A Study on the Relationship Between ESG Performance and Stock Returns – Take A-share Listed Company Stocks as the Example

With the transition of the global economy to sustainable development, ESG investment has received wide attention and recognition from the capital market. However, the relationship between ESG and stock returns has not yet reached a consistent conclusion. Therefore, this paper examines the relationship between ESG performance and stock returns using data from A-share listed companies from 2009–2021 as the research sample. The findings show that ESG performance of A-share listed companies in the last 13 years has a negative relationship with stock return, among which the performance of E has the weakest degree of negative impact on stock returns. Through further analysis, it is found that the performance of ESG in carbon-intensive industries has a weaker degree of negative impact on stock return compared to low-carbon industries. This finding still holds after the robustness test. Therefore, for the high-carbon industry, actively improving ESG performance can help it achieve sustainable development.