Abstract
This paper selects the data publicly disclosed by 16 listed companies in the steel industry in China's stock market from 2015 to 2021, adds the green innovation investment factor to the traditional Fama-French three factor model, and constructs a Fama-French four factor model to conduct empirical test and regression analysis on the listed steel enterprises. Through the analysis results of the explanatory power of the four factor model to the company's stock return, this paper studies the impact of the company's green innovation investment on the company's stock return, and finds that there is an obvious positive correlation between the listed company's green innovation investment and the stock return. The research results will guide the inflow of capital into the green field, help traditional enterprises to increase investment in green innovation, transform to green industry, and promote the realization of the "double carbon" goal and industrial transformation and upgrading.
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