We present a rational expectation equilibrium model to explore how ESG rating disagreement impacts stock returns. Our findings reveal that high disagreement in ESG rating is associated with high return volatility risk, which potentially leads to increased stock returns. Our empirical results confirm a positive impact of ESG disagreement on stock returns, reinforcing our theoretical findings. The mechanism tests suggest that ESG disagreement enhances stock returns by amplifying idiosyncratic return volatility. Overall, our research sheds light on how ESG disagreement affects stock returns through market microstructure, and offers valuable insights into the role that ESG disagreement plays in ESG investing.

中文翻译：

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ESG 评级分歧、波动性和股票回报


我们提出了一个理性预期均衡模型，以探讨 ESG 评级分歧如何影响股票回报。我们的研究结果表明，ESG 评级的高度不一致与高回报波动风险相关，这可能会导致股票回报增加。我们的实证结果证实了 ESG 分歧对股票回报的积极影响，强化了我们的理论发现。机制测试表明，ESG 分歧通过放大特质回报波动来提高股票回报。总体而言，我们的研究阐明了 ESG 分歧如何通过市场微观结构影响股票回报，并为 ESG 分歧在 ESG 投资中的作用提供了宝贵的见解。