The effect of ESG rating disagreement on stock liquidity: evidence from China
ESG格付の不一致が株式流動性に与える影響：中国からのエビデンス (AI 翻訳)
Wei Cai, Yanqi Sun, Cheng Xu, Min Bai, Ziyao San
🤖 gxceed AI 要約
日本語
中国A株企業4065社の2009-2021年データを用い、ESG格付の不一致が株式流動性を有意に向上させることを発見。アナリストの注目が媒介効果を持ち、非国有企業や赤字企業で効果が強い。格付の不一致が情報シグナルとして機能することを示唆。
English
Using panel data from 4,065 Chinese A-share firms (2009-2021), this study finds that ESG rating disagreement significantly increases stock liquidity. Analyst attention and research reports mediate this effect, and the relationship is stronger in non-state-owned and loss-making firms. The findings suggest rating disagreement serves as an informative market signal.
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
中国市場特有だが、日本でも複数のESG評価機関の格付不一致が市場流動性に影響する可能性は示唆的。SSBJ開示基準の実装や投資家対応において、格付のばらつきが情報の非対称性を減らす正の側面がある点は参考になる。
In the global GX context
This study provides novel evidence from China on how ESG rating disagreement can enhance market liquidity via information intermediaries. It contributes to the global debate on ESG rating regulation and transparency, relevant to IOSCO recommendations and ISSB's work on market efficiency.
👥 読者別の含意
🔬研究者:Demonstrates that ESG rating dispersion, not just level, influences liquidity; opens avenues for cross-country comparisons.
🏢実務担当者:Highlights that companies should monitor rating disagreement as it may affect stock liquidity, and that analyst coverage can amplify market response.
🏛政策担当者:Suggests that diverse ESG ratings may improve market efficiency by providing information, informing discussions on rating consolidation vs. diversity.
📄 Abstract（原文）
Purpose This study investigates how Environmental, Social, and Governance (ESG) rating disagreement affects stock liquidity in the Chinese capital market. It further examines the information-intermediation mechanisms and firm-level conditions that shape this relationship. Design/methodology/approach Using panel data from 4,065 Chinese A-share listed firms over the period 2009–2021, this study employs fixed-effects regressions, instrumental variable techniques, and mediation and moderation analyses. ESG rating disagreement is measured by the dispersion of ratings across five ESG agencies. Findings The results show a significant positive relationship between ESG rating disagreement and stock liquidity. Mediation analyses indicate that analyst attention and research report attention transmit the effect of rating disagreement on liquidity by improving information processing and transparency. Moderation analyses reveal that the effect is stronger in non-state-owned enterprises and loss-making firms, where reliance on non-financial signals is greater. Research limitations/implications The analysis focuses on Chinese A-share firms and stock liquidity as the primary market outcome. Future research could extend the framework to other institutional settings and examine additional market consequences such as volatility, price efficiency, or cost of capital. Practical implications The findings suggest that ESG rating disagreement can serve as an informative signal for market activity and liquidity. They also highlight the importance of information intermediaries in shaping ESG-related market responses and underscore the role of disclosure quality and rating transparency in improving market efficiency. Originality/value This study advances the ESG literature by demonstrating that rating disagreement, rather than ESG performance alone, has important liquidity implications, by uncovering its information-based transmission mechanisms, and by identifying firm-level conditions under which its market impact is amplified.
🔗 Provenance — このレコードを発見したソース
- openaire https://doi.org/10.1108/cafr-07-2024-0103first seen 2026-07-18 05:09:58
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