ESG投资理念自其被提出以来，在国际资本市场中已经获得了长足的发展；在我国，ESG投资理念被投资者和企业的重视程度也逐渐提升，同时也已经建立起了较为完善的ESG评级体系。本文主要利用企业的ESG表现（及其子维度表现）评级信息，通过建立多空投资策略组合的方式，发现关注环境表现评分的投资组合能够在市场中获得超额收益，并且创新型地指出了A股市场中环境评分投资组合超额收益与应计异象的关系。控制Fama-French三因子对多空投资策略组合月度收益进行回归分析的结果显示，关注企业环境表现评分的多空投资策略组合能够在控制Fama-French三因子的情况下Alpha仍然显著异于0，而关注ESG综合评分、社会责任评分、公司治理评分以及争议事件评分的投资策略都不能够获得超额收益。异质性分析发现，大市值公司相比小市值公司在关注企业环境表现评分的投资策略中能够获得更多的超额收益，而高现金流企业相比低现金流企业、低资产负债率企业相比高资产负债率企业在该投资策略中的超额收益不存在显著差异。同时低污染行业组的投资组合能够获得显著的超额收益，而重污染行业组则不能。通过引入其他“市场异象”的方式进行机制分析发现，SA指数因子和熟知的应计项目因子能够在一定程度上解释关注企业环境表现评分的投资策略的超额收益，而盈利因子（RMW）和动量因子（Momentum）则对此没有解释力。在公司金融层面，环境表现评分与企业财务风险水平之间存在负相关关系，这可能是应计异象能够解释关注环境的投资组合的超额收益的原因所在。环境表现评分与未来一期应计项目金额存在显著负相关关系；与当期盈利能力存在显著负相关关系，而与未来盈利能力不存在相关关系；与当期和未来一期SA指数均存在正相关关系。据此，建议投资者在投资过程中应关注企业环境表现评级，同时企业应努力提升自身环境表现及其披露，政府层面也应出台相关政策促进ESG投资理念在我国的发展。

Since ESG investment philosophy was put forward, it has achieved considerable development in the international capital market. In China, ESG investment philosophy has gradually been valued by investors and enterprises, and a relatively complete ESG rating system has also been established .This paper mainly uses the ESG performance (and its sub-dimension performance) rating information of companies, and establishes long-short investment strategy portfolios, then found that investment portfolios that focus on environmental performance scores can obtain excess returns in the market, and innovatively pointed out the relationship between excess returns and accrual anomalies of environmentally-scored portfolios in A-share stock market.The results of the regression analysis on the monthly return of long-short investment strategy portfolios by controlling the Fama-French three factors show that the alpha of long-short investment strategy portfolios that focus on corporate environmental performance scores can still be significantly different from 0 in the case of controlling the Fama-French three factors. Investment strategies that focus on ESG comprehensive scores, social responsibility scores, corporate governance scores, and controversial event scores cannot obtain excess returns.The heterogeneity analysis found that compared with small market value, companies with large market value can obtain more excess returns in the investment strategies that focus on corporate environmental performance scores. While there is no significant difference in the excess returns between high cash-flow companies and low cash-flow companies, also between low debt-to-asset-ratio companies and high debt-to-asses-ratio companies. Also the portfolio constructed by companies in low-pollution industry group is able to achieve significant excess returns, while the heavy-pollution industry group is not.By introducing other "market anomalies" for mechanism analysis, it is found that the SA index factor and the well-known total accruals factor can explain the excess returns of investment strategies that focus on corporate environmental performance scorest, while the profitability factor (RMW) and the momentum factor has no explanatory power for this. At the corporate finance level, there is a negative relationship between environmental performance scores and levels of firm financial risk, which may explain why accrual anomalies can explain the excess returns of environmentally focused portfolios. There is a significant negative correlation between the environmental performance score and the accrual project amount in the next period; and there is a significant negative correlation with the current profitability, but no correlation with the future profitability; then there is a positive correlation with both the current and future SA index.Accordingly, it is recommended that investors should pay attention to corporate environmental performance ratings during the investment process, while companies should strive to improve their own environmental performance and its disclosure, and the government level should also introduce relevant policies to promote the development of ESG investment concepts in China.