ESG rating divergence and stock return synchronicity
| Panel A: mean tests | |||
|---|---|---|---|
| High uncertainty group (N = 9,357) (1) | Low uncertainty group (N = 13,027) (2) | T-statistic for difference between (1) and (2) | |
| Syn | −0.675 | −0.787 | 7.270*** |
| R2 | 0.373 | 0.355 | 6.733*** |
| Panel A: mean tests | |||
|---|---|---|---|
| High uncertainty group ( | Low uncertainty group ( | ||
| −0.675 | −0.787 | 7.270*** | |
| 0.373 | 0.355 | 6.733*** | |
| Panel B: regression analysis | ||
|---|---|---|
| Dependent variable | Syn | Syn |
| (1) | (2) | |
| Divergence | 0.165*** | 0.155*** |
| (0.052) | (0.048) | |
| Size | 0.214*** | |
| (0.010) | ||
| Lev | −0.500*** | |
| (0.046) | ||
| ROE | 0.012*** | |
| (0.003) | ||
| Top1 | −0.230*** | |
| (0.056) | ||
| INST | −0.144*** | |
| (0.036) | ||
| Volatility | −0.852*** | |
| (0.043) | ||
| Volume | −0.014 | |
| (0.009) | ||
| HHI | −0.451*** | |
| (0.147) | ||
| SOE | 0.187*** | |
| (0.019) | ||
| Industry FE | Yes | Yes |
| Year FE | Yes | Yes |
| N | 22,384 | 22,384 |
| Adj. R2 | 0.330 | 0.407 |
| Panel B: regression analysis | ||
|---|---|---|
| Dependent variable | ||
| (1) | (2) | |
| 0.165*** | 0.155*** | |
| (0.052) | (0.048) | |
| 0.214*** | ||
| (0.010) | ||
| −0.500*** | ||
| (0.046) | ||
| 0.012*** | ||
| (0.003) | ||
| −0.230*** | ||
| (0.056) | ||
| −0.144*** | ||
| (0.036) | ||
| −0.852*** | ||
| (0.043) | ||
| −0.014 | ||
| (0.009) | ||
| −0.451*** | ||
| (0.147) | ||
| 0.187*** | ||
| (0.019) | ||
| Industry FE | Yes | Yes |
| Year FE | Yes | Yes |
| 22,384 | 22,384 | |
| Adj. | 0.330 | 0.407 |
Note(s): Panel A presents the t-test of the mean value of firm’s R2 and Synchronicity in two groups. Column (1) shows the average value across firms with low ESG rating divergence. Column (2) presents the average value across firms with high ESG rating divergence. The last column reports the T-test/Wilcoxon–Mann–Whitney test for the difference between high and low ESG rating divergence groups. Panel B presents the multivariate regression results for ESG rating divergence and stock return synchronicity. The dependent variable is the stock return synchronicity measure. The independent variable is the average standard deviation of ESG ratings in 15 agency pairs formed by six rating agencies. See Appendix A for variable definitions. All continuous variables are winsorized at the 1% and 99% levels. Standard errors, clustered at the firm level, are reported in parentheses. ***, ** and * indicate significance at the 1%, 5% and 10% levels, respectively
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