ESGスコアとライツ・イシューにおける裁定機会：国際株式市場からの証拠
ESG scores and arbitrage opportunities in rights issues: Evidence from international equity markets (原題)
Manuel Verdú, Óscar Carchano, Sergio Belza
🤖 gxceed AI 要約
日本語
2000〜2023年に41カ国で実施された258件のライツ・イシュー（新株予約権付増資）を対象に、ESGスコアが裁定機会の発生に与える影響を検証。理論価格と市場価格の乖離を用いた取引戦略とOLS・logit・probit推定により、ESGスコアが高い企業ほど裁定機会が生じやすいという、通説に反する正の有意な関連を確認した。グランジャー因果検定でもESGスコアの変動が異常の先行要因となり得ることを示し、ESG情報と価格形成メカニズムの相互作用に再考を促す。
English
Using 258 rights issues across 41 countries (2000–2023), this study tests whether ESG performance affects arbitrage opportunities in rights-based equity offerings. Contrary to the expectation that stronger sustainability improves pricing efficiency, ESG scores show a positive, significant association with arbitrage likelihood, supported by OLS, logit, probit and Granger causality tests. Results suggest high-ESG firms may face temporary overvaluation during rights offerings, one of the first empirical links between sustainability metrics and pricing inefficiencies in equity issuance.
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
日本では有報・統合報告書でのESG開示が進み、ESGスコアが資金調達や株価形成に影響する局面が増えている。本稿はESG評価が市場効率を高めるとは限らない可能性を示し、国内の増資・株主割当における投資家対応やIR戦略を考える上で示唆を与える。
In the global GX context
As ISSB/CSRD disclosure expands and ESG ratings feed into capital allocation, this paper challenges the assumption that better ESG performance equates to greater market efficiency. It adds to global scholarship on how sustainability information interacts with pricing mechanisms in equity issuance, relevant to investors and regulators scrutinizing ESG ratings' market effects.
👥 読者別の含意
🔬研究者:ESGスコアと市場価格効率の関係を実証的に問い直す、ファイナンス×サステナビリティ研究の新たな論点を提供する。
🏢実務担当者:増資・ライツ・イシュー時のESG評価と株価形成の関係を踏まえ、IR・資本政策の検討材料となる。
🏛政策担当者:ESG格付・開示情報が市場価格に与える影響を注視し、格付規制や投資家保護の議論に示唆を得られる。
📄 Abstract（原文）
This study examines the extent to which Environmental, Social, and Governance (ESG) performance influences the emergence of arbitrage opportunities in rights-based equity offerings, starting with the idea that firms with stronger sustainability indicators might display greater pricing efficiency. Using a sample of 258 rights issues conducted between 2000 and 2023 in 41 countries, we identify arbitrage conditions through a trading strategy that compares the theoretical and market price of shares acquired via subscription rights. We complement this analysis with OLS, logit, and probit estimations to evaluate whether ESG scores - interpreted as quantitative measures of firms’ sustainability practices - help explain the probability of these market anomalies arising. The results show a positive and statistically significant association between ESG scores and the likelihood of arbitrage, contrary to the usual expectation that higher ESG performance enhances market efficiency. Further, Granger causality tests provide complementary evidence that variations in ESG scores may precede the emergence of these anomalies. These results suggest that firms with stronger ESG profiles may experience temporary overvaluation during rights offerings, limiting the market’s ability to immediately absorb price discrepancies. This study provides one of the first empirical assessments linking sustainability metrics to pricing inefficiencies in rights offerings, highlighting the need for deeper analysis of how ESG information interacts with market-pricing mechanisms. To the best of the authors’ knowledge, this is one of the few articles that examines the emergence of arbitrage opportunities in equity offerings with subscription rights, and the first to introduce sustainability factors as an explanatory variable for those market anomalies
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.65748/fiqf-2026-0018first seen 2026-10-11 04:48:39
🔔 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。