ESG影响股票流动性吗?——基于ESG评级和评级分歧的双重视角

Does ESG Affect Stock Liquidity?——A Dual Perspective Based on ESG Rating and Rating Divergence

基于不同ESG评级机构发布的评级信息,本文考察了ESG评级与评级分歧对股票流动性的影响。研究发现:ESG评级越高,股票流动性越高;ESG评级分歧越大,股票流动性越低。机制检验发现,较高的ESG评级降低了企业经营风险,强化了市场正面预期,有利于提高股票流动性;ESG评级分歧提升了企业经营风险,降低了市场正面预期,进而导致股票流动性下降。进一步研究发现:ESG评级与评级分歧对股票流动性的影响在信息透明度较低、所在地区市场化程度较高、社会信任水平较低以及重污染企业中更为显著。本文不仅丰富和拓展了ESG和股票流动性的相关研究,还为我国制定统一的ESG评级标准提供了经验证据。

Summary:Environmental,social and corporate governance(ESG),as a new development concept,is an important tool for realizing high-quality economic development.A large number of ESG rating agencies have emerged to evaluate the ESG performance of companies and form rating reports to provide reference for investors.However,the ratings of different ESG rating agencies are divergent.Then,how do ESG ratings and rating divergences affect corporate performance in the capital market?This paper aims to explore this issue from the perspective of stock liquidity.This paper examines the impact of ESG ratings and rating divergence on stock liquidity based on the rating information released by different ESG rating agencies with A-share listed companies from 2018 to 2021 as the research sample.The study finds that the higher the ESG rating,the higher the stock liquidity;the higher the ESG rating divergence,the lower the stock liquidity.The mechanism test finds that higher ESG ratings,on one hand,reduce business risks,and on the other hand,reinforce positive market expectationsboth factors contributing to increased stock liquidity.Conversely,ESG rating divergence increases business risks and reduces positive market expectations,which in turn leads to lower stock liquidity.Further research finds that the effects of ESG ratings and rating divergence on stock liquidity are more significant among firms with lower information transparency,higher marketization in their regions,lower levels of social trust,and heavier pollution.This paper not only enriches and expands the related research on ESG and stock liquidity,provides new perspectives for a comprehensive examination of the economic consequences of ESG ratings and rating disagreements,but also provides empirical evidence and policy insights for the regulators to develop a unified system of ESG rating standards and to further improve the efficiency of resource allocation in the capital market.