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徐家健:ESG評級如何影響股價?

【明報專訊】研究發現,獲不一致ESG評級的公司,股價較受ESG消息影響,但獲ESG評級較一致的公司,ESG消息對股價影響較微。

Tesla創辦人馬斯克(Elon Musk)又有新聞。近日他在twitter狠批「@SPGlobalRatings has lost their integrity」:

Exxon is rated top ten best in world for environment, social & governance (ESG) by S&P 500, while Tesla didn't make the list! ESG is a scam. It has been weaponized by phony social justice warriors.

當全球最大電動車公司Tesla被踢出標普ESG指數的名單,埃克森這石油企業巨頭卻繼續留名十大,難怪馬斯克如此動氣,質疑ESG是個騙局。環境保護(Environment)、社會責任(Social)和公司治理(Governance)近年愈來愈被傳媒重視,付出真金白銀的投資者又怎樣看ESG呢?

最近一篇名為「Stock Price Reactions to ESG News: The Role of ESG Ratings and Disagreement」的學術研究發現:

We find that the consensus rating predicts future news, but its predictive ability diminishes for firms with large disagreement between raters. The relation between news and market reaction is moderated by the consensus rating. In the presence of high disagreement between raters, the relation between news and market reactions weakens while the rating with the most predictive power predicts future stock returns. Overall, while rating disagreement hinders the incorporation of value relevant ESG news into prices, ratings predict future news and proxy for market expectations of future news.

原來,ESG不同評級可以有很大差異。Tesla被踢出標普的名單,其他評級機構未必這樣看,因此儘管不同意標普的評級,這並不代表ESG是個騙局。

當不同ESG評級存在重大差異,ESG消息對股價影響變得複雜。有趣的是,獲一致好評的企業,ESG消息反而對股價沒有重大影響,因為能預測EGS消息的評級早已影響了股價。隨着Tesla被踢出標普ESG指數的名單,往後Tesla股價可能變得更受ESG消息影響。

美國克林信大學經濟系副教授 facebook.com/economics3.0

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