基于双固定效应模型研究ESG评级分歧对股票定价效率的影响

Study on the Impact of ESG Rating Divergences on Stock Pricing Efficiency Based on a Double Fixed Effects Model

摘要: 近些年来，在全球范围内，政府和监管机构越来越强调ESG标准。随着国家对可持续发展的重视，越来越多的上市公司开始披露ESG信息，各种评级机构也开始出现，上市公司因此拥有多个ESG评级，这会对股价定价效率产生影响。本文运用中国A股上市公司2018年~2023年的数据样本，使用时间、行业双固定效应模型来考察ESG评级分歧与股票定价效率的关系。研究发现，ESG评级分歧显著增加了股价同步性，降低了股票定价效率。此外，机制检验结果表明ESG评级分歧的增大会使上市公司年报语调变得消极，进而降低股票定价效率。本文的结论证明建立统一的ESG标准很有必要，它可以确保企业提供一致、透明的信息，使投资者更清楚地了解各企业在环境、社会和治理方面的表现，进而做出更明智的投资决策，推动股票定价效率的提升。

Abstract: In recent years, governments and regulatory bodies worldwide have increasingly emphasized ESG standards. With the growing national focus on sustainable development, more publicly listed companies have begun disclosing ESG information, and various rating agencies have emerged. As a result, companies often have multiple ESG ratings, which can impact stock pricing efficiency. Using a sample of Chinese A-share listed companies from 2018 to 2023, this paper employs a time- and industry-fixed effects model to investigate the relationship between ESG rating divergences and stock pricing efficiency. The study finds that ESG rating divergences significantly increase stock price synchronicity and reduce stock pricing efficiency. Furthermore, mechanism testing reveals that increased ESG rating divergences lead to a more negative tone in annual reports, further diminishing stock pricing efficiency. The findings of this study highlight the necessity of establishing a unified ESG standard, ensuring consistent and transparent information disclosure from companies. This would enable investors to better understand the environmental, social, and governance performance of different firms, make more informed investment decisions, and improve stock pricing efficiency.