ESG评级分歧与股票收益——内部控制与外部关注的调节效应  

ESG Rating Discrepancies and Stock Returns——The Moderating Effects of Internal Controls and External Concerns

作　　者：赵子铱 张紫红 马新松 Zhao Ziyi;Zhang Zihong;Ma Xinsong(Guizhou Institute of Urban Economy and Development,Guizhou University of Finance and Economics,Guiyang 550025,Guizhou,China;Artificial Intelligence and Digital Finance Laboratory of Guizhou Higher Education Institutions,Guiyang 550025,Guizhou,China;Guizhou Collaborative Innovation Center for Green Finance and Ecological Environmental Protection,Guiyang 550025,Guizhou,China)

机构地区：[1]贵州财经大学贵州城镇经济与发展研究院,贵州贵阳550025 [2]贵州省高等学校人工智能与数字金融实验室,贵州贵阳550025 [3]贵州省绿色金融与生态环境保护协同创新中心,贵州贵阳550025

出　　处：《金融发展研究》2024年第3期33-43,共11页Journal Of Financial Development Research

基　　金：贵州省科技计划项目“基于机器学习的金融时间序列模式匹配理论与关键技术研究”(黔科合基础-ZK[2021]一般343)。

摘　　要：随着“双碳”目标与可持续发展理念的不断推进,ESG投资关注度持续提升。但由于不同评级机构的ESG评级标准各异,同一家公司存在明显的ESG评级分歧现象,极大影响了投资者的决策过程。文章以2011—2021年沪深A股上市公司为样本,考察ESG评级分歧对公司股票收益的影响效应。研究发现:ESG评级分歧显著降低了公司股票收益,经过一系列内生性检验和稳健性检验后结论依然成立。调节效应检验表明,实际控制人持股会抑制ESG评级分歧对股票收益的负向效应,外部分析师关注则放大了两者之间的负向关系。文章拓展了ESG评级分歧与股票回报的相关研究,为推动中国ESG评级体系建设、完善公司治理、推动股票市场健康有序发展提供了经验证据。As the"dual-carbon"goal and the concept of sustainable development continue to advance,ESG investment attention continues to rise.However,due to the different ESG rating criteria of different rating agencies,there is a clear phenomenon of divergent ESG ratings for the same company,which greatly affects the decision-making process of investors.The article examines the effect of ESG rating divergence on firms'stock returns using a sample of A-share listed companies in Shanghai and Shenzhen from 2011 to 2021.The study finds that ESG rating divergence significantly reduces firm stock returns,and the conclusion still holds after a series of endogeneity and robustness tests.Moderating effects tests show that beneficial ownership dampens the negative effect of ESG rating divergence on stock returns,and external analyst attention amplifies the negative relationship.The article expands the research related to ESG rating divergence and stock returns,providing empirical evidence to promote the construction of China's ESG rating system,improve corporate governance,and promote the healthy and orderly development of the stock market.

关 键 词：ESG评级分歧 股票回报率 内部控制 外部关注 

分 类 号：F830.91[经济管理—金融学]