Green Finance and ESG Investment Return Analysis: Evidence from CSI 300 Constituent Stocks

Abstract

Against the backdrop of global efforts toward carbon neutrality, the European Union’s Carbon Border Adjustment Mechanism and China’s dual-carbon targets-peaking carbon emissions by 2030 and achieving carbon neutrality by 2060-have accelerated enterprises’ ESG transformation. This study investigates the relationship between ESG performance and investment returns in China’s green finance market, using CSI 300 constituent stocks from 2020 to 2024 as the research sample. Based on Bloomberg ESG ratings and stock price data, the samples are divided into high-ESG and low-ESG portfolios. The analysis calculates key indicators such as annualized return and volatility, and employs regression analysis to test for the existence of an ESG premium. In addition, Ningde Times is examined as a case study to illustrate how ESG optimization influences corporate financing costs. The findings reveal three key results. First, the average ESG rating of CSI 300 constituent stocks increased year by year during 2020-2024, reflecting enterprises’ growing emphasis on ESG practices. Second, the high-ESG portfolio outperformed the low-ESG portfolio, with annualized returns higher by 3.2%-5.1% and volatility lower by 1.8%-2.5%, indicating a significant ESG premium. Third, Ningde Times’ ESG initiatives, including battery recycling and enhanced employee welfare, lowered its financing interest rate by approximately 1.2 percentage points compared with the industry average. This study provides empirical evidence for investors seeking to construct ESG-oriented portfolios and offers policy implications for strengthening green finance support mechanisms.