{"title":"Decoding market reactions: Analysis of divergent signals of ESG ratings","authors":"Felix Bachner","doi":"10.1016/j.irfa.2025.104161","DOIUrl":null,"url":null,"abstract":"<div><div>This study examines how ESG ratings influence investor behavior, emphasizing the variations across rating agencies. Using daily market reactions in returns and trading volumes of 1100 North American and European firms from 2017 to 2023, the analysis identifies variations in market reactions between ESG score changes from Bloomberg and MSCI. Notably, abnormal trading volumes without abnormal returns point to two types of market ambiguity - uncertainty and disagreement - affecting ESG-related price signals. The findings underscore the need to reduce investor ambiguity to enhance market efficiency, with potential roadblocks being the limited availability, divergence, and unclear materiality of ESG information.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104161"},"PeriodicalIF":9.8000,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521925002480","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2025/3/25 0:00:00","PubModel":"Epub","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
This study examines how ESG ratings influence investor behavior, emphasizing the variations across rating agencies. Using daily market reactions in returns and trading volumes of 1100 North American and European firms from 2017 to 2023, the analysis identifies variations in market reactions between ESG score changes from Bloomberg and MSCI. Notably, abnormal trading volumes without abnormal returns point to two types of market ambiguity - uncertainty and disagreement - affecting ESG-related price signals. The findings underscore the need to reduce investor ambiguity to enhance market efficiency, with potential roadblocks being the limited availability, divergence, and unclear materiality of ESG information.
期刊介绍：
The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.
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