Abstract
China's green financial system is developing towards the goal of green sustainability, which depends on the sustainable development of green enterprises. This paper identifies the green degree of enterprises from the perspective of enterprise green information disclosure, divides green enterprises and non green enterprises, and empirically tests whether there is green incentive in China's stock market, so as to judge whether China's stock market can allocate resources effectively. Firstly, based on the concept of green sustainable development, green factor and green efficiency factor are constructed, which are introduced into the three factor model of Chinese version respectively, and the four factor model of Chinese version is constructed. Secondly, take the A-share listed companies in Shanghai and Shenzhen from 2009 to 2021 as the sample for empirical analysis to study the green incentive phenomenon and influencing factors in China's stock market. It is found that the Chinese version of the four factor model can better fit China's stock market than the existing factor pricing model. There is a green incentive effect in China's stock market, that is, the stock market produces higher excess return for green enterprises, and the higher the green efficiency of enterprises, the higher the excess return.
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