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The Impact of Green Total Factor Productivity on Stock Returns: An Empirical Analysis Based on Data from Chinese Listed Companies
- 1 School of Economics and Management, Southeast University, 210000
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Abstract
The aim of this paper is to explore the impact of the Green Total Factor Productivity (GTFP) factor on the excess returns of quantitative investment strategies in the secondary market of China's capital market. The study integrates the GTFP factor into the Fama-French five-factor model and employs the Newey-West regression method for empirical analysis. The results indicate that the GTFP factor has a significant positive impact on stock excess returns across various industries, with the second-order lag model showing improved statistical significance compared to the first-order model. This finding highlights the importance of considering environmental sustainability factors in investment decision-making and provides investors with investment strategies based on green factors. Furthermore, the results offer insights for policymakers in promoting the development of green finance. This paper enriches the literature in the field of asset pricing and offers a new perspective for both the theory and practice of green finance.
Keywords
Green Total Factor Productivity (GTFP), quantitative investment, Fama-French five-factor model, asset pricing model
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Cite this article
Tang,Z. (2025). The Impact of Green Total Factor Productivity on Stock Returns: An Empirical Analysis Based on Data from Chinese Listed Companies. Advances in Economics, Management and Political Sciences,163,64-71.
Data availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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Volume title: Proceedings of the 4th International Conference on Business and Policy Studies
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