We develop an information choice model where information costs are sticky and co-move with firm-level intrinsic uncertainty as opposed to temporal variations in uncertainty. Incorporating analysts' forecasts, we predict a negative relationship between information costs and information acquisition, as proxied by the predictability of analysts' forecast biases. Finally, the model shows a contrasting pattern between information acquisition and intrinsic and temporal uncertainty, where intrinsic uncertainty strengthens return predictability of analysts' biases through the information cost channel, while temporal uncertainty weakens it through the information benefit channel. We empirically confirm these opposing relationships that existing theories struggle to explain.

Using data from Chinese A-share listed companies from 2010 to 2021, we examined the impact of ESG rating disagreement on stock price synchronicity and its mechanisms. We discovered that ESG rating disagreement increases stock price synchronicity by raising investors' information costs and reducing the efficiency of ESG information incorporation into prices. This effect is more pronounced when average ESG ratings are either low or high. Our findings highlight how ESG rating disagreement affects stock price synchronicity and provide insights for regulators to standardize rating criteria and foster a conducive ESG investment environment, promoting pricing efficiency in the capital markets.