2409 
3042环境、社会与公司治理(ESG)作为全球范围内衡量企业高质量发展水平的重要标准，对股票市场运行有着重要影响，然而在多层次资本市场结构下ESG对股票市场定价效率的影响机理尚未达成共识。文章以2009—2022年我国创业板上市公司为对象，分析了其ESG表现对股票定价效率的影响，并探讨了投资者关注度在这一影响关系中的调节效应。研究发现，创业板公司ESG表现可以通过缓解信息不对称程度、积累企业声誉资本，提升股票定价效率；在多层次资本市场体系中，创业板公司股票定价效率对上层同群公司ESG表现的敏感性要强于对同层同群公司ESG表现的敏感性，说明主板公司ESG表现对创业板公司投资策略调整有着重要的示范引领效应。进一步分析发现，机构投资者关注度的提高会强化公司ESG表现对股票定价效率的正向影响，而个体投资者关注度的提高会削弱这一正向影响效应；对行业竞争程度较高、环境敏感度较高的样本公司来说，ESG表现对股票定价效率的正向影响更为显著。研究结论对补充现有ESG报告等非财务信息披露在股市运行中所承担角色的相关理论有一定价值。
创业板上市公司ESG表现与股票定价效率——基于我国多层次资本市场体系的研究
摘要
参考文献
1 陈辉, 蔡贵鸣, 顾乃康. 多层次资本市场跨层次资源配置功能研究——来自中国主板和创业板的经验证据[J]. 证券市场导报, 2023, (1). DOI:10.3969/j.issn.1005-1589.2023.1.zqscdb202301007
2 管考磊, 张蕊. 企业声誉与盈余管理: 有效契约观还是寻租观[J]. 会计研究, 2019, (1). DOI:10.3969/j.issn.1003-2886.2019.01.014
3 胡志强, 祝文达, 陈赛飞. 企业IPO对同行业上市公司的影响: 竞争效应还是信息溢出效应?——基于动态产品市场竞争的微分博弈模型与实证研究[J]. 管理科学学报, 2019, (6). DOI:10.3969/j.issn.1007-9807.2019.06.003
14 王嘉鑫, 刘雪娜, 于鑫雨, 等. 银企ESG一致性与贷后企业策略性ESG行为[J]. 财经研究, 2023.
17 武鹏, 杨科, 蒋峻松, 等. 企业ESG表现会影响盈余价值相关性吗?[J]. 财经研究, 2023, (6).
19 于蔚, 汪淼军, 金祥荣. 政治关联和融资约束: 信息效应与资源效应[J]. 经济研究, 2012, (9).
20 曾伟强, 李延喜, 张婷婷, 等. 行业竞争是外部治理机制还是外部诱导因素——基于中国上市公司盈余管理的经验证据[J]. 南开管理评论, 2016, (4).
21 张继德, 廖微, 张荣武. 普通投资者关注对股市交易的量价影响——基于百度指数的实证研究[J]. 会计研究, 2014, (8). DOI:10.3969/j.issn.1003-2886.2014.08.012
22 张晓宇, 王策, 钱乐乐. 股票价格的“涟漪效应”研究——基于公司投资决策的视角[J]. 财经研究, 2017, (12).
23 Albuquerque R, Koskinen Y, Zhang C D. Corporate social responsibility and firm risk: Theory and empirical evidence[J]. Management Science,2019,65(10):4451–4469. DOI:10.1287/mnsc.2018.3043
24 Badertscher B, Shroff N, White H D. Externalities of public firm presence: Evidence from private firms’ investment decisions[J]. Journal of Financial Economics,2013,109(3):682–706. DOI:10.1016/j.jfineco.2013.03.012
25 Baker M, Stein J C, Wurgler J. When does the market matter? Stock prices and the investment of equity-dependent firms[J]. The Quarterly Journal of Economics,2003,118(3):969–1005. DOI:10.1162/00335530360698478
26 Bris A, Goetzmann W N, Zhu N. Efficiency and the bear: Short sales and markets around the world[J]. The Journal of Finance,2007,62(3):1029–1079. DOI:10.1111/j.1540-6261.2007.01230.x
27 Chan S H, Leung W K, Wang K. The impact of institutional investors on the Monday seasonal[J]. The Journal of Business,2004,77(4):967–986. DOI:10.1086/422630
28 Chen H L, Chow E H, Shiu C Y. The informational role of individual investors in stock pricing: Evidence from large individual and small retail investors[J]. Pacific-Basin Finance Journal,2015,31:36–56. DOI:10.1016/j.pacfin.2014.12.001
29 Cheng F Y, Chiao C, Wang C F, et al. Does retail investor attention improve stock liquidity? A dynamic perspective[J]. Economic Modelling,2021,94:170–183. DOI:10.1016/j.econmod.2020.10.001
30 Dai J W, Lu C, Yang Y, et al. Is the social responsibility information disclosed by the companies really valuable? -Evidence from Chinese stock price synchronicity[J]. Sustainability,2018,10(10):3578. DOI:10.3390/su10103578
31 Dhaliwal D S, Radhakrishnan S, Tsang A, et al. Nonfinancial disclosure and analyst forecast accuracy: International evidence on corporate social responsibility disclosure[J]. The Accounting Review,2012,87(3):723–759. DOI:10.2308/accr-10218
32 Gao F, Lisic L L, Zhang I X. Commitment to social good and insider trading[J]. Journal of Accounting and Economics,2014,57(2-3):149–175. DOI:10.1016/j.jacceco.2014.03.001
33 Hou K W, Moskowitz T J. Market frictions, price delay, and the cross-section of expected returns[J]. Review of Financial Studies,2005,18(3):981–1020. DOI:10.1093/rfs/hhi023
34 Kim Y, Li H D, Li S Q. Corporate social responsibility and stock price crash risk[J]. Journal of Banking & Finance,2014,43:1–13.
35 Kounin J S, Gump P V. The ripple effect in discipline[J]. The Elementary School Journal,1958,59(3):158–162. DOI:10.1086/459706
36 Lee M T. Corporate social responsibility and stock price crash risk: Evidence from an Asian emerging market[J]. Managerial Finance,2016,42(10):963–979. DOI:10.1108/MF-10-2015-0278
37 Shi W, Zhang Y, Hoskisson R E. Ripple effects of CEO awards: Investigating the acquisition activities of superstar CEOs’ competitors[J]. Strategic Management Journal,2017,38(10):2080–2102. DOI:10.1002/smj.2638
38 Xie J, Nozawa W, Yagi M, et al. Do environmental, social, and governance activities improve corporate financial performance?[J]. Business Strategy and the Environment,2019,28(2):286–300. DOI:10.1002/bse.2224
39 Xu N R, Liu J, Dou H. Environmental, social, and governance information disclosure and stock price crash risk: Evidence from Chinese listed companies[J]. Frontiers in Psychology,2022,20(13):977369.
引用本文
尹海员, 胡项淼. 创业板上市公司ESG表现与股票定价效率——基于我国多层次资本市场体系的研究[J]. 上海财经大学学报, 2024, 26(1): 48-63.
导出参考文献，格式为：
