Zize Wei

Model selection, market capitalization heterogeneity and ESG asset pricing: an empirical study of Chinese A-shares under the LSY four-factor framework

This study investigates whether factor-model selection drives the mixed evidence on ESG pricing in China's A-share market, where "green discount" and "green premium" coexist. Taking the Liu–Stambaugh–Yuan (LSY) four-factor model as the benchmark pricing framework and combining Shangdao Ronglv ESG ratings with CSMAR dat...