摘要：“双碳”背景下，气候信息披露作为企业展现环境责任的关键要素，其信息价值尚未得到充分重视。本文基于2010—2023年沪深A股上市公司数据，深入探讨了企业气候信息披露对资本市场定价效率的影响及作用机制。实证结果显示，企业积极披露气候信息能够有效降低股价同步性，提高资本市场定价效率。从作用机制来看，企业气候信息披露能通过缓解信息不对称、增加机构投资者持股比例，进而提升资本市场定价效率。进一步分析发现，气候信息披露与实质性绿色创新具有协同效应，当企业绿色创新能力较强时，气候信息披露的作用得以充分释放。此外，在ESG评级较高、行业竞争程度较强的企业样本中，气候信息披露对资本市场定价效率的促进作用更为显著。研究结论可为企业提高气候信息披露水平、释放气候信息价值提供经验依据，同时为监管部门进一步完善气候信息披露规范提供政策参考。
关键词：气候信息披露；资本市场定价效率；股价同步性
Climate Information Disclosure and Capital Market Pricing Efficiency
Zhang Jun, Zhao Yuxin, Li Yanting
Abstract: Under the dual carbon goal, climate information disclosure, as a key element for enterprises to demonstrate their environmental responsibility, has not yet received sufficient attention regarding its informational value. Based on data from listed companies on the Shanghai and Shenzhen A-share markets from 2010 to 2023, this paper deeply explores the impact and mechanism of corporate climate information disclosure on the pricing efficiency of the capital market. The empirical results show that actively disclosing climate information by enterprises can effectively reduce stock price synchronicity and improve the pricing efficiency of the capital market. From the perspective of the mechanism, corporate climate information disclosure can enhance the pricing efficiency of the capital market by alleviating information asymmetry and increasing the shareholding ratio of institutional investors. Further analysis reveals that climate information disclosure has a synergistic effect with substantive green innovation, and when enterprises have strong green innovation capabilities, the role of climate information disclosure can be fully unleashed. In addition, among enterprise samples with higher ESG ratings and stronger industry competition, the promotion effect of climate information disclosure on the pricing efficiency of the capital market is more significant. The research conclusions can provide empirical evidence for enterprises to improve their level of climate information disclosure and unleash the value of climate information, while also providing policy references for regulatory authorities to further improve the norms for climate information disclosure.
Keywords: Climate Information Disclosure; Capital Market Pricing Efficiency; Stock Price Synchronicity
