10月26日-27日，Betvictor中文版國家金融研究院綠色金融發展研究中心與瑞典延雪平大學國際商學院共同舉辦了 “2019 年綠色金融國際學術研讨會”（Workshop  on Green Finance and ESG Analysis）。 本次會議得到了央行和監管機構綠色金融網絡、北京綠色金融協會和可持續金融和投資全球研究網絡協辦的支持。來自國内外十餘所大學的專家、教授在會上發表了高水平的論文演講，入選本次研讨會的所有論文都基于數據和模型分析。來自中國人民銀行、銀保監會、金融機構和第三方服務公司的數十名國内外專家也參加了發言和讨論。

 

綠色金融與ESG分析研讨會現場

綠色金融政策對話現場

     本次研讨會以綠色金融及ESG分析為主題。會上發表的學術論文涵蓋了美國環境監管與政治獻金的關系、ESG偏好與市場有效性、ESG表現的決定因素、中國上市公司環境表現與違約風險、自然災害與投資者情緒、綠色科技企業的融資約束、環境競争優勢與企業績效、企業社會責任表現在供應鍊上的傳導、物理風險對我國沿海城市房貸違約率的影響等議題。

綠色金融發展研究中心主任馬駿博士緻開幕辭

     綠色金融發展研究中心主任馬駿博士與瑞典延雪平大學安德雷亞斯·施戴芬（Andreas Stephan）教授擔任會議的共同主席。馬駿在主題演講中介紹了全球綠色金融發展的前沿進展。馬駿表示，中國綠色金融在最近幾年取得了長足的進展，在标準制定、激勵機制和産品創新方面都走在了國際前列，但還有許多問題沒有解決，需要學術界在環境風險分析、強化環境信息披露和開發綠色指數産品等方面更多地參與和推動。

綠色金融發展研究中心主任馬駿博士與延雪平大學教授安德雷亞斯·史戴芬參與論文點評與讨論環節

延雪平大學教授安德雷亞斯·史戴芬參與論文點評與讨論環節

 

延雪平大學教授Andreas Stephan就綠色科技企業的融資約束作學術報告

     研讨會還安排學術專家與中國銀保監會巡視員葉燕斐和中國人民銀行研究所副所長雷曜就中國綠色金融政策進行了對話，并與标普、穆迪評級和明晟的專家就ESG指數編制和環境壓力測試、情景分析等内容進行了座談。

中國銀行保險監督管理委員會政策研究局巡視員葉燕斐就綠色金融政策進行讨論

 

中國人民銀行金融研究所副所長雷曜就綠色金融政策進行讨論

會議主要學術成果摘要

Abstract

•Corporate Political Connections and Favorable Environmental Regulation

Amanda Heitz, Tulane University

Youan Wang, The University of Hong Kong

Zigan Wang, The University of Hong Kong

We examine whether the Environmental Protection Agency (EPA) uniformly enforces the Clean Air Act for politically connected and unconnected firms using a close election setting. We find no difference in regulated pollutant emissions or EPA investigations between the two groups, though connected firms experience less regulatory enforcement and lower penalties. These results are more pronounced for firms connected to politicians capable of influencing regulatory bureaucrats and for connected firms that are more important to their supported politicians. Taken together, our results show that campaign contributions can indirectly benefit firms by way of reduced environmental regulatory enforcement and penalties.

Key Words: political connections, elections, regulation                                                                                                                                      

• ESG Preference and Market Efficiency: Evidence from Mispricing and Institutional Trading

Jie (Jay) Cao, The Chinese University of Hong Kong

Sheridan Titman, The University of Texas at Austin

Xintong (Eunice) Zhan, The Chinese University of Hong Kong

Weiming (Elaine) Zhang, The Chinese University of Hong Kong

We explore how the trend towards socially responsible investing affects the informational efficiency of stock prices. The return predictability of mispricing signals is much stronger among firms held by more socially responsible institutions (SR_Is). The results are driven by the divergence of trading implications from ESG performance and mispricing signals. SR_Is are less likely to buy underpriced stocks with bad ESG performance or sell overpriced stocks with good ESG performance. We rule out alternatives, such as known limits to arbitrage. The inefficiency only emerges in recent years with the rise of ESG investing, and is not fully offset by ESG-neutral arbitrageurs due to funding liquidity constraints. We explore how the trend towards socially responsible investing affects the informational efficiency of stock prices. The return predictability of mispricing signals is much stronger among firms held by more socially responsible institutions (SR_Is). The results are driven by the divergence of trading implications from ESG performance and mispricing signals. SR_Is are less likely to buy underpriced stocks with bad ESG performance or sell overpriced stocks with good ESG performance. We rule out alternatives, such as known limits to arbitrage. The inefficiency only emerges in recent years with the rise of ESG investing, and is not fully offset by ESG-neutral arbitrageurs due to funding liquidity constraints.

Keywords: Socially responsible institutions; stock mispricing; ESG preference; market efficiency

• The Determinants of ESG Rating Changes

Dragon Yongjun Tang, The University of Hong Kong

Jiali Yan, Lancaster University

Chelsea Yaqiong Yao, Lancaster University

Environmental, Social and Governance (ESG) ratings are becoming important assessment tools for corporations and are widely used by impact investors. However, little is known about their construction and objectiveness. We examine the determinates of ESG rating changes. We show that larger firms have better ESG ratings. Firms connected the rating agency are rated higher. For example, when an institutional investor becomes a major shareholder of an ESG rating agency, this rating agency is likely to give higher rating to other portfolio companies hold by the same institutional investor. Further we find that negative ESG information of connected firms is often not incorporated into ratings.

Keywords: ESG, Rating agencies, Conflict of interest, Ownership structure

• Corporate Environmental Responsibility and Default Risk: Evidence from Chinese Listed Firms

Yi-Cheng Shih, National Taipei University

Yao Wang, International Institute of Green Finance Central University of Finance and Economics

Yi-Ming Ma, Central University of Finance and Economics

Rui Zhong, UWA Business School University of Western Australia

This study investigates the influence of corporate environmental responsibility on the default risk of listed firms in China. We adopt a comprehensive dataset to measure a firm’s environmental performance. We find a significant and negative impact of environmental performance on the default risk of a firm. This finding is robust after controlling for potential endogeneity concerns using instrumental variables regressions and placebo tests. Further, we find that the negative relationship between environmental performance and default risk is more pronounced for firms with high systematic risk, weak fundamentals, severe pollution, and high energy consumption. Our findings cast light on the role of environmental factors on corporate credit risk profiles.

Keywords: Corporate Environmental Responsibility; Green Income; Corporate Default Risk

•Nature Disasters and Investor Sentiment: A Forward-looking and Cross-country Perspective

Ping Wei, Central South University

Xiaodan Mao, Central South University

Yunfeng Zhao, Central South University

Hui Li, University of Birmingham

Xiaohong Chen, Central South University

VIX index provides a valuable point to bring a forward-looking perspective into research on natural disasters and investor sentiment. Using a sample of 1164 natural disasters from ten countries and the ARMA-GARCH and GARCH-MIDAS models, this paper carry out a cross-country investigation on the relationship between natural disaster and investor sentiment (as proxy by VIX). The results show that the occurrence of natural disasters will generally lead to an increase in VIX, indicating investors' expectations of future volatility and panic of investor sentiment after natural disaster shocks. The effect is most significant for geophysical and meteorological disasters. The response of VIX to natural disasters differs across countries affected by geographical vulnerability of natural disasters and level of national financial market development. The results demonstrate that investor sentiment is more likely impacted by disasters shocks in countries with higher level of financial markets measured by private credit and insurance penetration and countries with lower exposure to natural disasters. Finally, the impact of natural disasters on VIX shows a short-term effect, but does not have long-term implications.

Keywords: Climate Risk; Natural disasters; investor sentiment; VIX index; volatility; GARCH

•Internationalization, Environmental Competitive Advantage, and Firm Performance

Incheol Kim, The University of Texas Rio Grande Valley

Christos Pantzalis, University of South Florida

Zhengyi Zhang, Capital University of Economics and Business

When do MNCs derive the most from internalizing the transfer of proprietary knowhow? We revisit this question that lies at the core of theories on multinationality and performance from the perspective of corporate strategy involving the mix of, on one hand, green versus non-green innovation effort, and on the other hand, a foreign operations focus in countries with high versus low environmental standards. We find that a high exposure to in foreign markets with more (less) stringent environmental regulations stimulates MNCs’ green patent applications. We further show that a large percent of sales in foreign markets with more (less) stringent environmental regulations is associated with lower (higher) market valuation. MNCs’ environmental competitive advantage obtained through green innovation activities increases firm value in the long run. Overall, our study highlights that green technology development is a main source of value creation for corporate internationalization.

Keywords: Multinationality, environmental regulations, green innovation, firm value

•Financial Constraints of Firms with Environmental Innovation

Febi Jensen, University of Gothenburg

Dorothea Schäfer, Jönköping University

Andreas Stephan, Jönköping University

Using the Mannheim Innovation Panel, we explore whether Environmental Innovator Firms (EIFs) have higher financial needs and are more financially constrained than Non-Environmental Innovator firms (OIFs). We find that EIFs are more likely to have higher latent financial need in comparison to OIFs. This implies that EIFs have latent projects that they have not yet realized, but would implement if they had the financial means to do so. EIFs adopting environmental technologies have higher financial needs compared to firms that do not. One tentative conclusion from this finding is that public subsidies might mitigate the financial restrictions of environmental innovation.

Keywords: Environmental Innovation, Innovation Capability, Funding gaps, Financing Restrictions

• When does it Pay to Serve a Socially Responsible Customer?

Jing Li, Tsinghua University

Jiong Sun, Purdue Univeristy

This paper revisits the relationship between a firm’s social performance and firm value along the supply chain. Specifically, we document the reference role of a major customer’s social performance in the financial market’s assessment of a firm’s social performance. Consistently with modern stakeholder theory, our analysis reveals that a firm enjoy valuation enhancement when it CSR practices consistent with its major customer. Moreover, the magnitude of this reference role is more pronounced when the major customer has more bargaining power. These novel findings add to the understanding of the conditions under which corporate social responsibility activities enhance firm value.

Keywords: corporate social responsibility, firm value, supply chain, stakeholder

• Estimating the Impact of Physical Climate Risks on the Probability of Default (PD) of Mortgage Loans in the Coastal Cities of China

Tianyin Sun, Tsinghua University

Aznar Siguan Gabriela, ETH Zurich

A growing consensus among the academic community and the financial sector is that risks brought by climate change are becoming new sources of financial risks. A primary measure of managing these risks and ensuring sound financial decision-making is quantifying these risks. However, around the world, the development of methodologies quantifying these risks effectively and accurately is in its infancy stage, while methodologies and capacities of quantification applicable to financial practices are largely missing. We present here a methodology framework that quantifies physical climate risk on the PD of bank loans. We apply this methodology in estimating the impact of typhoon on the PD of mortgage loans in 40 major coastal cities of China, for which the exacerbation effect of climate change on future intensity of typhoon is considered. As a result, the expected future annual value losses of real estate collateral are estimated and linked further to loan-to-value to estimate the delta PD values explicitly induced by future exacerbated scenarios of typhoon events. The findings from this analysis is that the impact on PD of bank loans by climate change exacerbated future typhoon events could be considerable.

Keywords: climate physical risk, PD of bank loans, typhoons, coastal cities of China, mortgage loans, loan-to-value