估值修复还是信息混淆?——基于多方ESG评级与股票错误定价的研究  

Valuation Correction or Information Confusion?——A Study on ESG Ratings from Multiple Agencies and Stock Mispricing

作　　者：张伟伟 张景静 陈攀 张德涛 ZHANG Weiwei;ZHANG Jingjing;CHEN Pan;ZHANG Detao(Northeast Asia Research Center,Jilin University;School of Economics,Shandong University)

机构地区：[1]吉林大学东北亚研究中心,吉林长春130012 [2]山东大学经济学院,山东济南250100

出　　处：《金融研究》2024年第11期170-188,共19页Journal of Financial Research

基　　金：国家重点研发计划项目(2023YFA1009200);国家社会科学基金重点项目(21AJY014);国家自然科学基金面上项目(12271305)的资助。

摘　　要：准确把握企业估值逻辑、促使股价回归合理水平,是更好发挥资本市场功能的关键一环。本文基于理论模型和经验数据,探讨了多方评级机构发布差异化ESG评级结果(ESG评级分歧)对股票错误定价的影响。模型结果表明,ESG评级分歧会加剧股票错误定价。实证研究发现:(1)ESG评级分歧通过加深异质信念、降低信息透明度、增加噪声交易者等机制加剧股票错误定价,引发了“信息混淆”。(2)在卖空约束下,ESG评级分歧主要导致股价被高估。(3)对于外部监管机构强制要求披露ESG信息的样本,ESG评级分歧反而提供了多维度ESG信息,发挥了“估值修复”作用,但企业自发选择的ESG信息披露未显著影响评级分歧的错误定价效应。同时,ESG信息披露的全面性和投资者的ESG信息识别能力弱化了评级分歧对错误定价的影响,但对于财务信息质量较好的样本,评级分歧“信息混淆”的边际效应更大。本文深化了对ESG评级分歧影响效应的认识,为找出定价效率漏洞提供了直接证据,对推动资本市场高质量发展具有参考价值。The fundamental function of capital markets is to guide resource allocation through security price signals,which must accurately reflect fundamental value(also known as intrinsic value)to be effective.Stock mispricing,which means that prices deviate from their fundamental value,impairs this function.Thus,studying the drivers and mechanisms of stock mispricing is crucial for restoring fair valuation and advancing capital market quality.With growing awareness of sustainable development,ESG(Environmental,Social,and Governance)has become a key factor in investment decisions.Rating agencies,as professional processors,release ESG ratings that investors use to assess company risks.However,ESG ratings often diverge across agencies for the same company.Understanding how these divergences affect stock prices'reflection of intrinsic value is vital for capital market effectiveness in supporting the real economy.This paper constructs a theoretical model to analyze how ESG rating divergence drives heterogeneous beliefs to impact stock mispricing.It examines the roles of information transparency and noise traders,and investigates whether ESG rating divergence leads to stock overvaluation or undervaluation,especially under short-selling constraints,and further investigate the heterogenous impact of ESG rating divergence on mispricing.Based on the Atmaz and Basak(2018)model,the study builds a theoretical model of how ESG rating divergence affects stock price deviations from intrinsic value and further discusses the mispricing effect and the mechanism embedded.Empirically,it tests these effects using a sample of non-financial firms listed on the Shanghai and Shenzhen A-share markets,rated by 10 agencies from 2010 to 2022,and evaluates the impact,mechanisms and conditional heterogeneity of the findings.The research findings are as follows:The theoretical model confirms that ESG rating divergence exacerbates stock mispricing over time,with its impact increasing as the divergence increases.Empirically,ESG rating divergence worsens st

关 键 词：ESG评级分歧 信息混淆 异质信念 信息披露 错误定价 

分 类 号：F830.9[经济管理—金融学] F832.5