中国证券市场的绿色激励:一个四因素模型

doi:10.12094/1002-7246（2017）01-0145-17

Journal of Financial Research

2017, Vol. 439

Issue (1): 145-161 DOI: 10.12094/1002-7246（2017）01-0145-17

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Green Incentive in Chinese Securities Market: Four Factor Model

HAN Liyan, CAI Lixin, YIN Libo

School of Economics and Management,Beihang University;
School of Finance, Central University of Fiance and Economics

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Abstract We study whether green incentives work in Chinese securities market in term of green concept stocks with energy conservation and environmental protection technology. Based on the FF Three-Factor Model, we construct a Four-Factor Model by introducing a green factor. The empirical results show the green Four-Factor Model can explain the excess returns of green securities; relative to other stocks, risk premiums exist in green concept stock block, namely green incentive; However, China securities market has not yet distinguished efficiency levels of green technologies. Our conclusions would be meaningful for portfolio selection strategies in the new normal economy and imply Chinese securities market needs a more professional green rating system.

Key words： Energy Conservation and Environmental Protection Four-Factor Model Green Incentives

Received: 03 March 2016 Published: 18 January 2018

JEL分类号:	G12
	G38
	G14

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HAN Liyan,CAI Lixin,YIN Libo. Green Incentive in Chinese Securities Market: Four Factor Model[J]. Journal of Financial Research, 2017, 439(1): 145-161.

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http://www.jryj.org.cn/EN/10.12094/1002-7246（2017）01-0145-17 OR http://www.jryj.org.cn/EN/Y2017/V439/I1/145

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