| 摘要: |
| ESG信息披露是上市公司与投资者沟通的重要方式，分析其是否能改善资本市场定价效率，对新时期助力市场资源配置功能发挥，增强金融服务实体经济能力具有重要意义。考虑到股价同步性是衡量资本市场定价效率的有效指标，本文以2016－2020年中国A股上市公司为样本，分析ESG信息披露对资本市场定价效率的影响及其作用渠道。研究发现：（1）中国当前股票市场信息环境整体表现为噪声环境，即随公司基本面信息的增加，代表资本市场定价效率的股价同步性将上升；（2）在噪声环境中，ESG信息披露可以揭示公司基本面信息，反映公司内在价值，进而改善资本市场定价效率；（3）ESG信息披露可以通过减少投资者噪声交易行为、缓解市场信息不对称程度，继而改善市场定价效率。本研究为完善信息披露制度、优化资本市场信息环境、提升市场定价效率提供了决策参考。 |
| 关键词: ESG信息披露；股价同步性；噪声交易；信息不对称 |
| DOI： |
| 分类号:F832.5 |
| 基金项目:国家社会科学基金一般项目：“碳达峰碳中和目标下的电碳关联市场设计与资源配置机制创新研究”（21BJL080）；国家电网科学技术项目“适应外部新形势的输配电管理体制及量化评价技术研究”（SGTYHT/20-JS-221）。 |
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| Can ESG Information Disclosure Improve Pricing Efficiency in Capital Markets? |
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LIU Zi-min，WANG Jian-yu，YOU Hong
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（School of Economics and Management，Southwest University）
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| Abstract: |
| ESG information disclosure is an important way for listed companies to communicate with investors，and it is of great significance to analyze whether it can improve the pricing efficiency of the capital market，which is of great significance to help the market resource allocation function in the new era and enhance the real economic capacity of financial services.Considering that stock price synchronization is an effective indicator to measure the pricing efficiency of the capital market，this paper takes China’s A-share listed companies from 2016 to 2020 as a sample to analyze the impact of ESG information disclosure on the pricing efficiency of the capital market and its role channels.It is found that:(1) the overall performance of China’s current stock market information environment is a noise environment，that is，with the increase of fundamental information of companies，the synchronization of stock prices，which represents the pricing efficiency of the capital market，will increase；(2) In a noisy environment，ESG information disclosure can reveal the company’s fundamental information，reflect the company’s intrinsic value，and then improve the pricing efficiency of the capital market；(3) ESG information disclosure can improve market pricing efficiency by reducing investor noise trading behavior and alleviating the degree of market information asymmetry.This study provides a decision-making reference for improving the information disclosure system，optimizing the information environment of the capital market，and improving the efficiency of market pricing. |
| Key words: ESG Information Disclosure；Stock Price Synchronization；Noise Trading；Information Asymmetry |
