（来源：北京ESG研究院）
党的二十大报告明确提出“健全资本市场功能，提高直接融资比重”的战略要求，将资本市场改革置于现代化经济体系建设的关键位置。当前，ESG理念在资本市场投资决策、市场监管等方面越来越受到重视。现有研究较多关注ESG对企业收益率或长期价值创造的影响，而较少涉及其对极端市场风险的抑制作用。
The report of the 20th National Congress of the Communist Party of China clearly puts forward the strategic requirement of "improving the capital market function and increasing the proportion of direct financing", placing the reform of the capital market in a key position in the modern economic system. ESG principles and their potential implications for capital markets and regulations are paid more and more attent to by investors and regulators. While prior research has primarily focused on the relationship between ESG ratings and corporate returns or long-term value creation, its role in mitigating extreme market risks remains underexplored.
北京ESG研究院学术顾问刘凯教授、北京ESG研究院研究员王浩然进行了《企业ESG评级对股票最大回撤影响研究》（以下简称：研究）。该研究基于中国A股市场，探讨了企业环境、社会和治理（ESG）绩效对其股票市场表现的影响，以“最大回撤”这一尾部风险指标为核心，填补了相关学术空白，为“建设中国特色现代金融体系”提供了重要实证支持。
Professor Liu Kai, Academic Advisor, Beijing National Institute of ESG and Wang Haoran, researcher, Beijing National Institute of ESG conducted the research on the of Research on the Impact of Corporate ESG Ratings on Stock Maximum Drawdown(hereinafter referred to as the research).The research investigates the impact of corporate Environmental, Social, and Governance (ESG) ratings on stock market performance in China’s A-share market, using maximum quarterly drawdown as the primary measure of stock market stability. To address this gap, this study employs maximum drawdown, a more representative measure of tail risk, provided important empirical support for "building a modern financial system with Chinese characteristics".
核心假说
研究基于2009-2023年华证ESG评级数据及沪深A股上市公司财务数据，采用双向固定效应模型、工具变量法及机器学习（Lasso、随机森林）等方法，提出并验证了三项核心假说：
The research, based on the 2009-2023 WACC ESG rating data and financial data of A- listed companies in Shanghai and Shenzhen, employs a two-way fixed effects model, instrumental variable method, and machine learning (Lasso, random forest), etc., propose and verify three core hypotheses:
1. 企业高ESG评级可降低股票最大回撤
实证显示，ESG评级每提升1级，季度最大回撤平均下降0.34个百分点，且该效应在国有企业及低现金流企业中更为显著。
Firms with higher ESG ratings experience lower maximum drawdowns: The empirical analysis shows that the ESG rating has a significant impact on reducing the maximum quarterly drawdown. The average quarterly maximum drawdown decreases by 0.3 percentage points for each increase of 1 level in the ESG rating, and this effect is more significant in state-owned enterprises and companies with low cash flows.
2. 长期机构投资者偏好是关键传导机制
高ESG企业通过吸引ESG基金等长期资金，形成“流动性锚定”效应，抑制市场恐慌性抛售。
Long-term institutional investor preference serves as a transmission mechanism linking ESG ratings to improved stock performance: High-ESG companies attract long-term capital such as ESG funds and form a "liquidity anchor" effect, which suppresses panic selling in the market.
3.降低信息不对称是ESG评级稳定股票市场表现的路径
ESG信息披露通过降低投资者认知偏差，减少非流动性风险，从而稳定股价。
Reduced information asymmetry is a key channel through which ESG ratings enhance stock market stability: ESG information disclosure can stabilize stock prices by reducing investor cognitive bias and liquidity risk.
实证结果显示，ESG评级与股票最大回撤之间存在显著负相关关系，支持了企业高ESG评级可降低市场极端风险的假说。进一步的机制检验表明，ESG评级主要通过吸引长期机构投资者持股和降低市场信息不对称性发挥作用。这表明，高ESG评级企业由于其更透明的市场信息披露、更稳定的治理结构和更符合长期投资者偏好的经营模式，能够降低市场波动，缓解极端市场条件下的投资风险。
The empirical findings reveal a significant negative relationship between ESG ratings and maximum drawdown, supporting the hypothesis that firms with strong ESG ratings are less exposed to extreme market risks. Further analysis indicates that this effect is primarily driven by the ability of ESG-oriented firms to attract long-term institutional investors and reduce market information asymmetry. These firms benefit from more transparent information disclosure, stronger governance structures, and business strategies aligned with long-term investor preferences, thereby reducing market volatility and mitigating risks during extreme market conditions.
政策建议
研究发现，ESG评级不仅影响企业经营状况，还能通过降低市场风险提升股票市场的稳定性，为投资者提供更优的风险管理策略。基于此，研究提出三点政策建议：
The research findings ESG ratings not only influences corporate financial health but also enhances stock market stability by mitigating market risks, offering investors improved risk management strategies. Accordingly, this study proposes three policy recommendations:
一是鼓励政府、企业和投资者共同推动ESG体系发展，以提高市场透明度和投资者信心；
二是建设符合中国经济特点的ESG标准体系，完善ESG信息披露机制，并确保其数据质量和可比性；
三是加强ESG信息披露的监管力度，为资本市场的稳定运行提供制度保障。
(1) fostering collaboration between governments, corporations, and investors to advance ESG frameworks, thereby enhancing market transparency and investor confidence;
(2) establishing ESG standards tailored to China’s economic landscape, improving disclosure mechanisms, and ensuring data quality and comparability;
(3) strengthening regulatory oversight of ESG disclosures to bolster market transparency and provide institutional safeguards for stable capital markets.
《企业ESG评级对股票最大回撤影响研究》为理解ESG与资本市场稳定性关系提供了新视角，并为监管部门完善强制披露制度、企业践行可持续发展、投资者优化资产配置提供了直接决策依据，对推动资本市场“晴雨表”与“造血机”功能协同实现具有重要意义。
Research on the Impact of Corporate ESG Ratings on Stock Maximum Drawdown rating on the maximum stock drawdown provides a new perspective for understanding the relationship between ESG and the stability of the market, and provides a direct decision-making basis for regulatory departments to improve the mandatory disclosure system, enterprises to practice sustainable development, and investors to optimize asset allocation, which is of significance for promoting the coordinated realization of the "barometer" and "blood-making machine" functions of the capital market.
本期研究报告扫码下载
https://bohao.wsqytec.com/link.html?type=f&id=1d8a3de949654838850fa407da7baa8f
刘 凯
北京ESG研究院学术顾问
中国人民大学经济学院教授
王浩然
北京ESG研究院研究员
中国人民大学经济学院硕士毕业生
北京ESG研究院主编的全国首部ESG信息披露指南手册——《环境、社会、治理（ESG）信息披露操作手册》现已正式发售。
