基于EIO-LCA方法的证券投资组合的碳绩效研究

管理评论 ›› 2021, Vol. 33 ›› Issue (4): 24-39.

基于EIO-LCA方法的证券投资组合的碳绩效研究

危平, 舒浩

中南大学商学院, 长沙 410083

收稿日期:2018-10-22 出版日期:2021-04-28 发布日期:2021-05-06
通讯作者: 舒浩（通讯作者），中南大学商学院博士研究生
作者简介:危平，中南大学商学院教授，博士生导师，博士。
基金资助:
湖南省自然科学基金面上项目（2019JJ40389）；湖南省社会科学基金一般项目（18YBA432）。

Evaluation of Carbon Performance of Stock Portfolio: An Analysis Based on the EIO-LCA Method

Wei Ping, Shu Hao

School of Business, Central South University, Changsha 410083

Received:2018-10-22 Online:2021-04-28 Published:2021-05-06

摘要/Abstract

摘要： 在可持续发展思想的指导下，人们对绿色投资的生态价值达成共识。但对投资组合的环境绩效的量化评估缺乏深入研究和解释。本文关注证券投资组合的碳绩效评估方法及其在投资决策中的应用。本文构建了投资组合的环境象限矩阵，分析了投资组合的财务收益与环境绩效的关系，提出一个基于EIO-LCA方法、能适用于中国的对投资组合碳绩效评价的框架，并选取基于股票指数的代表性传统投资组合和绿色投资组合进行实证检验。本文既有投资组合2012年的静态碳足迹评估，也有2012—2015年期间的动态变化评估。最后，计算的投资组合的单位投资碳强度，可以直接用于投资组合的“绿化”决策。本研究旨在推进金融资产的环境绩效评估的理论和方法思考。

关键词: 绿色金融, 绿色投资, 证券投资组合, 碳绩效

Abstract: Guided by the principle of sustainable development, a consensus on ecological value of green investment has been reached. However, there is limited attention on evaluating environmental performance of investment portfolio. This paper focuses on the method of evaluating carbon performance of stock portfolio and its empirical application. An environmental matrix is set up to assess the relations between environmental performance and financial returns of portfolio. The method of EIO-LCA is adopted to examine carbon performance of chosen traditional and green portfolios. Its dynamic changes over 2012-2015 is traced down. Finally, the calculation of carbon footprint by unit investment is used for “green” investment decisions. The study brings many new findings, contributing new and direct evidences to understanding green investment in China, as well as references for institutional decision makings towards greener investors. The study aims to contribute to theoretical and methodological thinking in evaluating environmental performance of various financial assets.

Key words: green finance, green investment, stock portfolio, carbon performance

危平, 舒浩. 基于EIO-LCA方法的证券投资组合的碳绩效研究[J]. 管理评论, 2021, 33(4): 24-39.

Wei Ping, Shu Hao. Evaluation of Carbon Performance of Stock Portfolio: An Analysis Based on the EIO-LCA Method[J]. Management Review, 2021, 33(4): 24-39.

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