Bridging the Information Gap: Corporate Sustainability Disclosure and Retail Investor Trading in Emerging Markets
研究了中国A股市场企业ESG披露质量与散户交易行为的关系，发现披露质量提升显著增加散户交易量，信息不对称解释了约40%的效应，且在信息环境较弱和ESG需求较高的情境下更显著。
ABSTRACT This study examines the association between corporate ESG disclosure quality and retail investor trading behavior in Chinese A‐share market, where retail investors account for approximately 90% of trading volume. Using a five‐dimensional disclosure quality framework based on information economics principles and 8756 firm‐year observations (2016–2023), we document several findings. A one‐standard‐deviation increase in ESG disclosure quality is associated with an 8.3% increase in retail trading volume (approximately 2.9 percentage points relative to a sample mean of 35.2%), corresponding to approximately RMB 190 million in additional annual retail trading volume per firm based on sample averages. Mediation analysis suggests that information asymmetry accounts for approximately 40% of this association, operating through reduced bid–ask spreads, analyst forecast dispersion, and illiquidity. The association is significantly stronger in weaker information environments (43% larger) and contexts with higher ESG demand (53% larger). These findings extend the literature on ESG disclosure by developing a five‐dimensional quality framework beyond binary indicators, quantifying the information asymmetry channel, and providing a theoretically motivated test in a retail‐dominated emerging market. While causal inference remains challenging, the results offer insights for disclosure standard setting in emerging markets with similar characteristics.