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<p>Against the backdrop of accelerated development in climate finance and sustainable investment, ESG ratings have become an important source of information for capital markets to identify corporate sustainability and climate related risks. However, the divergence in ESG ratings reduces the comparability and availability of ESG signals, and has an impact on the market risk pricing process. Based on the above background, this article takes Chinese A-share listed companies from 2015 to 2023 as the research object, systematically examines the impact of ESG rating differences on stock characteristic volatility and its potential mechanisms. This study used a two-way fixed effects model, combined with propensity score matching and instrumental variable method to alleviate potential endogeneity issues, and conducted multiple robustness tests. The results indicate that differences in ESG ratings significantly increase the volatility of stock characteristics. Further mechanism testing shows that this impact is mainly transmitted through channels such as increasing the opacity of enterprise information, expanding the scope of information dissemination, and increasing the intensity of information attention. In addition, the information intermediary environment will significantly weaken the risk amplification effect mentioned above. Heterogeneity analysis found that this effect is more significant in non-state-owned enterprises, non Big Four audit firms, dual employee enterprises, and manufacturing samples. This article takes a neutral perspective from the chain of ”rating differences information environment risk pricing” and incorporates ESG rating differences into the research context of climate finance and sustainability assessment, providing empirical evidence for understanding how capital markets handle sustainable information inconsistency and its impact on the quality of risk pricing. The research findings have reference value for investors in identifying ESG information risks and climate risk allocation, improving the quality of sustainable information disclosure by listed companies, enhancing the transparency and consistency of rating agencies’ methods, and improving the sustainability related information disclosure system by regulatory authorities.</p>

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When ESG ratings disagree: information uncertainty and firm-specific volatility

  • 期刊论文

  • 发表日期：

    2026年4月2日

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  • Tongsheng Yao,
  • Yong Shi

摘要

Against the backdrop of accelerated development in climate finance and sustainable investment, ESG ratings have become an important source of information for capital markets to identify corporate sustainability and climate related risks. However, the divergence in ESG ratings reduces the comparability and availability of ESG signals, and has an impact on the market risk pricing process. Based on the above background, this article takes Chinese A-share listed companies from 2015 to 2023 as the research object, systematically examines the impact of ESG rating differences on stock characteristic volatility and its potential mechanisms. This study used a two-way fixed effects model, combined with propensity score matching and instrumental variable method to alleviate potential endogeneity issues, and conducted multiple robustness tests. The results indicate that differences in ESG ratings significantly increase the volatility of stock characteristics. Further mechanism testing shows that this impact is mainly transmitted through channels such as increasing the opacity of enterprise information, expanding the scope of information dissemination, and increasing the intensity of information attention. In addition, the information intermediary environment will significantly weaken the risk amplification effect mentioned above. Heterogeneity analysis found that this effect is more significant in non-state-owned enterprises, non Big Four audit firms, dual employee enterprises, and manufacturing samples. This article takes a neutral perspective from the chain of ”rating differences information environment risk pricing” and incorporates ESG rating differences into the research context of climate finance and sustainability assessment, providing empirical evidence for understanding how capital markets handle sustainable information inconsistency and its impact on the quality of risk pricing. The research findings have reference value for investors in identifying ESG information risks and climate risk allocation, improving the quality of sustainable information disclosure by listed companies, enhancing the transparency and consistency of rating agencies’ methods, and improving the sustainability related information disclosure system by regulatory authorities.