随着社会对可持续发展的重视，环境、社会责任和公司治理（ESG）理念在企业经营和投资决策中扮演着越来越重要的角色。ESG投资就是将环境、社会和公司治理因素纳入投资策略，目前国际上广泛使用的ESG投资策略主要包括ESG筛选、ESG整合、可持续主题投资等几大类。作为衡量企业ESG表现的重要工具，ESG评分成为投资者决策的重要参考。然而，由于ESG评级依赖于非标准化的企业报告和第三方评估，不同机构对同一公司的ESG评分存在显著分歧，这对投资者依赖单一ESG评分进行股票筛选构成了挑战。本文旨在探讨ESG评级分歧对股票投资回报的影响，通过引入ESG评级分歧因子，优化仅基于评分的ESG投资策略，以提高投资绩效和风险控制能力。

本文基于2011-2023年A股上市公司数据，采用面板回归分析和投资组合构建方法展开研究。首先，通过搜集五家主流评级机构的ESG评分数据，计算不同机构之间的ESG评级分歧，并利用面板回归模型检验ESG评级分歧对股票收益率的影响，研究发现，ESG评级分歧显著降低了股票回报率，且这一结论在替换变量、改变样本周期和内生性检验中均表现稳健。接着，基于ESG筛选和ESG整合两种投资策略，分别构建了仅基于ESG评分的对照组投资组合和引入ESG评级分歧的优化组投资组合，通过比较不同投资组合的绩效，本文发现，综合考虑ESG评分和ESG评级分歧的投资组合在夏普比率、特雷诺指数和詹森α等绩效指标上表现更优。例如，ESG筛选策略月收益率从0.91%提高到1.31%，ESG整合策略月收益率从-0.01%提高到0.17%。此外，本文还基于沪深300成分股进行了稳健性检验，得出了类似的结论。

基于研究结果，本文建议在构建投资组合时应综合考虑ESG评分和ESG评级分歧，以识别市场低估的公司或避免高估风险的公司，从而有效管理ESG风险并提高超额收益。本文还从政府、ESG评级机构、企业和投资者的角度提出了关注和解决ESG评级分歧的对策建议，以促进ESG投资的进一步发展和完善。

With the increasing emphasis on sustainable development in society, environmental, social responsibility, and corporate governance (ESG) concepts are playing an increasingly important role in business operations and investment decisions. ESG investment refers to incorporating environmental, social, and corporate governance factors into investment strategies. Currently, the widely used ESG investment strategies internationally mainly include ESG screening, ESG integration, and sustainable themed investments. As an important tool for measuring a company's ESG performance, ESG ratings have become a crucial reference for investors' decision-making. However, due to the reliance of ESG ratings on non standardized corporate reports and third-party evaluations, there are significant differences in the ESG ratings of the same company among different institutions, which poses a challenge for investors to rely on a single ESG rating for stock screening. This article aims to explore the impact of ESG rating divergence on stock investment returns, by introducing ESG rating divergence factors and optimizing rating based ESG investment strategies to improve investment performance and risk control capabilities.

This article is based on data from A-share listed companies from 2011 to 2023, and uses panel regression analysis and investment portfolio construction methods to conduct research. Firstly, by collecting ESG rating data from five mainstream rating agencies, the ESG rating divergence between different agencies was calculated, and a panel regression model was used to test the impact of ESG rating divergence on stock returns. The study found that ESG rating divergence significantly reduced stock returns, and this conclusion was robust in replacing variables, changing sample periods, and endogeneity tests. Subsequently, based on two investment strategies of ESG screening and ESG integration, a control group investment portfolio solely based on ESG ratings and an optimization group investment portfolio incorporating ESG rating divergence were constructed. By comparing the performance of different investment portfolios, this study found that the investment portfolio that comprehensively considers ESG ratings and ESG rating divergence performed better on performance indicators such as Sharpe ratio, Treynor index, and Jensen alpha. For example, the monthly return rate of ESG screening strategy increased from 0.91% to 1.31%, and the monthly return rate of ESG integration strategy increased from -0.01% to 0.17%. In addition, this article also conducted a robustness test based on the Shanghai and Shenzhen 300 constituent stocks and reached similar conclusions.

Based on the findings, this paper suggests that ESG scores and ESG rating divergence should be considered comprehensively when constructing portfolios to identify companies that are underestimated by the market or avoid companies with overestimated risks, so as to effectively manage ESG risks and enhance excess returns. This paper also proposes countermeasures to focus on and resolve ESG rating divergence from the perspectives of the government, ESG rating agencies, corporations and investors, in order to promote the further development and improvement of ESG investment.

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