分歧是否有利于提高市场效率？来自环境、社会和治理评级的证据

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2025-03-10 DOI:10.1016/j.jimonfin.2025.103322

Libo Yin , Xiaoye Zhu , Zhi Su , Hongliang Guo

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引用次数: 0

摘要

ESG 评级差异是指不同评级机构对一家公司的 ESG 业绩评级存在差异。本研究探讨了 ESG 评级差异如何影响公司定价效率。研究结果表明，ESG 评级差异有助于提高公司定价效率。在市场情绪、波动性、成交量下降和流动性增加的时期，以及在具有特定特征（包括大市值、价值导向、较高的机构所有权和较高的 ESG 评级）的公司中，这种效应尤为明显。环境、社会和公司治理评级分歧的促进作用源于环境、社会和公司治理评级机构提供的多样化信息，由于投资者学习效应的增强，这些信息被更有效地纳入股票价格。这项研究对于更全面、客观地了解金融市场中的 ESG 评级分歧具有重要意义。

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Is disagreement beneficial for market efficiency? Evidence from ESG ratings

ESG rating disagreement refers to discrepancies in ESG performance ratings assigned to a firm by different rating agencies. This study investigates how ESG rating disagreement impacts firm pricing efficiency. These findings demonstrate that ESG rating disagreement contributes to promoting firm pricing efficiency. This effect is especially noticeable during periods of decreased market sentiment, volatility, turnover, and increased liquidity and among firms with specific characteristics, including large market capitalization, value orientation, higher institutional ownership, and superior ESG ratings. The facilitative effect of ESG rating disagreement stems from the diverse information provided by ESG rating agencies, which is more effectively incorporated into stock prices because of the enhanced learning effect of investors. This study is important for achieving a more comprehensive and objective understanding of ESG rating disagreement in financial markets.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.