Proceedings of the 2023 3rd International Conference on Business Administration and Data Science (BADS 2023)

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Differences in stock pricing efficiency between ESG-rated stocks and non-ESG-rated stocks

Authors
Yunhua Huang1, *, Sheng Li2, Keyi He3, Tianyi Mao4
1Department of Economics, Xiamen University, Xiamen, 361005, China
2Department of Maths and Statistics, Shenzhen University, Shenzhen, 518060, China
3Department of Mathematics and Physics, Xi’an Jiaotong-Liverpool University, Suzhou, 215123, China
4Woodsworth College, University of Toronto St. George Campus, Toronto, M5S, Canada
*Corresponding author. Email: 1784889752@qq.com
Corresponding Author
Yunhua Huang
Available Online 30 December 2023.
DOI
10.2991/978-94-6463-326-9_35How to use a DOI?
Keywords
ESG Rating; Stock Pricing Efficiency; Risk premium
Abstract

Environmental, social, and corporate governance, also known as ESG, has become mainstream in international enterprises by assessing the sustainability of business operations and their impact on social values from three dimensions of environmental, social, and corporate governance. Recently, it was gradually accepted by Chinese investors. Based on Chinese ESG rating and A-share market data from CSMAR, this paper constructs a novel Fama-French four-factor model to analyze the difference in their performances. The results show that: (1) the ESG-rated companies have significantly higher risk premiums than the unrated ones, indicating that the ESG rate is one of the price determinants; (2) compared with unrated companies, the rated ones have higher price efficiency; (3) in the rated group, the higher the rate is, the better the stock is priced. This study contributes to a better understanding of ESG stock performances in the Chinese market and the characteristics of ESG investment strategy, helping to further improve the exuberance of the Chinese A-share market.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2023 3rd International Conference on Business Administration and Data Science (BADS 2023)
Series
Atlantis Highlights in Computer Sciences
Publication Date
30 December 2023
ISBN
978-94-6463-326-9
ISSN
2589-4900
DOI
10.2991/978-94-6463-326-9_35How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yunhua Huang
AU  - Sheng Li
AU  - Keyi He
AU  - Tianyi Mao
PY  - 2023
DA  - 2023/12/30
TI  - Differences in stock pricing efficiency between ESG-rated stocks and non-ESG-rated stocks
BT  - Proceedings of the 2023 3rd International Conference on Business Administration and Data Science (BADS 2023)
PB  - Atlantis Press
SP  - 337
EP  - 350
SN  - 2589-4900
UR  - https://doi.org/10.2991/978-94-6463-326-9_35
DO  - 10.2991/978-94-6463-326-9_35
ID  - Huang2023
ER  -