ESG report textual similarity and stock price synchronicity: Evidence from China

被引：7

作者：

Xu, Duo ^{[1
]}

Huang, Junkai ^{[2
]}

Ren, Xingzi ^{[3
]}

Ye, Mingyu ^{[4
]}

机构：

[1] Xi An Jiao Tong Univ, Sch Econ & Finance, Shanxi 710049, Peoples R China

[2] Nanjing Univ, Sch Management & Engn, Nanjing 210093, Jiangsu, Peoples R China

[3] Capital Univ Econ & Business, Sch Finance, Beijing 100070, Peoples R China

[4] Nanyang Technol Univ, Nanyang Ctr Publ Adm, Singapore 639798, Singapore

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2024年 / 85卷

基金：

中国国家自然科学基金;

关键词：

ESG report; Textual similarity; Stock Price synchronicity; Information efficiency; CORPORATE SOCIAL-RESPONSIBILITY; NONFINANCIAL DISCLOSURE; INFORMATION-CONTENT; FORECAST ACCURACY; MARKETS; ALLOCATION; GOVERNANCE; COVERAGE; IMPACT; RISK;

D O I：

10.1016/j.pacfin.2024.102343

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines the influence of ESG report textual similarity on stock price synchronicity within the Chinese A-share market. Using advanced textual analysis methods, including TF-IDF and LDA, we measure the textual similarity of ESG reports. Our results reveal a positive association between ESG report textual similarity and stock price synchronicity, suggesting that ESG reports with high textual similarity may not convey distinct market information. This research underscores the importance of textual distinctiveness in ESG reports and offers a fresh perspective on the role of non-financial information, particularly related to corporate social responsibilities, in stock pricing dynamics. By emphasizing the significance of ESG report textual distinctiveness, we contribute to the broader discourse on ESG disclosure behaviors and their implications for capital market efficiency.

引用

页数：14

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