创业板上市公司ESG表现与股票定价效率——基于我国多层次资本市场体系的研究

ESG Performance and Stock-pricing Efficiency of GEM Listed Companies:A Study Based on the Multi-layer Capital Market System

环境、社会与公司治理(ESG)作为全球范围内衡量企业高质量发展水平的重要标准,对股票市场运行有着重要影响,然而在多层次资本市场结构下ESG对股票市场定价效率的影响机理尚未达成共识。文章以2009—2022年我国创业板上市公司为对象,分析了其ESG表现对股票定价效率的影响,并探讨了投资者关注度在这一影响关系中的调节效应。研究发现,创业板公司ESG表现可以通过缓解信息不对称程度、积累企业声誉资本,提升股票定价效率;在多层次资本市场体系中,创业板公司股票定价效率对上层同群公司ESG表现的敏感性要强于对同层同群公司ESG表现的敏感性,说明主板公司ESG表现对创业板公司投资策略调整有着重要的示范引领效应。进一步分析发现,机构投资者关注度的提高会强化公司ESG表现对股票定价效率的正向影响,而个体投资者关注度的提高会削弱这一正向影响效应;对行业竞争程度较高、环境敏感度较高的样本公司来说,ESG表现对股票定价效率的正向影响更为显著。研究结论对补充现有ESG报告等非财务信息披露在股市运行中所承担角色的相关理论有一定价值。

As an important measurement for the high-quality development level of enterprises,environmental,social,and governance(ESG)has a significant impact on the operation of the stock market.However,there is no consensus on the mechanism by which ESG affects stock-pricing efficiency in a multi-layer capital market system.Taking China's GEM listed companies from 2009 to 2022 as the research object,this paper analyzes the impact of their ESG performance on stock-pricing efficiency in the multi-layer capital market system and explores the moderating effect of investor attention in this relationship.The study finds that the ESG performance of GEM listed companies can enhance stock-pricing efficiency by alleviating the degree of information asymmetry and accumulating corporate reputation capital.Meanwhile,in the multi-layer capital market system,the sensitivity of stock-pricing efficiency of GEM listed companies to the ESG performance of upper-layer peer group companies is stronger than that to the ESG performance of peer group companies in the same layer,suggesting that ESG disclosure of main board companies has an important modeling and leading effect on the adjustment of investment strategies of GEM listed companies.Further analysis reveals that increased institutional investor attention strengthens the positive effect of ESG performance on stock-pricing efficiency,while increased individual investor attention weakens this positive effect.And the positive effect of ESG performance on stock-pricing efficiency is more significant for sample firms with higher industry competition and higher environmental sensitivity.The findings of this paper are valuable in supplementing the existing theories related to the role assumed by non-financial information disclosure,such as ESG reports,in the operation of the stock market,as well as in further understanding the resource allocation function of China's multi-layer capital market.