|
|
Pure Mathematics 2024
基于预期损失测度ESG表现对新能源汽车行业风险承担的影响
|
Abstract:
新能源汽车行业蓬勃发展，风险承担成为该行业备受关注的研究话题，尤其是在ESG理念提出的背景下。本文以2018~2022年中国新能源汽车行业上市企业为研究对象，基于预期损失测度分析ESG表现对风险承担的影响。研究结果显示，提高ESG表现对降低预期损失有正向影响，其影响系数为0.197，并通过减少环境成本和股票质押风险等中介变量来降低预期损失。进一步研究发现，提高ESG表现对风险承担的影响具有异质性，相对于非国有企业、低ESG水平及高融资约束水平的企业，其对国有企业、高ESG水平和低融资约束水平企业的正向影响更加显著。本研究可为评估ESG表现对新能源汽车行业风险承担提供经验证据，也可为企业提升ESG表现和风险管理，以及为投资者制定更有效的投资策略和相关政策调整提供启示。
The rapid development of the NEV industry has made risk-taking a key research topic, especially in the context of the ESG concept. This study examines the impact of ESG performance on risk-taking among listed companies in China’s NEV industry from 2018 to 2022, using expected shortfall as a measure. The results indicate that improved ESG performance positively affects the reduction of expected shortfall, with an impact coefficient of 0.197, primarily through intermediaries such as reduced environmental costs and stock pledge risks. Further analysis reveals heterogeneity in the impact of ESG performance on risk-taking; it is more significantly positive for state-owned enterprises, companies with high ESG levels, and those with low financing constraints. This research provides empirical evidence for assessing the influence of ESG performance on risk-taking in the NEV industry and offers insights for enterprises to enhance their ESG practices.
| [1] | 陈梦龙, 樊骋, 吴志鹏. 新能源汽车行业股票价格预测研究——基于机器学习算法[J]. 吉林工商学院学报, 2024, 40(1): 93-100. https://doi.org/10.19520/j.cnki.issn1674-3288.2024.01.007 |
| [2] | 李超. 中国上市公司ESG实践经济效果的实证研究[D]: [博士学位论文]. 合肥: 中国科学技术大学, 2023. https://doi.org/10.27517/d.cnki.gzkju.2023.000152 |
| [3] | Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D. (1999) Coherent Measures of Risk. Mathematical Finance, 9, 203-228. https://doi.org/10.1111/1467-9965.00068 |
| [4] | 吴韫怡. 新能源汽车行业财务风险与管理控制研究[J]. 经济师, 2023(12): 76-77. |
| [5] | 岳晨. 基于ESG治理的新能源汽车行业信用风险研究[D]: [硕士学位论文]. 南京: 南京财经大学, 2024. https://doi.org/10.27705/d.cnki.gnjcj.2023.000395 |
| [6] | Zhou, Y., Huo, W., Bo, L., et al. (2023) Impact and Mechanism Analysis of ESG Ratings on the Efficiency of Green Technology Innovation. Finance Research Letters, 58, 104591. https://doi.org/10.1016/j.frl.2023.104591 |
| [7] | 李文, 胡雨欣, 廖昕. 新能源行业创新效率对股票价格的影响研究[J]. Operations Research and Fuzziology, 2023(13): 3621. |
| [8] | Broadstock, D.C., Chan, K., Cheng, L.T.W., et al. (2021) The Role of ESG Performance during Times of Financial Crisis: Evidence from COVID-19 in China. Finance Research Letters, 38, 101716. https://doi.org/10.1016/j.frl.2020.101716 |
| [9] | Atilgan, Y., Bali, T.G., Demirtas, K.O., et al. (2019) Global Downside Risk and Equity Returns. Journal of International Money and Finance, 98, 102065. https://doi.org/10.1016/j.jimonfin.2019.102065 |
| [10] | Kellner, R. and R？sch, D. (2016) Quantifying Market Risk with Value-at-Risk or Expected Shortfall?—Consequences for Capital Requirements and Model Risk. Journal of Economic Dynamics and Control, 68, 45-63. https://doi.org/10.1016/j.jedc.2016.05.002 |
| [11] | Acerbi, C. and Tasche, D. (2002) On the Coherence of Expected Shortfall. Journal of Banking & Finance, 26, 1487-1503. https://doi.org/10.1016/S0378-4266(02)00283-2 |
| [12] | Capelli, P., Ielasi, F. and Russo, A. (2021) Forecasting Volatility by Integrating Financial Risk with Environmental, Social, and Governance Risk. Corporate Social Responsibility and Environmental Management, 28, 1483-1495. https://doi.org/10.1002/csr.2180 |
| [13] | Prol, J.L. and Kim, K. (2022) Risk-Return Performance of Optimized ESG Equity Portfolios in the NYSE. Finance Research Letters, 50, 103312. https://doi.org/10.1016/j.frl.2022.103312 |
| [14] | 陈守东, 孔繁利, 胡铮洋. 基于极值分布理论的VaR与ES度量[J]. 数量经济技术经济研究, 2007(3): 118-124 133. |
| [15] | Bai, K., Jing, K. and Li, T. (2024) Corporate ESG Performance and Stock Pledge Risk. Finance Research Letters, 60, 104877. https://doi.org/10.1016/j.frl.2023.104877 |
