Are ESG Factors Effective Asset Pricing Factors in China’s A-share Market?——An Empirical Analysis based on the Fama-French Factor Model
Abstract
In all asset pricing literature at home and abroad, it is a common pursuit of scholars to devote themselves to finding more effective
factors. In recent years, along with the increasing prominence of global environmental and social issues, the focus of China’s policy has shifted from the pursuit of economic growth to sustainable development, and the concept of responsible investment has quietly gained popularity.
We hypothesize that ESG factors have become a non-negligible factor in asset pricing. Therefore, this paper introduces ESG factors based on
Fama’s five-factor model and constructs the FF5+ESG six-factor model, focusing on analyzing the pricing efficiency of ESG factors to provide the latest empirical evidence for China’s asset pricing model.
factors. In recent years, along with the increasing prominence of global environmental and social issues, the focus of China’s policy has shifted from the pursuit of economic growth to sustainable development, and the concept of responsible investment has quietly gained popularity.
We hypothesize that ESG factors have become a non-negligible factor in asset pricing. Therefore, this paper introduces ESG factors based on
Fama’s five-factor model and constructs the FF5+ESG six-factor model, focusing on analyzing the pricing efficiency of ESG factors to provide the latest empirical evidence for China’s asset pricing model.
Keywords
Asset Pricing; Fama-French Factor Model; ESG
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PDFReferences
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[2] Liu J, Stambaugh R F, Yuan Y. Size and value in China[J]. Journal of financial economics, 2019, 134(1): 48-69.
[3] Li Zhibing, Yang Guangyi, Feng Yongchang et al. Empirical test of Fama-French five-factor model in Chinese stock market [J]. Financial Research, 2017, (06): 191-206.
[4] Zhao Shengmin, Yan Honglei, Zhang Kai. Is the Fama-French five-factor model better than the three-factor model-Empirical evidence from the Chinese A-share market[J]. Nankai Economic Research,2016.
DOI: http://dx.doi.org/10.18686/fm.v9i3.12772
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