本研究檢驗投資期限與 ESG 偏好聚焦於同一群機構時，其持股集中度如何影響定價效率，並檢視其資訊內涵是否獨立於外部分析師資訊環境。過去文獻多將兩個維度分別探討，雙維度框架仍待補充，致使長線機構為何能促進定價效率之機制缺乏完整解釋。本研究以 2015 至 2024 年美國市場為樣本，以標準化未預期盈餘（SUE）與分析師盈餘預測修訂（REV）為市場訊號，結合 Fama-MacBeth 迴歸、以羅素 1000/2000 指數重組為工具變數之 2SLS 模型，與分析師覆蓋率子樣本檢定。實證結果顯示，長線社會責任型（Long_SR）機構於訊號發布後持股近乎不動，呈現投資組合慣性；短線傳統型（Short_NonSR）機構則於利多訊號後顯著減持，呈現獲利了結，構成兩者定價角色分歧之行為基礎。工具變數設計排除反向因果後，Long_SR 持股對次月定價效率仍具統計顯著之因果效應（t = 18.73），確立其與較低定價誤差之關聯並非選股偏誤所致。分析師覆蓋率子樣本檢定進一步顯示，Long_SR 之效應於高、低覆蓋率兩組中方向一致，且未發現其隨覆蓋率變動之證據，意指其資訊內涵跨資訊環境保持穩定。本研究修正傳統「資訊替代效應」之解讀，提出「資訊獨立性（Information Independence）」概念：長線 ESG 機構所替代者為投資決策對外部分析師資訊之依賴性，而非分析師工作本身，為 ESG 投資是否損害市場效率之政策辯論提供實證解答。

We examine how the joint specification of investment horizon and ESG preference shapes institutional investors' role in pricing efficiency, and whether such role depends on the external analyst environment. Prior studies typically treat the two dimensions separately, leaving the joint specification underexplored. Using U.S. market data from 2015Q1 to 2024Q4 with standardized unexpected earnings (SUE) and earnings forecast revisions (REV) as signals, we apply Fama-MacBeth regressions, a 2SLS design exploiting Russell 1000/2000 index reconstitution, and analyst-coverage subsample tests. We find that long-horizon socially responsible (Long_SR) institutions exhibit portfolio inertia, keeping holdings nearly unchanged following SUE and REV signals, whereas short-horizon non-SR (Short_NonSR) institutions significantly reduce positions after positive signals, consistent with profit-taking — together establishing a behavioral foundation for the two groups' divergent pricing roles. After addressing reverse causality through the instrumental variable design, we show that Long_SR holdings exert a statistically significant causal effect on subsequent pricing efficiency (t = 18.73), confirming this is not merely a stock-selection artifact. The Long_SR effect is directionally consistent across high- and low-analyst-coverage subsamples, and we find no evidence that it varies with coverage, indicating that the informational content of Long_SR holdings remains stable across information environments and is not contingent on external analyst coverage. These findings refine the conventional Information Substitution Effect by introducing the concept of Information Independence: long-horizon ESG institutions substitute for investors' reliance on external analyst information rather than for analyst work itself, and inform the policy debate over whether ESG investing harms market efficiency.

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