Retail investor trading and ESG pricing in China

被引：25

作者：

Liu, Xufeng ^{[1
]}

Wan, Die ^{[2
]}

机构：

[1] Zhejiang Gongshang Univ Hangzhou Coll Commerce, Hangzhou, Peoples R China

[2] Zhejiang Gongshang Univ Hangzhou Coll Commerce, Sch Finance, Hangzhou, Peoples R China

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2023年 / 65卷

关键词：

ESG rating; Stock pricing; Retail investors; China; CORPORATE SOCIAL-RESPONSIBILITY; CROSS-SECTION; INDIVIDUAL INVESTORS; MARKET; RISK; PERFORMANCE; VOLATILITY; BEHAVIOR; RETURNS; STOCKS;

D O I：

10.1016/j.ribaf.2023.101911

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using the ESG ratings of individual stocks in China from 2009 to 2020, we show that buying high-ESG stocks and selling low-ESG stocks earns positive and significant returns after controlling for the five Fama-French factors. Further, the pricing anomalies based on retail trading intensities can explain the returns. Further analyses show that ESG pricing power decreases as retail trading intensity increases. These findings suggest that when the dominant retail investors ignore ESG-related information, ESG positively impacts stock returns, but when these investors begin to actively trade the information, the impact declines or even turns negative. Our findings support the current ESG pricing theory.

引用

页数：20

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