ESG Performance and Stock-pricing Efficiency of GEM Listed Companies: A Study Based on the Multi-layer Capital Market System

Yin Haiyuan, Hu Xiangmiao

Journal of Shanghai University of Finance and Economics Vol. 26, Issue 01, pp. 48 - 63 (2024)  DOI:10.16538/j.cnki.jsufe.2024.01.004

Summary

As an important measurement for the high-quality development level of enterprises, environmental, social, and governance (ESG) has a significant impact on the operation of the stock market. However, there is no consensus on the mechanism by which ESG affects stock-pricing efficiency in a multi-layer capital market system. Taking China’s GEM listed companies from 2009 to 2022 as the research object, this paper analyzes the impact of their ESG performance on stock-pricing efficiency in the multi-layer capital market system and explores the moderating effect of investor attention in this relationship. The study finds that the ESG performance of GEM listed companies can enhance stock-pricing efficiency by alleviating the degree of information asymmetry and accumulating corporate reputation capital. Meanwhile, in the multi-layer capital market system, the sensitivity of stock-pricing efficiency of GEM listed companies to the ESG performance of upper-layer peer group companies is stronger than that to the ESG performance of peer group companies in the same layer, suggesting that ESG disclosure of main board companies has an important modeling and leading effect on the adjustment of investment strategies of GEM listed companies. Further analysis reveals that increased institutional investor attention strengthens the positive effect of ESG performance on stock-pricing efficiency, while increased individual investor attention weakens this positive effect. And the positive effect of ESG performance on stock-pricing efficiency is more significant for sample firms with higher industry competition and higher environmental sensitivity. The findings of this paper are valuable in supplementing the existing theories related to the role assumed by non-financial information disclosure, such as ESG reports, in the operation of the stock market, as well as in further understanding the resource allocation function of China’s multi-layer capital market.

Keywords

multi-layer capital market; GEM; ESG performance; stock-pricing efficiency