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Environmental, social, and governance disclosure and capital market mispricing

Version 2 2024-06-03, 02:27
Version 1 2024-01-12, 00:22
journal contribution
posted on 2024-06-03, 02:27 authored by B Wang, F Wang, X Kong, L Liu, Chunlu LiuChunlu Liu
AbstractWith the development of sustainability, ESG information has become a key factor for investors in capital market, but researches on the relationship between ESG disclosure and capital market efficiency has not been clear. Using the data of Chinese A‐share listed companies from 2011 to 2019, this study examined the relationship between ESG disclosure and market mispricing. The results showed that the higher ESG disclosure with lower level of mispricing, which was also verified in both the overvalued and undervalued samples. The test of environmental (E), social (S), and, governance (G) showed that environmental disclosure can restrain the over‐valuation, social disclosure can mitigate the under‐valuation, and corporate governance disclosure has no significant impact on the mispricing. In addition, this paper identified the effect of ESG disclosure on market mispricing by using exogenous market fluctuation. Furtherly, mechanism analysis results showed that ESG disclosure can affect pricing deviation through signaling and supervision effects.

History

Journal

Corporate Social Responsibility and Environmental Management

Location

London, Eng.

ISSN

1535-3958

eISSN

1535-3966

Language

English

Publication classification

C1 Refereed article in a scholarly journal

Publisher

WILEY