Jianfeng Zhang, Zexin Zhao, Lutong Zhang, Mingyang Fu
School of Economics and Management, Xi'an University of Technology, Xi'an, China.
Heliyon. 2024 Sep 30;10(19):e38760. doi: 10.1016/j.heliyon.2024.e38760. eCollection 2024 Oct 15.
This study examines the impact of environmental, social and governance (ESG) rating changes on fund shareholding based on rating data from five agencies. Using a sample of Shanghai and Shenzhen A-share listed companies in China spanning from 2019 to 2021, we find robust evidence that the mean value of ESG ratings by agencies positively impact the number of fund holdings, while the standard deviation of ESG ratings by agencies have no impact on the number of fund holdings. Additionally, the mean value of ESG ratings by agencies have a greater impact on the number of fund holdings among state-owned and industrial companies, and the mean value of ESG ratings by agencies has a larger impact on the number of fund holdings in a one-year window than in a six-month window. Moreover, we find that the mean value of ESG ratings by agencies negatively impact the stock price volatility. The results show that ESG rating changes play a positive role in the decision-making of fund shareholding and in promoting the sustainable development of firms.
本研究基于五家机构的评级数据，考察环境、社会和治理（ESG）评级变化对基金持股的影响。以2019年至2021年中国沪深A股上市公司为样本，我们发现有力证据表明，机构ESG评级的均值对基金持股数量有正向影响，而机构ESG评级的标准差对基金持股数量没有影响。此外，机构ESG评级的均值对国有和工业企业的基金持股数量影响更大，且机构ESG评级的均值在一年期窗口内对基金持股数量的影响大于六个月期窗口。此外，我们发现机构ESG评级的均值对股价波动率有负向影响。结果表明，ESG评级变化在基金持股决策和促进企业可持续发展方面发挥着积极作用。
