ESG Disagreement, Market Efficiency, and Investor Behavior: Big Data and AI Insights
Emphasizing the moderating influence of market information efficiency, this research investigates how ESG rating discrepancies influence institutional investor behavior, emphasizing the moderating role of market information efficiency. Our 2SLS and GMM analysis of Chinese listed companies (2015–2024) reveals that ESG rating differences significantly reduce institutional holdings, particularly in environmental and social dimensions. Efficient markets attenuate this effect by reducing uncertainty, underscoring the need for transparent information disclosure. The impact varies across ESG dimensions, with environmental and social disagreements driving investor caution. These findings highlight the urgency of standardizing ESG metrics. We discuss implications for regulators and outline how emerging technologies could address rating disagreements in future applications.
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