Corporate ESG rating divergence and excess stock returns

被引:20
|
作者
Wang, Haijun [1 ]
Jiao, Shuaipeng [1 ]
Ge, Chen [1 ]
Sun, Guanglin [2 ,3 ,4 ]
机构
[1] Beijing Wuzi Univ, Sch Econ, Beijing 110026, Peoples R China
[2] Nanjing Univ Finance & Econ, Sch Finance, Nanjing 210023, Peoples R China
[3] CASS, Inst Ind Econ, Beijing 100006, Peoples R China
[4] Collaborat Innovat Ctr Emiss Trading Syst Coconstr, Wuhan 430205, Peoples R China
关键词
ESG rating divergence; Excess stock returns; Investor sentiment; ESG improvement potential; Information transparency; INVESTOR SENTIMENT; SOCIAL-RESPONSIBILITY; INFORMATION;
D O I
10.1016/j.eneco.2023.107276
中图分类号
F [经济];
学科分类号
02 ;
摘要
ESG rating have progressively become an important reference index within the investment decision-making process. However, divergence might arise among diverse ESG rating agencies when appraising the same company. Such divergence affects investors' perception of a companies' ESG performance, consequently affecting its excess stock returns. This paper delves into the mechanics behind ESG rating divergence on excess stock returns based on the ESG rating data encompassing Shanghai and Shenzhen A-share listed companies in China spanning from 2018 to 2022. The research reveals the following findings: Firstly, ESG rating divergence negatively impact stock excess return rates. Investor sentiment, ESG improvement potential and information transparency play a positive moderating role in the influence of ESG rating divergence on excess stock returns. Secondly, there are heterogeneity characteristics in the impact of ESG rating divergence on excess stock returns. Companies that actively disclose ESG reports, low-carbon companies, companies with QFII, and those with high divergence and high rating experience a greater impact form ESG rating divergence on their excess stock returns. Thirdly, the social rating divergence has the greatest impact on excess stock returns, followed by environmental and governance levels.
引用
收藏
页数:13
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