Information Fog Or Multi-dimensional Signal? ESG Rating Differences, Information Asymmetry and Stock Price Synchronization

Qing Liu; Zhenggang Song

doi:10.54691/s1xf5923

Authors

Qing Liu School of Management, Tianjin University of Traditional Chinese medicine, Tianjin 301600, China
Zhenggang Song School of Management, Tianjin University of Traditional Chinese medicine, Tianjin 301600, China

DOI:

https://doi.org/10.54691/s1xf5923

Keywords:

ESG rating divergence, stock price synchronization, information asymmetry, institutional investor attention, capital market pricing efficiency.

Abstract

From the perspective of information asymmetry, this paper empirically examines the impact of ESG rating divergence on stock price synchronicity and its mechanisms, using China's A-share listed companies from 2014 to 2024 as a sample. The findings show that: (1) ESG rating divergence significantly reduces stock price synchronicity, indicating that divergence is not pure market noise but provides multi-dimensional firm-specific information increments that promote the incorporation of company-level information into stock prices; (2) institutional investor attention positively moderates this relationship, weakening the inhibiting effect in firms with high institutional ownership; (3) the effect is highly immediate, with delayed effects essentially disappearing; (4) an industry-level network contagion effect exists-peers' rating divergence affects a firm's synchronicity far more than its own, and institutional investor attention can effectively block this contagion path. Contrary to the existing "noise effect" conclusion, this paper reveals the pricing function of ESG rating divergence from an information-increment perspective, providing new empirical evidence on the ESG information environment and capital market pricing efficiency in emerging markets.

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