摘要：金融高质量发展是推动经济绿色转型的重要支撑，然而企业“漂绿”行为可能会引发资金错配，阻碍绿色金融健康发展。鉴于此，本文基于迎合理论和信息不对称理论，将企业“漂绿”行为纳入考虑ESG评级分歧的可持续投资资产定价模型，采用2010－2022年A股上市企业数据实证检验企业“漂绿”行为、股票市场投资者反应与ESG评级三者之间的内在关联。研究发现：企业“漂绿”行为在短期内推高了股票收益率，表明市场对“漂绿”行为存在非理性定价偏差；ESG评级通过发挥信息甄别与市场约束的信息效应，能够抑制“漂绿”行为对短期股票收益率的提升作用，而ESG评级分歧会显著弱化ESG评级的信息效应；对于机构投资者持股比例较低、不存在绿色投资者、内部控制质量较低和自愿披露的企业而言，“漂绿”行为对短期股票收益率的提升作用更为显著。进一步分析表明，企业“漂绿”行为加剧了企业短期和长期的市场风险水平，不利于企业可持续发展。本文研究结论丰富了企业“漂绿”行为治理与ESG评级经济后果的相关文献，为进一步完善ESG评级体系、规范企业环境信息披露、引导绿色资金合理配置提供理论支撑与政策启示。
关键词：企业“漂绿”行为；投资者市场反应；ESG评级；信息效应；事件分析法
Greenwashing Behavior, Information Effect and Investors’ Reactions
Li Ke, Qin Tian, Zhou Jieming, Tang Liwei
Abstract：High-quality financial development serves as a critical pillar for advancing the green transformation of the economy. However, corporate greenwashing may lead to capital misallocation and hinder the healthy development of green finance. Against this backdrop, drawing on catering theory and information asymmetry theory, this study incorporates corporate greenwashing into an asset pricing model for sustainable investment under ESG rating divergence. Using data from A-share listed firms spanning from 2010 to 2022, this study empirically examines the intrinsic relationships among corporate greenwashing, stock market investor reactions, and ESG ratings. The findings reveal that corporate greenwashing can elevate short-term stock returns, which points to irrational pricing biases of the market in response to greenwashing behavior. ESG ratings exert an information effect—serving as an information screening mechanism and a market discipline device—thereby attenuating the positive impact of greenwashing on stock returns, while ESG rating divergence significantly weakens such effect. The positive effect of greenwashing on short-term stock returns is more pronounced for firms with lower institutional ownership, no green investors, weaker internal control quality, and voluntary disclosure practices. Further analyses show that greenwashing exacerbates both short-term and long-term market risk, undermining firms’ sustainable development. This study enriches the literature on the governance of corporate greenwashing and the economic consequences of ESG ratings, providing theoretical support and policy implications for further improving the ESG rating system, standardizing corporate environmental information disclosure, and guiding the rational allocation of green capital.
Keywords：Corporate Greenwashing；Investor Market Reactions；ESG Ratings；Information Effect；Event Analysis
