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October 20, 2025Open Access

The Impact of ESG Levels on Equity Asset Pricing: An Analysis Based on Multi-Factor and Extended Models

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PZPengfei Zhang

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Overview

Analysis reveals a significant negative ESG factor premium in China's equity market, suggesting ESG levels influence investment decisions.

Key Points

  • Significant negative ESG factor premium effect observed in China's A-share market.
  • Empirical results indicate the ESG factor impacts equity pricing, differing from findings in the U.S. market.
  • Research incorporates ESG levels into the traditional Fama-French six-factor model for deeper insights.
  • Correcting for omission bias enhances understanding of market anomalies related to ESG levels.

Cite This Study

Pengfei Zhang (2025) studied this question.

synapsesocial.com/papers/68f5fcdc8d54a28a75cf2581https://doi.org/10.63887/jber.2025.1.6.16
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Also Consider

Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context:

  1. 1Impact of ESG Preferences on Investors in China’s A-Share Market2025
  2. 2ESG Investing in China Stock Market: An Empirical Study Based on Three-factor Model2024
  3. 3The Impact of Firms’ ESG Performance on the Holding Decisions of Institutional Investors: Evidence from Chinese Publicly Listed Companies2026
  4. 4Does the Market Value Corporate ESG Ratings? A Complex System Driven by Institutional Investors2026
  5. 5The Impact of ESG Indicators on Corporate Financial Performance: Evidence from Chinese Companies2025 · 3 citations