中国资本市场对绿色投资认可吗？——基于绿色基金的分析

Guided by the principle of sustainable development, people have reached a consensus on ecological value of green investment. However, the challenge facing green investment is how to coordinate between profit-driven nature of the capital and environmental sustainability, in order to achieve a dual goal of environmental performance and financial returns.　　The green fund is one of the fastest-growing green investment vehicles in China’s green investment market, implying that Chinese institutional investors are beginning to incorporate environmental elements into their investment decisions. While the primary data in the green equity market is still quite limited and not comparable, green funds claimed as the door of green investment provide us a way to look into the performance of green investment. The benefits and risks of green funds under current market conditions can reflect the price discovery toward green asset investment in the Chinese capital market.　　This paper aims to explore returns and risks of green investment in the context of China, through the performance evaluation of green funds. It firstly systematically reviews the literature on green investment by following perspectives of environment finance, socially responsible investment and financial innovation. Then, based on a sample of 22 green funds which were founded during June 8th 2010 and Dec 31st 2016 for more than one year, it identifies the market benchmark and 22 non-green funds as a reference group, and assesses funds’ returns and risks, and risk-adjusted returns by using single factor and multifactor models （the Carhart four-factor model）. Furthermore, it analyzes profit sensitivity of fund investors （green investors）. It finds that: firstly, in the context of China, single-factor performance evaluation has suggested that green funds have lower risk-adjusted returns than market benchmark and traditional non-green funds; secondly, investment strategies and fund age have impacts on the performance of green funds; thirdly, as indicated by Carhart four-factor analysis, green funds’ profits are significantly worse than the market average; market risk, value and momentum factors can be more objective to explain the benefits of green funds; fourthly, profit sensitivity of green fund investors is not high.　　The contributions of this paper include as follows: firstly, it initiates a way to explore the development of green investment research from perspectives of environmental finance, socially responsible investment and financial innovation, aiming to facilitate a discussion on setting up a systematic research framework on emerging green investment; secondly, it is the first one in the literature to evaluate the performance of Chinese green funds; therefore, this paper has brought many new findings, contributing new and direct evidence for understanding green investment in China, as well as reference for policy making.