References
[1]. AMAC. Special Survey Report on ESG Investment in China's Fund Indus- try(2019)(Chinese). From:
[2]. https://www.amac.org.cn/researchstatistics/report/gmjjhybg/202003/P02020033070643000 8626.pdf
[3]. Pástor Ľ, Stambaugh R F, Taylor L A. Sustainable investing in equilibrium[J]. Journal of Financial Economics, 2021, 142(2): 550-571.
[4]. Pástor Ľ, Stambaugh R F, Taylor L A. Dissecting green returns[J]. Journal of Financial Economics, 2022, 146(2): 403-424.
[5]. Hong H, Kacperczyk M. The price of sin: The effects of social norms on markets[J]. Jour- nal of financial economics, 2009, 93(1): 15-36.
[6]. Garvey G T, Iyer M, Nash J. Carbon footprint and productivity: does the “E” in ESG cap- ture efficiency as well as environment[J]. J Invest Manag, 2018, 16(1): 59-69.
[7]. In S Y, Rook D, Monk A. Integrating alternative data (also known as ESG data) in invest- ment decision making[J]. Global Economic Review, 2019, 48(3): 237-260.
[8]. Times F. The ethical investment boom. James Kynge, September 7[J]. 2017
[9]. Bennani L, Le Guenedal T, Lepetit F, et al. How ESG Investing has impacted the asset pricing in the equity market[J]. Available at SSRN 3316862, 2018.
[10]. Pedersen L H, Fitzgibbons S, Pomorski L. Responsible investing: The ESG-efficient fron- tier[J]. Journal of Financial Economics, 2021, 142(2): 572-597.
[11]. Bolton P, Kacperczyk M. Do investors care about carbon risk?[J]. Journal of financial economics, 2021, 142(2): 517-549.
[12]. Fama, Eugene F., and Kenneth R. French. "The cross‐section of expected stock returns." the Journal of Finance 47.2 (1992): 427-465.
[13]. Maruthi G D, Rashmi R. Green Manufacturing: It's Tools and Techniques that can be im- plemented in Manufacturing Sectors[J]. Materials Today: Proceedings, 2015, 2(4-5): 3350- 3355.
[14]. Omer A M. Energy, environment and sustainable development[J]. Renewable and sustain- able energy reviews, 2008, 12(9): 2265-2300.
[15]. Bridge G. Contested terrain: mining and the environment[J]. Annual review of Environ- ment and Resources, 2004, 29: 0_2.
[16]. Litman T, Burwell D. Issues in sustainable transportation[J]. International Journal of Global Environmental Issues, 2006, 6(4): 331-347.
[17]. e.g., Pederson, et al, 2020
[18]. Deng X, Cheng X. Can ESG indices improve the enterprises’ stock market perfor- mance?—An empirical study from China[J]. Sustainability, 2019, 11(17): 4765.
[19]. Stotz O. Expected and realized returns on stocks with high-and low-ESG exposure[J]. Journal of Asset Management, 2021, 22(2): 133-150.
[20]. Gerard B. ESG and socially responsible investment: A critical review[J]. Beta, 2019, 33(1): 61-83.
[21]. Plagge J C, Grim D M. Have investors paid a performance Price? Examining the behavior of ESG equity funds[J]. The Journal of Portfolio Management, 2020, 46(3): 123-140.
[22]. Zhang X, Zhao X, He Y. Does it pay to be responsible? The performance of ESG investing in China[J]. Emerging Markets Finance and Trade, 2022: 1-28.
[23]. Al Hawaj A Y, Buallay A M. A worldwide sectorial analysis of sustainability reporting and its impact on firm performance[J]. Journal of Sustainable Finance & Investment, 2022, 12(1): 62-86.
Cite this article
Qin,K. (2023). ESG Rating, Investor Attention, and Stock Returns in China December 2022. Advances in Economics, Management and Political Sciences,22,305-313.
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References
[1]. AMAC. Special Survey Report on ESG Investment in China's Fund Indus- try(2019)(Chinese). From:
[2]. https://www.amac.org.cn/researchstatistics/report/gmjjhybg/202003/P02020033070643000 8626.pdf
[3]. Pástor Ľ, Stambaugh R F, Taylor L A. Sustainable investing in equilibrium[J]. Journal of Financial Economics, 2021, 142(2): 550-571.
[4]. Pástor Ľ, Stambaugh R F, Taylor L A. Dissecting green returns[J]. Journal of Financial Economics, 2022, 146(2): 403-424.
[5]. Hong H, Kacperczyk M. The price of sin: The effects of social norms on markets[J]. Jour- nal of financial economics, 2009, 93(1): 15-36.
[6]. Garvey G T, Iyer M, Nash J. Carbon footprint and productivity: does the “E” in ESG cap- ture efficiency as well as environment[J]. J Invest Manag, 2018, 16(1): 59-69.
[7]. In S Y, Rook D, Monk A. Integrating alternative data (also known as ESG data) in invest- ment decision making[J]. Global Economic Review, 2019, 48(3): 237-260.
[8]. Times F. The ethical investment boom. James Kynge, September 7[J]. 2017
[9]. Bennani L, Le Guenedal T, Lepetit F, et al. How ESG Investing has impacted the asset pricing in the equity market[J]. Available at SSRN 3316862, 2018.
[10]. Pedersen L H, Fitzgibbons S, Pomorski L. Responsible investing: The ESG-efficient fron- tier[J]. Journal of Financial Economics, 2021, 142(2): 572-597.
[11]. Bolton P, Kacperczyk M. Do investors care about carbon risk?[J]. Journal of financial economics, 2021, 142(2): 517-549.
[12]. Fama, Eugene F., and Kenneth R. French. "The cross‐section of expected stock returns." the Journal of Finance 47.2 (1992): 427-465.
[13]. Maruthi G D, Rashmi R. Green Manufacturing: It's Tools and Techniques that can be im- plemented in Manufacturing Sectors[J]. Materials Today: Proceedings, 2015, 2(4-5): 3350- 3355.
[14]. Omer A M. Energy, environment and sustainable development[J]. Renewable and sustain- able energy reviews, 2008, 12(9): 2265-2300.
[15]. Bridge G. Contested terrain: mining and the environment[J]. Annual review of Environ- ment and Resources, 2004, 29: 0_2.
[16]. Litman T, Burwell D. Issues in sustainable transportation[J]. International Journal of Global Environmental Issues, 2006, 6(4): 331-347.
[17]. e.g., Pederson, et al, 2020
[18]. Deng X, Cheng X. Can ESG indices improve the enterprises’ stock market perfor- mance?—An empirical study from China[J]. Sustainability, 2019, 11(17): 4765.
[19]. Stotz O. Expected and realized returns on stocks with high-and low-ESG exposure[J]. Journal of Asset Management, 2021, 22(2): 133-150.
[20]. Gerard B. ESG and socially responsible investment: A critical review[J]. Beta, 2019, 33(1): 61-83.
[21]. Plagge J C, Grim D M. Have investors paid a performance Price? Examining the behavior of ESG equity funds[J]. The Journal of Portfolio Management, 2020, 46(3): 123-140.
[22]. Zhang X, Zhao X, He Y. Does it pay to be responsible? The performance of ESG investing in China[J]. Emerging Markets Finance and Trade, 2022: 1-28.
[23]. Al Hawaj A Y, Buallay A M. A worldwide sectorial analysis of sustainability reporting and its impact on firm performance[J]. Journal of Sustainable Finance & Investment, 2022, 12(1): 62-86.