ESG Rating Dispersion and Expected Stock Return in China

References

• Adrian, T., M. Fleming, O. Shachar, and E. Vogt. 2017. Market liquidity after the financial crisis. Annual Review of Financial Economics 9 (1):43–83. doi:10.1146/annurev-financial-110716-032325.
   Google Scholar
• Adrian, T., J. Kiff, and H. S. Shin. 2018. Liquidity, leverage, and regulation 10 years after the global financial crisis. Annual Review of Financial Economics 10 (1):1–24. doi:10.1146/annurev-financial-110217-023113.
   Google Scholar
• Amihud, Y., A. Hameed, W. Kang, and H. Zhang. 2015. The illiquidity premium: International evidence. Journal of Financial Economics 117 (2):350–68. doi:10.1016/j.jfineco.2015.04.005.
   Web of Science ®Google Scholar
• Anderson, E. W., E. Ghysels, and J. L. Juergens. 2005. Do heterogeneous beliefs matter for asset pricing? Review of Financial Studies 18 (3):875–924. doi:10.1093/rfs/hhi026.
   Web of Science ®Google Scholar
• Atmaz, A., and S. Basak. 2018. Belief dispersion in the stock market. The Journal of Finance 73 (3):1225–79. doi:10.1111/jofi.12618.
   Web of Science ®Google Scholar
• Avramov, D., S. Cheng, A. Lioui, and A. Tarelli. 2022. Sustainable investing with ESG rating uncertainty. Journal of Financial Economics 145 (2):642–64. doi:10.1016/j.jfineco.2021.09.009.
   Web of Science ®Google Scholar
• Bereskin, F., P. Hsu, W. Latham, and H. Wang. 2023. So Sue Me! The cross section of stock returns related to patent infringement allegations. Journal of Banking & Finance 148 (3):106740. doi:10.1016/j.jbankfin.2022.106740.
   Google Scholar
• Berg, F., J. F. Kölbel, and R. Rigobon. 2022. Aggregate confusion: The divergence of ESG ratings. Review of Finance 26 (6):1315–44. doi:10.1093/rof/rfac033.
   Web of Science ®Google Scholar
• Berkman, H., V. Dimitrov, P. C. Jain, P. D. Koch, and S. Tice. 2009. Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements. Journal of Financial Economics 92 (3):376–99. doi:10.1016/j.jfineco.2008.04.009.
   Web of Science ®Google Scholar
• Bolton, P., and M. Kacperczyk. 2021. Do investors care about carbon risk? Journal of Financial Economics 142 (2):517–49. doi:10.1016/j.jfineco.2021.05.008.
   Web of Science ®Google Scholar
• Brandon, R. G., P. Krueger, and P. S. Schmidt. 2021. ESG rating disagreement and stock returns. Financial Analysts Journal 77 (4):104–27. doi:10.1080/0015198X.2021.1963186.
   Web of Science ®Google Scholar
• Card, D., and A. B. Krueger. 1996. School resources and student outcomes: An overview of the literature and new evidence from north and south Carolina. Journal of Economic Perspectives 10 (4):31–50. doi:10.1257/jep.10.4.31.
   Web of Science ®Google Scholar
• Carhart, M. M. 1997. On persistence in mutual fund performance. The Journal of Finance 52 (1):57–82. doi:10.1111/j.1540-6261.1997.tb03808.x.
   Web of Science ®Google Scholar
• Chen, S., X. Cao, K. Lin, J. Huang, Y. Zhang, and H. Lin. 2022. Financial transparency, media coverage, and momentum in China. Emerging Markets Finance and Trade 58 (3):625–37. doi:10.1080/1540496X.2020.1825936.
   Web of Science ®Google Scholar
• Christensen, D. M., G. Serafeim, and A. Sikochi. 2022. Why is corporate virtue in the eye of the beholder? The case of ESG ratings. The Accounting Review 97 (1):147–75. doi:10.2308/TAR-2019-0506.
   Web of Science ®Google Scholar
• Diether, K. B., C. J. Malloy, and A. Scherbina. 2002. Differences of opinion and the cross section of stock returns. The Journal of Finance 57 (5):2113–41. doi:10.1111/0022-1082.00490.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1):3–56. doi:10.1016/0304-405X(93)90023-5.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 2018. Choosing factors. Journal of Financial Economics 128 (2):234–52. doi:10.1016/j.jfineco.2018.02.012.
   Web of Science ®Google Scholar
• Goetzmann, W. N., and M. Massa. 2005. Dispersion of opinion and stock returns. Journal of Financial Markets 8 (3):324–49. doi:10.1016/j.finmar.2005.04.002.
   Web of Science ®Google Scholar
• Gong, Y. 2017. Does the momentum strategy work at the industry level? Evidence from the Chinese stock market. Emerging Markets Finance and Trade 53 (5):1072–92. doi:10.1080/1540496X.2016.1264248.
   Web of Science ®Google Scholar
• Hu, X., R. Hua, Q. Liu, and C. Wang. 2023. The green fog: Environmental rating disagreement and corporate greenwashing. Pacific-Basin Finance Journal 78 (4):101952. doi:10.1016/j.pacfin.2023.101952.
   Google Scholar
• Krueger, P., Z. Sautner, L. T. Starks, and A. Karolyi. 2020. The importance of climate risks for institutional investors. The Review of Financial Studies 33 (3):1067–111. doi:10.1093/rfs/hhz137.
   Web of Science ®Google Scholar
• Miller, E. M. 1977. Risk, uncertainty, and divergence of opinion. The Journal of Finance 32 (4):1151–68. doi:10.1111/j.1540-6261.1977.tb03317.x.
   Web of Science ®Google Scholar
• Newey, W. K., and K. D. West. 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55 (3):703–08. doi:10.2307/1913610.
   Web of Science ®Google Scholar
• Park, C. 2005. Stock return predictability and the dispersion in earnings forecasts. The Journal of Business 78 (6):2351–76. doi:10.1086/497047.
   Google Scholar
• Pástor, L., R. F. Stambaugh, and L. A. Taylor. 2021. Sustainable investing in equilibrium. Journal of Financial Economics 142 (2):550–71. doi:10.1016/j.jfineco.2020.12.011.
   Web of Science ®Google Scholar
• Pedersen, L. H., S. Fitzgibbons, and L. Pomorski. 2021. Responsible investing: The ESG-efficient frontier. Journal of Financial Economics 142 (2):572–97. doi:10.1016/j.jfineco.2020.11.001.
   Web of Science ®Google Scholar
• Racicot, F. 2015. Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: A note. Applied Economics 47 (10):981–89. doi:10.1080/00036846.2014.985373.
   Web of Science ®Google Scholar
• Racicot, F., W. F. Rentz, and R. Théoret. 2018. Testing the new Fama and French factors with illiquidity: A panel data investigation. Finance, Presses universitaires de Grenoble 39 (3):45–102. doi:10.3917/fina.393.0045.
   Google Scholar
• Tang, B., Y. Hu, and Y. Yang. 2021. The initial allocation of carbon emission quotas in China based on the industry perspective. Emerging Markets Finance and Trade 57 (4):931–48. doi:10.1080/1540496X.2019.1645006.
   Web of Science ®Google Scholar
• Yu, H., X. Liu, and Y. Zhou. 2022. The effects of zombie firms on the financial information transparency of other firms. Emerging Markets Finance and Trade 58 (9):2474–92. doi:10.1080/1540496X.2021.1995350.
   Web of Science ®Google Scholar
• Yu, J. 2011. Disagreement and return predictability of stock portfolios. Journal of Financial Economics 99 (1):162–83. doi:10.1016/j.jfineco.2010.08.004.
   Web of Science ®Google Scholar
• Zuo, Y., Y. Hu, X. Liu, and H. Zhao. 2022. Corporate misconduct and analyst forecasting accuracy: Evidence from China. Emerging Markets Finance and Trade 58 (10):3006–22. doi:10.1080/1540496X.2022.2057220.
   Web of Science ®Google Scholar