摘要
文章基于资本市场定价效率的角度研究了ESG评级分歧对于公司股价同步性的影响。研究表明,ESG评级分歧放大了公司股价同步性,这主要源于不同评级机构之间较大的分歧阻碍了市场对ESG信息的有效定价。异质性检验表明,当上市公司ESG表现较好、信息披露质量较高以及环境规制强度较大时,ESG评级分歧对股价同步性的影响有所削弱。上述作用的机制是ESG评级分歧更大时机构投资者持股比例下降,并且个体投资者在股吧中的正面与负面评论数量都有所增加。拓展性分析表明,无论是本土与海外ESG评级机构之间,还是本土ESG评级机构之间均存在分歧,且均显著提升了公司的股价同步性。进一步从E(环境)、S(社会)和G(治理)三个分项检验评级分歧对股价同步性的影响,可以发现E(环境)类指标的分歧更加显著地提升了股价同步性。文章的结论表明,有效管控ESG评级分歧对于资本市场ESG投资十分必要,相关部门需要建立统一的ESG信息披露标准,并关注和引导ESG评级机构这类新兴信息中介所提供的评级信息。
With the widespread use of ESG in investment and company evaluation,ESG rating has become an indispensable factor in the capital market.However,due to the emergence of different ESG rating agencies and the diversification of ESG standards,there is significant divergence in ESG ratings among different agencies.This not only raises doubts about the trust and effectiveness of ESG ratings,but also makes it difficult to make investment decision based on ESG ratings.This paper takes A-share listed companies in 2011-2021 as the sample,and empirically examines the impact of ESG rating divergence on stock price synchronicity.The results show that ESG rating divergence amplifies the co-movement of stock prices,mainly due to different ratings hindering the effective pricing of ESG information in the market.Further analysis shows that good performance in ESG,high quality of information disclosure,and strong environmental regulations can weaken the impact of ESG rating divergence on stock price synchronicity.Mechanism testing suggests that institution ownership and individual investors’comments in the social media are the two important mechanisms of how ESG rating divergence affects stock price synchronicity.It is also found that the differences between local and overseas ESG rating agencies,as well as the differences between local ESG rating agencies,significantly enhance stock price synchronicity.In addition,compared to S(society)and G(governance)indicators,the divergence of E(environment)indicators more significantly enhances stock price synchronicity.This paper contributes to the literature in the following ways:First,it starts from the perspective of capital market pricing efficiency and finds that ESG rating divergence can amplify stock price synchronicity,which is a supplement and development to the existing literature.Second,in the era of widespread attention to sustainable development and ESG investment,it includes ESG rating agencies,an emerging information intermediary,into the research of stock price synchronicity.Third,it demonstrates the necessity of adopting an ESG evaluation system that is in line with international standards and takes into account local factors for ESG investment in the capital market.There is a synergy between building a more effective capital market,promoting sustainable economic development,and ESG investment,which requires joint efforts from regulatory entities,listed companies,and investors.
作者
陈宏韬
殷海锋
张天舒
黄俊
Chen Hongtao;Yin Haifeng;Zhang Tianshu;Huang Jun(School of Accountancy,Shanghai University of Finance and Economics,Shanghai 200433,China;School of Accounting,Shanghai University of International Business and Economics,Shanghai 201620,China;Institute of Accounting and Finance,Shanghai University of Finance and Economics,Shanghai 200433,China)
出处
《财经研究》
北大核心
2025年第5期65-80,共16页
Journal of Finance and Economics
基金
国家自然科学基金(72072107,72172081,72432006)
教育部人文社会科学重点研究基地重大研究项目(22JJD790093)
中央高校基本科研业务费专项资金项目(2023110139)
上海财经大学研究生创新基金(CXJJ-2023-304)。
关键词
ESG评级分歧
股价同步性
信息披露
ESG rating divergence
stock price synchronicity
information disclosure
