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ESG rating disagreement, external attention and stock return: Evidence from China

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  • Tan, Ruipeng
  • Pan, Lulu

Abstract

Using a comprehensive dataset comprising various ratings on ESG performance of A-listed companies in China, we find that ESG rating disagreement exerts a significantly negative influence on both stock returns and volatility. External attention serves as a crucial moderating factor influencing the relationship.

Suggested Citation

  • Tan, Ruipeng & Pan, Lulu, 2023. "ESG rating disagreement, external attention and stock return: Evidence from China," Economics Letters, Elsevier, vol. 231(C).
    • Handle: RePEc:eee:ecolet:v:231:y:2023:i:c:s0165176523002938
    DOI: 10.1016/j.econlet.2023.111268
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    References listed on IDEAS

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    1. Avramov, Doron & Cheng, Si & Lioui, Abraham & Tarelli, Andrea, 2022. "Sustainable investing with ESG rating uncertainty," Journal of Financial Economics, Elsevier, vol. 145(2), pages 642-664.
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    4. Aaron K. Chatterji & David I. Levine & Michael W. Toffel, 2009. "How Well Do Social Ratings Actually Measure Corporate Social Responsibility?," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 18(1), pages 125-169, March.
    5. Hu, Xinwen & Hua, Renhai & Liu, Qingfu & Wang, Chuanjie, 2023. "The green fog: Environmental rating disagreement and corporate greenwashing," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
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    Cited by:

    1. Yong Shi & Tongsheng Yao, 2025. "ESG Rating Divergence: Existence, Driving Factors, and Impact Effects," Sustainability, MDPI, vol. 17(10), pages 1-26, May.
    2. Ju, Chunhua & Fang, Xusheng & Shen, Zhonghua, 2025. "ESG rating divergence and stock price crash risk," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
    3. Si, Yuxiu & Wu, Gongliang, 2025. "ESG rating disagreement and supply chain bargaining power: evidence from China," Finance Research Letters, Elsevier, vol. 83(C).
    4. Diana Elena VASIU, 2024. "Esg Rates Divergence On The Emerging Markets In The European Union," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 19(2), pages 274-289, August.
    5. Minghua Dong & Miaomiao Li & Hongxia Wang & Yuanyuan Pang, 2025. "ESG Disagreement and Stock Price Crash Risk: Evidence from China," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(1), pages 267-299, March.
    6. Zhang, Xing & Li, Yiwen & Ji, Mingcan & Wang, Jiabian, 2024. "Does ESG help reduce the goodwill impairment?—From perspectives of information increment and information manipulation," Finance Research Letters, Elsevier, vol. 64(C).
    7. Ajithakumari Vijayappan Nair Biju & Snehith Jacob Kodiyatt & P. P. Nithi Krishna & Geetha Sreelekshmi, 2023. "ESG sentiments and divergent ESG scores: suggesting a framework for ESG rating," SN Business & Economics, Springer, vol. 3(12), pages 1-21, December.
    8. Lou, Zhukun & Li, Sujie & Tong, Jingyi & Zhao, Jing, 2025. "ESG rating disagreement and the cost of equity capital," Global Finance Journal, Elsevier, vol. 66(C).
    9. Zhang, Xinyi & Khurram, Muhammad Usman & Moussa, Faten & Jiang, Yuexiang, 2025. "The role of voluntary environmental and social disclosure in mitigating ESG Rating divergence," Finance Research Letters, Elsevier, vol. 81(C).
    10. Li, Ge & Cheng, Yuxiang, 2024. "Impact of environmental, social, and governance rating disagreement on real earnings management in Chinese listed companies," Global Finance Journal, Elsevier, vol. 62(C).
    11. Wang, Wenjiao & Sun, Ziyuan & Wang, Lan, 2025. "Does ESG rating divergence exacerbate management tone manipulation? − Empirical evidence based on MD&A text," Journal of Business Research, Elsevier, vol. 197(C).
    12. Zeng, Qingduo & Xu, Yang & Hao, Mengshu & Gao, Meiqi, 2025. "ESG rating disagreement, volatility, and stock returns," Finance Research Letters, Elsevier, vol. 72(C).
    13. Li, Li & Zhang, Du & Li, Rongrong, 2024. "ESG rating disagreement and corporate innovation: Evidence from China," Finance Research Letters, Elsevier, vol. 62(PA).
    14. Sun, Guanglin & Yan, Zian & Gong, Zejun & Li, Mengding, 2025. "The impact of ESG rating divergence on stock price crash risk," International Review of Financial Analysis, Elsevier, vol. 102(C).
    15. Wang, Haijun & Jiao, Shuaipeng & Ge, Chen & Sun, Guanglin, 2024. "Corporate ESG rating divergence and excess stock returns," Energy Economics, Elsevier, vol. 129(C).
    16. Yin, Libo & Zhu, Xiaoye & Su, Zhi & Guo, Hongliang, 2025. "Is disagreement beneficial for market efficiency? Evidence from ESG ratings," Journal of International Money and Finance, Elsevier, vol. 154(C).
    17. Wang, Jianli & Xiao, Xiao & Dong, Minghua & Li, Jingyuan, 2025. "Does ESG rating disagreement discourage corporate green innovation? Evidence from China," Research in International Business and Finance, Elsevier, vol. 80(C).
    18. Tian, Lihui & Wu, Haifeng & Zhu, Xiaoman, 2025. "Does climate risk perception drive the realization of corporate environmental responsibility?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 47(C).
    19. Menghan Li & Qi Chen, 2025. "ESG Rating Disagreement and the Quality of Analysts' Forecasts: Information or Noise," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(4), pages 3744-3760, October.

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    Keywords

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    JEL classification:

    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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