中国人口·资源与环境2024，Vol.34Issue(12)：98-107,10.DOI:10.12062/cpre.20241012
ESG信息摩擦与收益可预测性:ESG评级分歧的新证据
ESG information frictions and return predictability:new evidence on ESG rating divergence
摘要
Abstract
As ESG investment principles increasingly gain traction,a growing number of investors are turning to ratings from agencies to assess corporate ESG performance.However,the lack of consensus on ESG evaluation standards leads to discrepancies in the ratings assigned to the same firm by different agencies,which may impact the valuation logic within capital markets.In this context,this study utilized ESG rating data from ten agencies regarding Chinese A-share companies from 2009 to 2022 and employed various statistical methods to validate the existence of ESG rating divergence in the Chinese capital market.Building on this foundation,the study mea-sured ESG rating divergence through the standard deviation of ratings assigned to the same firm,examining the relationship between this divergence—representing information frictions—and stock market performance,thus exploring the applicability of established capi-tal market valuation theories in the Chinese context.The findings indicated that.① ESG rating divergence significantly reduced future stock returns,thereby confirming its predictive ability concerning future stock performance and affirming its pricing effect.This conclu-sion remained robust following a series of robustness checks,including addressing endogeneity and changing the measurement of core variables.② Mechanism analyses revealed that ESG rating divergence exacerbated future declines in stock prices,diminished inves-tors'market recognition of the stocks,and reduced analysts'attention and recommendations regarding these firms,consequently leading to lower future stock returns.③ In the broader discussion,the study employed the standard deviation of residuals estimated from the Fa-ma-French three-factor and five-factor models as a measure of idiosyncratic volatility,using cross-sectional Fama-MacBeth regression methods to investigate changes in the predictive power of idiosyncratic volatility over stock returns when controlling for ESG rating di-vergence.It found that part of the negative correlation between ESG rating divergence and future stock returns could be attributed to the'idiosyncratic volatility puzzle'pricing anomaly.关键词
ESG评级分歧/异质信念/信息噪声/特质波动率异象/资产定价Key words
ESG rating divergence/heterogeneous belief/information noise/idiosyncratic volatility anomaly/asset pricing分类
管理科学引用本文复制引用
张伟伟,张景静,赵宇..ESG信息摩擦与收益可预测性:ESG评级分歧的新证据[J].中国人口·资源与环境,2024,34(12):98-107,10.基金项目
国家社会科学基金重点项目"金融发展对我国绿色经济发展的影响机理研究"(批准号:21AJY014). （批准号:21AJY014）
