【摘要】 机构间ESG评级差异引致的信息不对称问题对资本市场产生了深刻影响。利用不同机构的ESG评级结果构建ESG评级分歧指标，以2011—2022年沪深A股上市公司为研究样本，考察ESG评级分歧究竟如何影响股票流动性。基准回归结果表明，ESG评级分歧对股票流动性具有显著的负向影响，即ESG评级分歧降低了股票流动性，且经过倾向匹配得分、Heckman两阶段、更换变量衡量方式等一系列稳健性检验后结论依然成立；机制检验表明，加剧上市公司与投资者之间以及投资者与投资者之间的信息不对称是ESG评级分歧作用于股票流动性的主要渠道；调节效应发现，媒体关于ESG的报道能够负向调节ESG评级分歧对股票流动性的影响效应；异质性分析发现，ESG评级分歧对股票流动性的负向影响主要体现在ESG表现较差、存在绿色投资者以及非重污染行业企业中；此外，ESG评级分歧对股票流动性的负向影响显著降低了企业创新水平。本文不仅从股票市场运行效率层面揭示了ESG评级分歧的负面经济后果，也为相关机构如何构建规范、统一的ESG评级标准提供了切实可行的建议。更多还原

【Abstract】 The information asymmetry caused by differences in ESG ratings among institutions has had a profound impact on the capital market.This paper constructs an ESG rating divergence indicator using ESG ratings from different institutions and uses listed companies on the Shanghai and Shenzhen A-shares from 2011 to 2022 as the research sample to examine how ESG rating divergence affects stock liquidity.The baseline regression results show that ESG rating divergence has a significant negative impact on stock liquidity,indicating that ESG rating divergence reduces stock liquidity.This conclusion remains robust after a series of tests,including propensity score matching,Heckman two-stage method,and alternative variable measurement approaches.Mechanism analysis reveals that increased information asymmetry between listed companies and investors,as well as among investors themselves,is the main channel through which ESG rating divergence affects stock liquidity.Moderating effect analysis indicates that media coverage on ESG can negatively moderate the impact of ESG rating divergence on stock liquidity.Heterogeneity analysis reveals that the negative effect of ESG rating divergence on stock liquidity is mainly evident in companies with poor ESG performance or with green investors,and in non-heavily polluting industries.Furthermore,it reduces corporate innovation levels.This paper not only reveals the negative economic consequences of ESG rating divergence from the perspective of stock market efficiency but also provides practical suggestions for relevant institutions on how to establish standardized and unified ESG rating criteria.更多还原