ESG评级分歧与股价崩盘风险:噪音效应还是信息效应?  

ESG Rating Divergence and Stock Price Crash Risk:Noise Effect or Information Effect?

作　　者：邵艳 张广冬 张园园[2] SHAO Yan;ZHANG Guangdong;ZHANG Yuanyuan(School of Accounting,Zhejiang University of Finance and Economics,Hangzhou,310018,China;School of Business,Qingdao University,Qingdao 266071,China)

机构地区：[1]浙江财经大学会计学院,浙江杭州310018 [2]青岛大学商学院,山东青岛266071

出　　处：《审计与经济研究》2025年第1期84-94,共11页Journal of Audit & Economics

基　　金：浙江省哲学社会科学规划项目(23YJRC07ZD-2YB);国家自然科学基金青年项目(72202204)。

摘　　要：以2015-2021年沪深A股上市公司为样本,实证检验ESG评级分歧对股价崩盘风险的影响。研究发现,ESG评级分歧能够显著降低公司未来的股价崩盘风险,支持ESG分歧的“信息效应”而非“噪音效应”。机制检验发现,公司信息透明度越低,ESG评级分歧的“信息效应”越强,表明ESG评级分歧通过传递多维度信息降低了股价崩盘风险;ESG评级分歧能够激发投资者的主观能动性,投资者会主动进行信息搜寻,对上市公司的检索量和网络互动平台的提问量均显著增加。异质性检验结果表明,ESG评级分歧的“信息效应”具有边界条件,只有当投资者的信息能力较强时,ESG评级分歧才能有效降低股价崩盘风险。Based on the sample of Shanghai and Shenzhen A-share listed companies from 2015 to 2021,this paper empirically tests the impact of ESG rating divergence on the stock price crash risk.Our study finds that ESG rating divergence can significantly reduce the company's future stock price crash risk,supporting the“information effect”rather than the“noise effect”.The mechanism test finds that when the company's information transparency is lower,the“information effect”is stronger,indicating that ESG rating divergence reduces the stock price crash risk through transmitting multi-dimensional information.In addition,ESG rating divergence can stimulate investors'subjective initiative.Investors will conduct active information search,and the number of searches for listed companies and questions on online interactive platforms will increase significantly.The heterogeneity results show that the“information effect”of ESG rating divergence has boundary conditions.When investors'information ability is stronger,ESG rating divergence can effectively reduce the stock price crash risk.

关 键 词：ESG评级分歧 股价崩盘风险 信息效应 噪音效应 市场波动 

分 类 号：F230[经济管理—会计学] F275[经济管理—国民经济]