ESG Ratings Disagreement and Trading Behaviour
研究发现ESG评级分歧每增加一个标准差，异常交易量下降1.3%，表明分歧带来不确定性而非信念差异，且对低ESG表现、少分析师覆盖或高波动公司影响更强。
ABSTRACT Given the scale of ESG ratings disagreement, we examine its impact on trading behaviour and find that a one standard deviation increase in disagreement leads to a 1.3% decline in abnormal trading volume, suggesting ESG disagreement introduces uncertainty rather than belief divergence. This effect holds across various robustness tests and is stronger for firms with low ESG performance, limited analyst coverage, or high volatility. The relationship becomes more pronounced after 2016 and is driven by norm‐constrained institutional investors. Disagreement is also associated with wider bid‐ask spreads, indicating reduced information efficiency.