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ESG report textual similarity and stock price synchronicity: Evidence from China

Author

Listed:
  • Xu, Duo
  • Huang, Junkai
  • Ren, Xingzi
  • Ye, Mingyu

Abstract

This study examines the influence of ESG report textual similarity on stock price synchronicity within the Chinese A-share market. Using advanced textual analysis methods, including TF-IDF and LDA, we measure the textual similarity of ESG reports. Our results reveal a positive association between ESG report textual similarity and stock price synchronicity, suggesting that ESG reports with high textual similarity may not convey distinct market information. This research underscores the importance of textual distinctiveness in ESG reports and offers a fresh perspective on the role of non-financial information, particularly related to corporate social responsibilities, in stock pricing dynamics. By emphasizing the significance of ESG report textual distinctiveness, we contribute to the broader discourse on ESG disclosure behaviors and their implications for capital market efficiency.

Suggested Citation

  • Xu, Duo & Huang, Junkai & Ren, Xingzi & Ye, Mingyu, 2024. "ESG report textual similarity and stock price synchronicity: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
    • Handle: RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24000945
    DOI: 10.1016/j.pacfin.2024.102343
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