解读市场反应：ESG评级分歧信号分析

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2025-03-25 DOI:10.1016/j.irfa.2025.104161

Felix Bachner

{"title":"解读市场反应：ESG评级分歧信号分析","authors":"Felix Bachner","doi":"10.1016/j.irfa.2025.104161","DOIUrl":null,"url":null,"abstract":"<div><div>This study examines how ESG ratings influence investor behavior, emphasizing the variations across rating agencies. Using daily market reactions in returns and trading volumes of 1100 North American and European firms from 2017 to 2023, the analysis identifies variations in market reactions between ESG score changes from Bloomberg and MSCI. Notably, abnormal trading volumes without abnormal returns point to two types of market ambiguity - uncertainty and disagreement - affecting ESG-related price signals. The findings underscore the need to reduce investor ambiguity to enhance market efficiency, with potential roadblocks being the limited availability, divergence, and unclear materiality of ESG information.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104161"},"PeriodicalIF":7.5000,"publicationDate":"2025-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Decoding market reactions: Analysis of divergent signals of ESG ratings\",\"authors\":\"Felix Bachner\",\"doi\":\"10.1016/j.irfa.2025.104161\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>This study examines how ESG ratings influence investor behavior, emphasizing the variations across rating agencies. Using daily market reactions in returns and trading volumes of 1100 North American and European firms from 2017 to 2023, the analysis identifies variations in market reactions between ESG score changes from Bloomberg and MSCI. Notably, abnormal trading volumes without abnormal returns point to two types of market ambiguity - uncertainty and disagreement - affecting ESG-related price signals. The findings underscore the need to reduce investor ambiguity to enhance market efficiency, with potential roadblocks being the limited availability, divergence, and unclear materiality of ESG information.</div></div>\",\"PeriodicalId\":48226,\"journal\":{\"name\":\"International Review of Financial Analysis\",\"volume\":\"103 \",\"pages\":\"Article 104161\"},\"PeriodicalIF\":7.5000,\"publicationDate\":\"2025-03-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Review of Financial Analysis\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1057521925002480\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521925002480","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

本研究探讨了ESG评级如何影响投资者行为，强调了评级机构之间的差异。利用2017年至2023年1100家北美和欧洲公司的每日回报和交易量的市场反应，该分析确定了彭博和MSCI的ESG评分变化之间的市场反应差异。值得注意的是，没有异常回报的异常交易量表明两种类型的市场模糊性——不确定性和分歧——影响着与esg相关的价格信号。研究结果强调，有必要减少投资者的模糊性，以提高市场效率，潜在的障碍是ESG信息的有限可用性、差异和重要性不明确。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Decoding market reactions: Analysis of divergent signals of ESG ratings

This study examines how ESG ratings influence investor behavior, emphasizing the variations across rating agencies. Using daily market reactions in returns and trading volumes of 1100 North American and European firms from 2017 to 2023, the analysis identifies variations in market reactions between ESG score changes from Bloomberg and MSCI. Notably, abnormal trading volumes without abnormal returns point to two types of market ambiguity - uncertainty and disagreement - affecting ESG-related price signals. The findings underscore the need to reduce investor ambiguity to enhance market efficiency, with potential roadblocks being the limited availability, divergence, and unclear materiality of ESG information.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.