Author(s)

Zhimei Zhao ¹

Affiliation(s)

¹ PBC School of Finance, Tsinghua University, Beijing, China

Corresponding Author

Zhimei Zhao

ABSTRACT

In recent years, driven by regulators around the world, ESG's investment philosophy has been deepened and specialized, and has gradually become a mainstream investment strategy. Our government attaches great importance to green, low-carbon and high-quality development, and has successively issued many ESG related policies. We will briefly discuss the development of ESG investment in the domestic market, and use Fama-French five factor model to explain the excess return of ESG theme funds. Based on statistical analysis and empirical research results, it will provide valuable reference for investors, investment institutions and regulators of ESG theme funds in China. 

KEYWORDS

ESG rating, ESG thematic fund, five-factor model, performance, risk return

CITE THIS PAPER

Zhimei Zhao, The Performance of ESG Thematic Fund in China. Financial Engineering and Risk Management (2022) Vol. 5: 37-50. DOI: http://dx.doi.org/10.23977/ferm.2022.050706.

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