企业ESG表现与资本市场定价效率  

Corporate ESG Performance and Capital Market Pricing Efficiency

作　　者：僧建芬 张立杰[1] SENG Jian-fen;ZHANG Li-jie

机构地区：[1]新疆大学经济与管理学院,乌鲁木齐830046

出　　处：《现代金融研究》2024年第11期70-80,共11页Journal of modern finance

基　　金：2024年新疆大学优秀博士研究生创新项目“企业ESG表现与资本市场高质量发展”(XJU2024BS012);新疆维吾尔自治区高校科研计划(XJEDU2021S1001);新疆维吾尔自治区自然科学基金项目(2021D01C053)的资助。

摘　　要：本文使用A股上市企业2009-2021年数据,结合信号理论、信息风险理论及基于ESG投资偏好资产定价模型,通过固定效应模型研究企业ESG表现对资本市场定价效率的影响及传导机制。结果表明,企业ESG表现显著提高资本市场定价效率。机制分析发现,ESG表现通过提高环境信息披露质量、减少投资者异质信念及缓解企业代理冲突来提升资本市场定价效率。异质性分析发现,民营企业、大型企业及自愿批露信息企业的ESG表现对资本市场定价效率的提升效应更显著。This paper uses data from A-share listed companies from 2009 to 2021,combined with signaling theory,infor-mation risk theory and ESG investment preference asset pricing model,to study the impact and transmission mechanism of corporate ESG performance on capital market pricing efficiency through a fixed-effects model.The results indicate that the ESG performance of enterprises significantly improves the pricing efficiency of the capital market.Mechanism analysis reveals that ESG performance enhances capital market pricing efficiency by improving the quality of environmental information disclosure,reducing investor heterogeneous beliefs,and alleviating agency conflicts.Heterogeneity analysis shows that the ESG performance of private enterprises,large scale enterprises,and enterprises that voluntarily disclose information has a more significant effect on improving the pricing efficiency of the capital market.

关 键 词：信号理论 企业ESG表现 资本市场定价效率 异质信念 企业代理冲突 

分 类 号：X322[环境科学与工程—环境工程] F832.51[经济管理—金融学]