A Research On The Social Responsible Investment In Different Times

Since the reform and opening up,China’s economy has been developing at a very rapid pace.Under the sustainable development goals and the latest dual carbon goals,fulfilling corresponding social responsibilities has become a consensus among enterprises.This means that the fulfillment of corporate social responsibility is also transitioning from passive to active.In this era,investors can also benefit from the dividends of the times from social responsibility investment.This article starts from the Fama French five factor model and calculates the excess return rate of Shanghai and Shenzhen A-share stocks in different months.Multiple analysis is used to test the relationship between corporate social responsibility scores and stock excess returns in different time periods.The HP filtering method is used to introduce different economic periods,thus studying the relationship between social responsibility investment behavior and investment returns under different economic conditions.In further mechanism analysis,three intermediary variables that can represent social opinion were selected to study how corporate social responsibility affects the return on stock investment.In response to endogeneity issues,this article uses the regional average CSR score to replace the CSR score of a single enterprise,and the results are still robust.This article draws the following conclusions through theoretical analysis and empirical research: firstly,companies with higher corporate social responsibility scores have higher excess returns on their stocks,and in a good economic environment,this positive relationship will become stronger over time.However,in a declining economic environment,this positive relationship will weaken over time.Therefore,investors can adjust their social responsibility investment strategies based on different economic conditions.Secondly,when making socially responsible investments in a good economic environment,investing in non manufacturing enterprises can achieve higher excess returns than investing in manufacturing enterprises.However,when making socially responsible investments in a poor economic environment,investing in non manufacturing industries is not a good choice.And when making socially responsible investments,non-state-owned enterprises will also have higher excess returns compared to state-owned enterprises.Thirdly,this article finds that media coverage and stock bar discussions are effective mediating variables,and even after distinguishing positive and negative public opinion,the empirical results are still significant.However,reputation measured by intangible assets is an effective mediating variable in the medium to long term rather than in the short term.