【MS】ESG and the Stock Market: Is ESG Exposure Systematic? ESG与股票市场：ESG风险敞口是否具备系统性特征？——景奎分享

科研基地组织前沿文献研读交流会，景奎针对2026年发表于国际运筹与管理科学顶刊Management Science的论文ESG and the Stock Market: Is ESG Exposure Systematic?进行主题分享。

文章探究企业环境、社会责任与公司治理（ESG）表现和股票市场整体收益率之间的关联性。研究基于38项细分ESG指标，构建了全域市场ESG综合指数。文章同时采用传统预测回归模型与两种前沿机器学习算法开展实证检验，结果表明：该ESG指数无论在样本内还是样本外，对大盘收益率均具备显著正向预测能力；现金流渠道与折现率渠道共同构成该预测效应的核心经济机制。在加入多重控制变量、变换实证设定后，核心结论依然稳健。文章创新性证实ESG存在显著的全域市场传导效应，既佐证了ESG风险在宏观经济层面的重要性，也凸显了政府在ESG治理体系中的核心职能。

ABSTRACT

We study the relation between firms' environmental, social, and governance (ESG) performance and the aggregate stock market returns. Based on 38 individual ESG measures, we construct a market-level ESG index. With both the traditional predictive regression approach and two recently developed machine-learning methods, we find that the ESG index has strong and positive predictive power on the market both in- and out-of-sample, and both the cash flow and discount rate channels are the economic drivers of predictability. Our results are robust to a number of controls and set-ups. Our novel finding on the significant market-wide impact of the ESG provides support for the economy-wide importance of the ESG risk and for the central role played by governments.