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本文以2009—2021年中国A股上市公司为样本，采用均值回归和Heckman两阶段模型回归，检验了ESG（环境、社会和公司治理）评级分歧对资本市场信息效率的影响。研究发现：当ESG评级存在分歧时，公司的信息透明度更低，信息收集成本更高，会减少股价中的特质化信息，从而损害资本市场信息效率，增加股价同步性。分析师关注是缓解信息不对称的有效途径，对ESG评级分歧与股价同步性存在负向调节作用；投资者情绪会放大利好或利空消息，因而具有正向调节作用；此外，大股东和机构投资者持股有助于缓解股价同步性。异质性分析发现上述效应存在于国有和私有企业、信息透明度较低和聘请“非四大”审计的公司子样本中。
Abstract：Taking China's A-share listed companies from 2009 to 2021 as samples,this paper uses the method of mean regression,quantile regression and Heckman twostage model regression to test the impact of ESG rating divergence on the information efficiency of capital market.It is found that when there are differences in ESG ratings,the information transparency of the company is lower,the cost of information collection is higher,and the characteristic information in the stock price will be reduced,thus damaging the information efficiency of the capital market and increasing the synchronicity of the stock price.Moreover,this positive impact is more significant for the low-ranking company.Analyst attention is an effective way to alleviate information asymmetry,which has a negative moderating effect on ESG rating divergence and stock price synchronization.Investor sentiment can amplify good or bad news,so it has a positive moderating effect.In addition,the shareholding of major shareholders and institutional investors helps to ease the synchronicity of stock prices.Heterogeneity analysis found that the above effects exist in the subsamples of state-owned and private firms,low information transparency and firms that employ "non-Big Four" auditors.
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基本信息:
中图分类号:F275;F832.51;X22
引用信息:
[1]郭雪萌,冯钰婷,曾晓亮.ESG评级分歧与资本市场信息效率——基于股价同步性的研究[J].当代会计评论,2023,16(01):13-41.
基金信息:
国家自然科学基金项目“基于‘客流—能源流—碳流’的城市轨道交通低碳扩展效应研究”（72272010）、“城市轨道交通PPP模式‘客流—价值流’绩效评价体系研究”（71973009）的阶段性成果
2023-08-31
2023-08-31
