摘要
近年来,企业社会责任引起了各界广泛关注。本文以2010-2021年间A股上市公司为研究样本,实证研究了企业社会责任对股价波动的影响。研究发现,企业社会责任会显著抑制股价波动并主要表现为企业特质性风险的降低,但对系统性风险并无影响;其主要影响机制是企业履行社会责任提高了企业声誉、改善了企业信息环境并吸引了更多机构投资。异质性分析显示,企业社会责任对股价波动和特质性风险的降低作用在自愿披露社会责任信息、非国有企业、公司治理水平更高和企业所在地法律环境更好的样本中更为显著。本文进一步分析发现,在突发事件冲击时企业社会责任更能有效降低股价波动和特质性风险,其次,企业社会责任的影响具有长期效应,并且由企业社会责任驱动的特质性风险变化能够缓解系统性风险的影响。
In recent years,corporate social responsibility has attracted wide attention from all walks of life.This paper takes A-share listed firms from 2010 to 2021 as research samples to empirically study the impact of corporate social responsibility on stock price volatility.The results show that CSR can significantly inhibit stock price volatility and mainly reduce idiosyncratic risk,but has no effect on systemic risk.Its main influence mechanism is that corporate social responsibility improves corporate reputation,improves corporate information environment and attracts more institutional investment.Heterogeneity analysis shows that the effect of CSR on stock price volatility and idiosyncratic risk is more significant in the samples with voluntary disclosure of CSR information,non-state-owned enterprises,higher level of corporate governance,and better legal environment in the location of the firms.Further analysis reveals that CSR is more effective in mitigating stock price volatility and idiosyncratic risk during sudden crisis shocks.Moreover,the impact of CSR demonstrates long-term effects,and the change of idiosyncratic risk driven by CSR can alleviate the impact of systemic risk.
作者
王振山
于方坤
王丽涵
Wang Zhenshan;Yu Fangkun;Wang Lihan
出处
《投资研究》
北大核心
2025年第4期4-28,共25页
Review of Investment Studies
基金
国家自然科学基金面上项目“外部冲击下金融风险跨市场传染:政策、行为与市场表现”(72173017)
国家自然科学基金青年项目“股权质押同群效应:风险传染识别与测度”(72003019)。
关键词
企业社会责任
特质性风险
股价波动
Corporate social responsibility
Idiosyncratic risk
Stock price volatility
作者简介
王振山,东北财经大学金融学院,教授,博士生导师,研究方向为公司金融和金融管理;通讯作者:于方坤,东北财经大学金融学院,博士研究生,研究方向为公司金融;王丽涵,东北财经大学金融科技学院,博士研究生,研究方向为公司金融和金融科技。
