ESG Ratings Disagreement and Trading Behaviour

Mohammed Quotb; Kevin Keasey; Peng Li; Danilo Mascia

doi:10.1111/eufm.70009

ESG Ratings Disagreement and Trading Behaviour

Mohammed Quotb
, Kevin Keasey
, Peng Li
, Danilo Mascia

University of Leeds
Ain Shams University

Research output: Contribution to journal › Article › peer-review

7 Citations (SciVal)

Abstract

Given the scale of ESG ratings disagreement, we examine its impact on trading behaviour and find that a one standard deviation increase in disagreement leads to a 1.3% decline in abnormal trading volume, suggesting ESG disagreement introduces uncertainty rather than belief divergence. This effect holds across various robustness tests and is stronger for firms with low ESG performance, limited analyst coverage, or high volatility. The relationship becomes more pronounced after 2016 and is driven by norm-constrained institutional investors. Disagreement is also associated with wider bid-ask spreads, indicating reduced information efficiency.

Original language	English
Pages (from-to)	206-231
Number of pages	26
Journal	European Financial Management
Volume	32
Issue number	1
Early online date	6 Aug 2025
DOIs	https://doi.org/10.1111/eufm.70009
Publication status	Published - 31 Jan 2026

Data Availability Statement

Data subject to third-party restrictions. Restrictions apply to the availability of these data, which were used under license for this study.

Funding

We are grateful to the editor and two anonymous reviewers for their very helpful comments. We are also thankful to participants at the LUBS Doctoral Conference (Leeds, UK, June 2024) for insightful feedback. Furthermore, Mohammed Quotb gratefully acknowledges financial support from The Egyptian Ministry of Higher Education and Scientific Research represented by The Egyptian Bureau for Cultural and Educational Affairs in London.

Funders
Ministry of Higher Education and Scientific Research
Egyptian Bureau for Cultural and Educational Affairs in London

Keywords

ESG rating
stock market reaction
Trading volume
disagreement
trading volume
ESG ratings
uncertainty

ASJC Scopus subject areas

Finance
Accounting
General Economics,Econometrics and Finance

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10.1111/eufm.70009Licence: CC BY

Cite this

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ESG Ratings Disagreement and Trading Behaviour

Abstract

Data Availability Statement

Funding

Keywords

ASJC Scopus subject areas

Access to Document

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