眼见为实:ESC评级分歧与机构投资者实地调研

Seeing is Believing:ESG Rating Divergence and Institutional Investors'Site Visits

ESG评级机构间较大的评级分歧,严重影响了机构投资者对企业的综合客观评估,也给企业带来诸多经营风险问题,推动机构投资者与企业主动依托实地调研进行信息挖掘和信息补充,最终整体提升了资本市场信息效率。基于此,本文以2013~2022年深交所A股上市公司为样本,使用华证、商道融绿、Wind、润灵环球和CNRDS评级结果测度ESG评级分歧,实证检验ESG评级分歧对机构投资者实地调研的影响效果和作用机制。研究发现,ESG评级分歧显著增加机构投资者实地调研行为,这一促进作用在信息不对称程度高、地区市场化程度低和小规模企业中尤为突出。机制分析发现,企业信息披露即信息披露质量和遵循信息披露标准能够弱化ESG评级分歧与机构投资者实地调研间的关系。进一步的拓展性分析还表明,仅环境维度(E)的评级分歧正向促进机构投资者实地调研;此外,机构投资者实地调研能够降低ESG评级分歧对资本市场信息效率的不利影响。研究结论可为推进ESG体系建设,提高资本市场信息效率提供有益借鉴。

The substantial divergence among ESG(Environmental,Social,and Governance)rating agencies has hindered the comprehensive and objective evaluation of enterprises by institutional investors,leading to operational risks and inefficiencies.This divergence has driven institutional investors to increasingly rely on site visits for information mining and supplementation,ultimately enhancing the information efficiency of the capital market.This study uses A-share listed companies on the Shenzhen Stock Exchange from 2013 to 2022 as a sample and employs ESG ratings from Huazheng,Syntao Green Finance,Wind,RANKINS,and CNRDS to measure rating divergence.Through empirical analysis,the paper explores the effect and mechanisms of ESG rating divergence on institutional investors'site visits.The findings indicate that higher ESG rating divergence significantly increases the frequency of institutional investors'site visits,particularly in contexts with high information asymmetry,low regional marketization,and smaller enterprises.Mechanism analysis reveals that the quality and compliance of corporate information disclosure can weaken the relationship between ESG rating divergence and site visits.Further analysis shows that only the environmental(E)dimension of ESG rating divergence positively influences institutional investors'site visits.Additionally,these visits can mitigate the negative impact of ESG rating divergence on capital market information efficiency.The study offers valuable insights for improving ESG system construction and enhancing market information efficiency.