中國社會責任投資績效分析 —以ESG 40指數為例

企業在追尋利益最大化的同時，經常忽視自身應當承擔的社會責任，甚至給社會帶來許多負面問題。世界衛生組織提出可持續發展目標，也是在向我們發出警示。眼下中國公司對於企業社會責任報告的披露還處於起步階段，眾多企業認為企業社會責任與其最大化利潤的目標是背道而馳的。上市公司的不重視也造就了投資者的不關注，因此社會責任投資在中國的發展道路也是荊棘塞途的。本文通過查閱中英文大量文獻中梳理出企業社會責任與社會責任投資不斷發展的歷程，之後再進一步比較分析了社會責任投資指數 ESG 40與上證綜合指數，上證380指數，上證180指數，上證50指數和上證150指數之績效表現。本研究採用了夏普指標、特雷諾指標以及詹森指標，對樣本2012年4月至2019年12月的週資料進行分析。研究結果表明，ESG 40指數的績效表現並沒有比國內現有明星指數更優秀，但相較來看也並沒有明顯差異。本文認為未来社會責任投資概念應受到多方的認可和重視，社會責任投資指數的前景不容小覷的。

關鍵字

企業社會責任；社會責任投資；夏普指標；特雷諾指標；詹森指標

並列摘要

While pursuing profit maximization, enterprises often neglect their social responsibilities and even bring many negative problems to the society. The world health organization's sustainable development goals are a cautionary tale. At present, the disclosure of Corporate Social Responsibility (CSR) report by domestic companies is still in its infancy. Many enterprises believe that CSR runs counter to the goal of maximizing profits. The lack of attention from listed companies also causes investors to ignore this issue. This study first sorted out the progress of CSR and Social Responsibility Investment (SRI) from a large number of literatures. Second, this paper further analyzes the performance of CSR investment index ESG 40, SSE Composite Index, SSE 380 index, SSE 180 index, SSE 50 index and SSE 150 index. In this study, Sharpe index, Traynor index and Jensen index are used to examine the weekly data of samples from April 2012 to December 2019. The results are mixed. Although the performance of China ESG 40 index is no better than those of the benchmark indices, there are no significant differences. We hope that the concept of socially responsible investment in the future should be recognized and valued by many parties, and the prospect of socially responsible investment index will not be underestimated.