ESG rating disagreement, volatility, and stock returns

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-12-07 DOI:10.1016/j.frl.2024.106602

Qingduo Zeng, Yang Xu, Mengshu Hao, Meiqi Gao

引用次数: 0

Abstract

We present a rational expectation equilibrium model to explore how ESG rating disagreement impacts stock returns. Our findings reveal that high disagreement in ESG rating is associated with high return volatility risk, which potentially leads to increased stock returns. Our empirical results confirm a positive impact of ESG disagreement on stock returns, reinforcing our theoretical findings. The mechanism tests suggest that ESG disagreement enhances stock returns by amplifying idiosyncratic return volatility. Overall, our research sheds light on how ESG disagreement affects stock returns through market microstructure, and offers valuable insights into the role that ESG disagreement plays in ESG investing.

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ESG评级分歧、波动性与股票回报

我们提出了一个理性期望均衡模型来探讨ESG评级分歧对股票收益的影响。研究结果表明，ESG评级的差异与高收益波动风险相关，这可能导致股票收益的增加。我们的实证结果证实了ESG差异对股票收益的正向影响，强化了我们的理论发现。机制检验表明，ESG差异通过放大特殊收益波动来提高股票收益。总体而言，我们的研究揭示了ESG分歧如何通过市场微观结构影响股票回报，并为ESG分歧在ESG投资中的作用提供了有价值的见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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