Exploring the Impact of ESG Information and Uncertainty on Asset Pricing: Laboratory Experimental Evidence

Last registered on April 22, 2025
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Pre-Trial

Trial Information

General Information

Title
Exploring the Impact of ESG Information and Uncertainty on Asset Pricing: Laboratory Experimental Evidence
RCT ID
AEARCTR-0015579
Initial registration date
April 09, 2025

Initial registration date is when the trial was registered.

It corresponds to when the registration was submitted to the Registry to be reviewed for publication.

First published
April 22, 2025, 9:27 AM EDT

First published corresponds to when the trial was first made public on the Registry after being reviewed.

Locations

Country
Hong Kong
Region

Primary Investigator

Name
Xiaolin Xie
Affiliation
The Hong Kong University of Science and Technology (Guangzhou)
Contact Primary Investigator

Other Primary Investigator(s)

PI Name
Xu Zhang
PI Affiliation
The Hong Kong University of Science and Technology (Guangzhou)
Contact Investigator

Additional Trial Information

Status
In development
Start date
2025-04-10
End date
2025-08-01
Keywords
Behavior, Environment & Energy, Finance & Microfinance, Lab
Additional Keywords
ESG information, Asset pricing, Laboratory experiment, Investor heterogeneity, Uncertainty, Sustainable finance
JEL code(s)
G12, G41, Q56
Secondary IDs
Prior work
This trial does not extend or rely on any prior RCTs.
Abstract
This study investigates the impact of Environmental, Social, and Governance (ESG) information on asset pricing through a laboratory asset market experiment. Grounded in the theoretical frameworks of Pástor et al. (2021) and Pedersen et al. (2021), we categorize subjects by their ESG preferences and awareness of ESG information in double auction markets featuring three experimental assets. To address the practical challenges associated with ESG investment, we study four market conditions that vary in the real impact and reliability of ESG ratings as well as the degree of market attitude uncertainty. This design enables a causal examination of how ESG information influences asset pricing through investors' heterogeneous preferences and fundamental analysis. Our findings reveal how ESG information, moderated by uncertainty, shapes market behavior and pricing dynamics. These insights contribute to the understanding of how financial systems can be more effectively aligned with sustainability objectives.
External Link(s)

Registration Citation

Citation
Xie, Xiaolin and Xu Zhang. 2025. "Exploring the Impact of ESG Information and Uncertainty on Asset Pricing: Laboratory Experimental Evidence." AEA RCT Registry. April 22. https://doi.org/10.1257/rct.15579-1.0
Sponsors & Partners
Experimental Details

Interventions

Intervention(s)
Intervention (Hidden)
Intervention Start Date
2025-04-16
Intervention End Date
2025-08-01

Primary Outcomes

Primary Outcomes (end points)
Asset prices in different markets under different conditions
Primary Outcomes (explanation)

Secondary Outcomes

Secondary Outcomes (end points)
Secondary Outcomes (explanation)

Experimental Design

Experimental Design
Building on the theoretical frameworks of Pástor et al. (2021) and Pedersen et al. (2021), we categorize participants based on their ESG preferences and awareness of ESG information within double auction markets that include three experimental assets. To tackle the practical challenges of ESG investment, we examine four market conditions that differ in terms of the real impact and reliability of ESG ratings, as well as the level of uncertainty regarding market attitudes.
Experimental Design Details
Randomization Method
We will conduct a pre-experiment survey to categorize participants into two groups based on their green attitudes. Following this categorization, we will randomly assign participants from each group equally across various market conditions using a computer in our office.
Randomization Unit
The unit of randomization for this study will be individual participants. We will also implement group-level randomization for certain treatments, ensuring that participants with varying green attitudes are evenly distributed across different market conditions.
Was the treatment clustered?
Yes

Experiment Characteristics

Sample size: planned number of clusters
48 markets
Sample size: planned number of observations
288 subjects
Sample size (or number of clusters) by treatment arms
24 markets baseline, 24 markets with social impact treatment; all markets with uncertainty treatment
Minimum detectable effect size for main outcomes (accounting for sample design and clustering)
Supporting Documents and Materials
IRB

Institutional Review Boards (IRBs)

IRB Name
The Hong Kong University of Science and Technology (Guangzhou)
IRB Approval Date
2023-05-23
IRB Approval Number
HREP-2023-0156
Analysis Plan

Post-Trial

Post Trial Information

Study Withdrawal

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Intervention

Is the intervention completed?
No
Data Collection Complete
Data Publication

Data Publication

Is public data available?
No

Program Files

Program Files
Reports, Papers & Other Materials

Relevant Paper(s)

Reports & Other Materials