment strategy based on ESG rating is tested by comparative analysis.This paper selects appropriate evaluation index to reverse running and evaluate the constructed model,and selects Hushen 300 index as comparison benchmark of the strategy so as to make comparative analysis.The long quantitative strategy based on ESG rating is constructed by screening the stocks with high ESG rating from the constituent stocks of Hushen 300,which is better than the Hushen 300 index as the benchmark.From the back testing and evaluation of the model,it can be seen that high ESG rating factor can make the model obtain higher yield and relatively low risk.The research shows that ESG rating can be used as a better factor to realize high-quality stock selection.At the same time,a multiple-factor quantitative strategy model based on ESG rating is constructed and compared with a multiple-factor quantitative strategy model without ESG rating factors.On the one hand,the research results confirm that the allocation of multiple factors can disperse the strategic risk and excavate more factor returns.On the other hand,it also verifies that the quantitative strategy of adding ESG rating factor into multiple factors can obtain higher and relatively stable excess return.ESG rating factor can play a better role in selecting high-value stocks in the multiple-factor quantitative strategy.The overall research has reference significance for the practice of ESG investment strategy in the securities market,guide the funds in the financial market to pay more attention to ESG investment and enterprises to think highly of green and sustainable development. |
