8495 
12719为了规避负面的环境风险，以证券投资基金为代表的机构投资者采用环境友好策略主动或被动地增持低环境风险资产或减持高环境风险资产，即进行投资组合的“绿化”。但“绿化”投资组合的挑战是如何协调机构投资者代客理财的中介属性（契约信托责任）与环境责任（非财务关注）的潜在矛盾，以实现资本投资的双重目标。文章依据和讯网上市公司环境绩效评分，采用不同强度的负向筛选策略，模拟构建（主动投资型）证券投资型基金的多层次绿色投资组合，研究显示：（1）文章构建的主动型绿色投资组合能够实现财务与“绿色”的双重目标；（2）主动型绿色投资与被动型绿色指数投资组合之间的财务绩效没有显著差异；（3）基于Carhart四因素模型，40%-50%的筛选强度投资组合获得显著高于最低筛选强度的财务绩效；（4）“绿色”投资组合的财务绩效随筛选强度的变化趋势呈现M形波动变化。文章为机构投资者的“绿化”转型提供决策依据。
中国股票市场“绿化”投资组合的策略选择研究
摘要
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引用本文
梁鑫鑫, 危平. 中国股票市场“绿化”投资组合的策略选择研究[J]. 上海财经大学学报, 2019, 21(3): 49-62.
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