This research focuses on the ESG signals uncertainty role in influencing the loss aversion of Chinese retail investors in the stock market, based on the Prospect Theory as the frame of reference for the study. Since ESG signals are increasingly being integrated into the investment decision process, the lack of consensus, vagueness, and uncertainty regarding the ESG assessments can make a portion of the investors' feeling of security equate with discomfort sometimes. This research identifies perceived environmental risk uncertainty, perceived social responsibility ambiguity, perceived governance stability uncertainty, ESG information inconsistency, and ESG rating disagreement as the main ESG-related uncertainty signals that affect the investor's behavior. Employing a quantitative questionnaire-based method, the research looks into the effects of these uncertainty signals on loss aversion and also discusses the moderating role of risk perception. The anticipated findings are that the increase in ESG-related uncertainty will amplify the loss-averse behavior of the retail investors, especially under the condition of their high perceived risk. As an interdisciplinary approach for the behavioral impacts of ESG uncertainty in the case of an emerging market, this study of behavioral finance and sustainable investing has developed knowledge by showing that the conflict of inconsistently applied ESG information can be overcome by the investor's subjective changes only.