ESG披露、异质估值与权益资本成本

ESG disclosure,heterogeneous valuations and cost of equity capital

本文构建了含有异质估值的理性预期均衡模型,在传统价值投资者与ESG投资者对同一风险资产存在相关但不相同估值的设定下,分析了ESG披露质量如何影响公司权益资本成本.结果表明:在内生化传统价值投资者信息获取的情况下,当最优信息获取为角点解时,提高公司ESG披露的质量将带来权益资本成本的降低;而当信息获取为内点解时,ESG披露的质量与权益资本成本之间呈非单调关系,同时,取得这些不同关系的参数条件也由模型的解析解给出.研究结果调和了当前结论相左的实证研究,也揭示了强制ESG披露可能存在的负面影响,即提高ESG披露的质量并不总是带来公司权益资本成本的下降.

This paper develops a rational expectations equilibrium model with heterogeneous valuations.We analyze how the ESG disclosure quality affects the firms’cost of equity capital under the setting that the traditional value investors and the ESG investors have related but different valuations of the same risky assets.We show that given the endogenous information acquisition by traditional value investors,improving the ESG disclosure quality leads to a decrease in the firm’s cost of equity capital when the optimal information acquisition is corner solution;when there exists the interior solution,the relationship between the ESG disclosure quality and the cost of equity capital is non-monotonic.The parameter conditions for the corresponding relationships are given by the analytical expressions.The results of the model reconcile the current empirical research with conflicting findings,and also reveal the possible negative effects of mandatory ESG disclosure,i.e.,improving the quality of ESG disclosure does not always lead to a decrease in the firm’s cost of equity capital.