摘要
本文使用2009—2021期间A股上市公司ESG评级的季度数据检验了公司ESG表现对股票收益波动率的影响。研究发现,ESG能够显著而稳健地降低股票市场波动,且在市场下跌时期更明显。对信息不对称、机构投资者持股偏好的机制分析显示,ESG因缓解信息不对称和吸引更多长期机构投资者持股而降低了公司股票收益波动率。进一步发现,分项评级中S与G得出了类似结论,但E对波动率的影响仅在2013年雾霾事件之后才发挥作用,这种关系在民营企业中表现得更为凸显。此外,股东目标冲突会弱化ESG对波动率的影响。最后发现,ESG对股票收益波动率的作用有助于优化资本配置,降低股票市场层面的波动率。这意味着ESG在促进股票市场稳定运行与提高金融服务实体经济效率方面发挥了积极作用。
This paper examines the impact of ESG performance on stock return volatility using quarterly data of A-share listed companies from 2009 to 2021.We find that ESG can significantly and robustly reduce stock return volatility,and is more pronounced during market declines.We also find that high ESG reduces the stock return volatility by alleviating information asymmetry and attracting more long-term institutional investors’shareholdings.Further,we find that only S and G reached similar conclusions in the sub-ratings,while the impact of E on volatility only came into play after the 2013 haze event,and this relationship was more pronounced in non-SOEs.We also find that the conflict of shareholder objectives weakens the effect of ESG on vola.Finally,we find that the effect of ESG on stock return volatility is conducive to improving the capital allocation efficiency of the real economy and promoting the stability of stock market.
作者
叶莹莹
王小林
Ye Yingying;Wang Xiaolin
出处
《会计研究》
CSSCI
北大核心
2024年第1期64-78,共15页
Accounting Research
基金
国家自然科学基金专项项目(72141007)资助
关键词
ESG
收益波动率
资本配置效率
股票市场稳定
ESG
Return Volatility
Capital Allocation Efficiency
Stock Market Stability
作者简介
通讯作者:王小林,wangxiaolin@fudan.edu.cn
