Do ESG rating changes matter? Evidence from Chinese stock market

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal Pub Date : 2025-09-01 DOI:10.1016/j.gfj.2025.101180

Dianhao Liu, Jun Zhou

引用次数: 0

Abstract

Investors will change their trading behavior in response to ESG rating changes, which in turn influence stock returns. In this paper, we examine the impact of ESG rating changes on stock returns in Chinese stock market. We find that ESG rating upgrades (downgrades) lead to higher (lower) short-term stock returns. A long-short portfolio constructed from upgraded firms versus downgraded firms generates monthly abnormal returns of 1.80 % on average. The main driver is institutional investors' buying (selling) shares of companies with upgraded (downgraded) ESG ratings. The disagreement about ESG rating changes can undermine this impact.

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ESG评级的变化重要吗？证据来自中国股市

投资者会因ESG评级变化而改变交易行为，进而影响股票收益。本文考察了ESG评级变动对中国股市股票收益的影响。我们发现，ESG评级调高（调降）会导致股票的短期回报更高（更低）。由评级上调的公司和评级下调的公司组成的多空组合每月平均产生1.80%的异常回报。主要驱动力是机构投资者买入（卖出）ESG评级上调（下调）的公司股票。关于ESG评级变化的分歧可能会削弱这种影响。

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

Global Finance Journal BUSINESS, FINANCE-

CiteScore

7.30

自引率

13.50%

发文量

106

审稿时长

53 days

期刊介绍： Global Finance Journal provides a forum for the exchange of ideas and techniques among academicians and practitioners and, thereby, advances applied research in global financial management. Global Finance Journal publishes original, creative, scholarly research that integrates theory and practice and addresses a readership in both business and academia. Articles reflecting pragmatic research are sought in areas such as financial management, investment, banking and financial services, accounting, and taxation. Global Finance Journal welcomes contributions from scholars in both the business and academic community and encourages collaborative research from this broad base worldwide.