{"title":"Size and ESG premiums: Evidence from Chinese A-share market","authors":"Yanran Wu , Riwang Zhou , Chao Zhang","doi":"10.1016/j.najef.2024.102246","DOIUrl":null,"url":null,"abstract":"<div><p>We examined environmental, social, and governance (ESG) pricing in the Chinese A-share market. The results indicate that, on average, investors holding stocks with high ESG scores do not earn higher abnormal returns. Conversely, stocks with low ESG scores perform better. In terms of ESG components, the ESG discount in the current Chinese A-share market is primarily manifested as a governance discount. On the other hand, we investigated the sources of ESG discounts. The findings reveal that the ESG discount is unrelated to most risk characteristic variables but is associated with size, liquidity, and investors’ ESG preferences, with size having the greatest impact. Based on our results, we suggested that for small-scale companies, investors may view good ESG performance as a signal of risk mitigation; for large-scale companies, good ESG performance may be viewed as a value signal.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"74 ","pages":"Article 102246"},"PeriodicalIF":3.8000,"publicationDate":"2024-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940824001712","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
We examined environmental, social, and governance (ESG) pricing in the Chinese A-share market. The results indicate that, on average, investors holding stocks with high ESG scores do not earn higher abnormal returns. Conversely, stocks with low ESG scores perform better. In terms of ESG components, the ESG discount in the current Chinese A-share market is primarily manifested as a governance discount. On the other hand, we investigated the sources of ESG discounts. The findings reveal that the ESG discount is unrelated to most risk characteristic variables but is associated with size, liquidity, and investors’ ESG preferences, with size having the greatest impact. Based on our results, we suggested that for small-scale companies, investors may view good ESG performance as a signal of risk mitigation; for large-scale companies, good ESG performance may be viewed as a value signal.
期刊介绍：
The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.
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