ESGスコアは株式超過リターンを高めるか：情報の観点から
ESG Score Boosts Stock Excess Returns: From the Perspective of Information (原題)
Cheng Qian
🤖 gxceed AI 要約
日本語
中国A株1,104社（2011〜2019年）とBloomberg ESGスコアを用い、ESG評価がリスク調整後株式リターン（シャープレシオ）を高めることを二方向固定効果モデルで示した。情報非対称性の緩和、投資家の限られた注意の集中、投資家信頼の強化という三つの情報伝達経路を特定し、環境・ガバナンス次元が主要因であることを明らかにした。非国有企業、重汚染企業、市場志向の強い地域で効果がより顕著である。
English
Using 1,104 Chinese A-share firms (2011-2019) and Bloomberg ESG scores, this study shows higher ESG scores significantly raise risk-adjusted excess returns (Sharpe ratio) via two-way fixed effects. Mechanism tests identify information asymmetry, investor attention, and investor confidence as transmission channels, with environmental and governance dimensions driving the effect. The positive ESG-return link is stronger for non-state-owned, heavily polluting, and market-oriented-region firms.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本ではSSBJ基準・有報でのサステナビリティ開示義務化が進み、ESG評価が資本コストや株価にどう反映されるかは投資家対応の核心課題。本論文は情報伝達経路という観点から、ESG開示の経済的意義を実証的に裏付ける材料を提供する。
In the global GX context
Amid ISSB/CSRD-driven global disclosure mandates, this paper adds empirical evidence that ESG performance transmits into stock prices through information channels, reinforcing the investor-facing rationale for standardized disclosure. Its focus on information asymmetry and analyst coverage connects to global debates on whether ESG ratings and disclosure genuinely reduce information frictions.
👥 読者別の含意
🔬研究者:ESGパフォーマンスと株式リターンの因果経路（情報非対称性・投資家信頼）を識別した実証設計は、ESG評価の価格反映メカニズム研究に有用。
🏢実務担当者:ESG開示・評価向上が投資家の信頼と注意を引き、資本市場での評価につながる可能性を示唆。IR・開示戦略の根拠として活用可能。
🏛政策担当者:ESG情報開示の義務化が情報非対称性を緩和し市場効率を高めうることを示す証拠として、開示制度設計の参考になる。
📄 Abstract（原文）
This study examines whether environmental, social, and governance (ESG) performance improves risk-adjusted stock returns and identifies the information-transmission channels underlying this relationship. Using an unbalanced panel of 1,104 Chinese A-share listed firms from 2011 to 2019 and Bloomberg ESG scores, the analysis employs a two-way fixed-effects model with firm-level clustered standard errors. The baseline results show that higher ESG scores are significantly associated with higher stock excess returns, measured by the Sharpe ratio. Mechanism tests further indicate that ESG performance affects stock returns by alleviating information asymmetry, concentrating investors' limited attention, and strengthening investor confidence. The information-asymmetry channel exhibits a masking effect, whereas analyst coverage and investor confidence operate as partial mediators. The baseline findings remain robust after using lagged ESG scores, applying a city-peer ESG instrumental variable in a two-stage least-squares framework, replacing the dependent and explanatory variables, adding additional controls, and winsorizing continuous variables. Heterogeneity tests show that the positive ESG effect is stronger for non-state-owned firms, heavily polluting firms, and firms located in more market-oriented regions. Further analysis indicates that the environmental and governance dimensions are the principal drivers of the aggregate ESG effect and that institutional ownership partially mediates the ESG-return relationship. Overall, the findings show that ESG performance is relevant not only to corporate fundamentals but also to the transmission and incorporation of firm-specific information into stock prices, with implications for listed firms, investors, financial institutions, and regulators.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.57237/j.wjeb.2026.02.002first seen 2026-09-19 05:11:34
🔔 こうした論文の新着を逃したくない方は キーワードアラート に登録（無料・3キーワードまで）。
gxceed は公開メタデータに基づく研究支援データセットです。要約・翻訳・解説は AI 支援で生成されています。 最終的な解釈・検証は利用者が原典資料に基づいて行うことを前提とします。