基于Fama-French模型的企业绿色因子对股票收益率的影响研究

Study on the Impact of Corporate Green Factors on Stock Yield Based on Fama-French Model

摘要: 在“双碳”背景下，投资者逐渐将企业绿色相关因素纳入投资决策过程，这会对股票收益率产生影响。为此，本文将基于文本分析法，依据上市公司年报中披露的绿色信息，构建企业绿色因子，将其引入Fama-French模型中，构建扩展的多因子模型。利用2010年至2023年A股主板、创业板和科创板的月度数据，实证发现A股市场存在企业绿色因子，扩展因子模型相较于原模型在一定程度上提高了对股票收益率的解释能力；通过组合回归分析发现，在大规模公司中企业绿色溢价会更加明显。基于此，提出了强化市场绿色激励、丰富绿色金融产品、正确引导市场参与者的政策建议。

Abstract: Under the background of “dual carbon”, investors are gradually incorporating green factors related to enterprises into the investment decision-making process, which will have an impact on stock returns. To this end, based on the text analysis method and in accordance with the green information disclosed in the annual reports of listed companies, this paper will construct the enterprise green factors and introduce them into the Fama-French model to construct an extended multi-factor model. Based on the monthly data of the main board, Growth Enterprise Market and STAR Market of A-shares from 2010 to 2023, it is empirically found that there exists an enterprise green factor in the A-share market. Compared with the original model, the expansion factor model has improved the explanatory ability for stock returns to a certain extent. Through combined regression analysis, it is found that the green premium of enterprises is more obvious in large-scale companies. Based on this, policy suggestions for strengthening green incentives in the market, enriching green financial products, and correctly guiding market participants have been put forward.