Searching for ESG Information: Heterogeneous Preferences and Information Acquisition
研究了ESG投资如何改变投资者的信息搜寻决策，构建了内生信息搜寻的理性预期均衡模型，发现传统与绿色投资者对货币和非货币风险的不同偏好导致他们从价格中寻找不同信息，且交易强度对不同信息反应不对称。
We study how environmental, social, and governance (ESG) investing reshapes investors’ information-searching decisions. We develop a rational expectations equilibrium (REE) with endogenous information-searching decisions, in which traditional and green investors have distinct preferences for monetary and non-monetary risks. These investor groups seek different information from a security’s price. The heterogeneity in price interpretation makes investors with heterogeneous preferences focus more on the same risk component that is less represented in the price. Furthermore, trading intensities respond asymmetrically to different kinds of information. Traditional and green investors trade similar information in opposite ways. As more traditional investors switch to green trading, the price is more (less) informative about monetary (non-monetary) risks.