ESG Performance,Investor Sentiment And Capital Markets Misvaluation

In 2006,The United Nations Principles for Responsible Investment(UN PRI)put forward the concept of ESG investment firstly,ESG responsible investment is an investment behavior that examines the performance of enterprises in the environment,social responsibility and corporate governance,in the context of global sustainable development,ESG responsible investment has become one of the important investment strategies in the global asset management industry.At the 2020 United Nations General Assembly,General Secretary Xi Jinping proposed the"30·60" dual carbon goal-that is,to strive to achieve carbon peak before 2030 and achieve carbon neutrality before 2060.It can be seen that ESG concepts are highly consistent with the strategic goal of China’s high-quality economic development.ESG responsible investment in the European and American capital markets has been developed for nearly half a century,while China’s research on ESG started relatively late,and listed companies are important market players and play an important role in promoting high-quality economic development.Therefore,this paper studies the ESG performance of China’s A-share listed enterprises to promote the better integration of ESG concepts into China’s economic development context.This paper studies the impact of corporate ESG performance on the valuation bias of the capital market from 2012 to 2021 based on stakeholder theory,signal transmission theory and behavioral finance theory,and explores whether the current ESG performance of enterprises has an impact on the pricing efficiency of China’s capital market.Specifically,this paper uses the price-to-book ratio decomposition method and residual income model(RIM)to measure the valuation bias of the capital market,uses the ESG rating data of Shanghai Huazheng Company to measure the ESG performance of enterprises,and uses the two-way fixed-effect model for empirical analysis.Firstly,whether the ESG performance of enterprises affects the misvaluation of the listed companies.Then,in order to study the impact mechanism,this paper divides the sample into overestimated and underestimated samples to test how the ESG performance of enterprises affects the deviation of corporate market value from intrinsic value.Then,the moderating effect of investor sentiment and the impact of enterprise heterogeneity on the relationship between the two are further discussed,state-owned and non-state-owned enterprise samples are divided,and the difference in the impact of different corporate ownership properties on ESG performance valuation bias is explored,and the samples are also divided into polluting and non-polluting enterprises,and the differences in the valuation bias of ESG performance affected by enterprises with different industry characteristics are explored.The conclusions of the study are as follows:(1)corporate ESG performance has a significant positive impact on capital market valuation bias,and the main way of influence is to promote the stock price bubble of companies with overvalued market capitalization;(2)Investor sentiment can moderate the relationship between corporate ESG performance and the misvaluation.(3)Compared with state-owned enterprises,the impact of ESG performance improvement of non-state-owned enterprises on valuation bias in the capital market is more obvious;Compared with polluting enterprises,the impact of non-polluting enterprises’ improved ESG performance on valuation bias in the capital market is more obvious.Finally,based on the conclusions,this paper puts forward countermeasures and suggestions,and rethink profoundly the shortcomings of this paper and hope that other scholars can be more perfect in their later research.