Short-term market reactions to ESG ratings disclosures: An event study in the Chinese stock market

Zhang-Hangjian Chen, JingWen Kang, Kees G. Koedijk, Xiang Gao and ZhenHua Gu

Journal of Behavioral and Experimental Finance, 2024, vol. 43, issue C

Abstract: This paper evaluates how Chinese stocks respond to the onboarding of China-focused ESG scores on the Bloomberg Professional Terminal in the short term. By utilizing the event study approach, we find that the top 10 % of ESG-rated stocks react significantly positively to the onboarding event, whereas the bottom 10 % of ESG-rated stocks experience significant and negative cumulative average abnormal returns. Moreover, this effect is asymmetric in that the negative returns have a greater and more prominent magnitude than the positive returns. By comparing the cross-sectional data results before and after the rating event, we propose several channels through which these effects may function. The findings of this study also have economic and policy implications for investors and policy-makers.

Keywords: Market efficiency; ESG score; Event study; Chinese stock market (search for similar items in EconPapers)
JEL-codes: G14 G15 G30 M14 Q56 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:43:y:2024:i:c:s221463502400090x

DOI: 10.1016/j.jbef.2024.100975

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