危机冲击下企业社会责任与左尾系统风险

Corporate Social Responsibility and Left-Tail Systemic Risk under Crisis Shocks

关注危机冲击下企业社会责任的经济影响有助于维护金融稳定。本文以企业社会责任的自愿披露及评级作为社会责任的代理变量,并以极值相关性度量左尾系统风险,对危机前后进行双重差分检验。结果表明,危机冲击下,企业社会责任降低了个股左尾系统风险,发挥了“信任保险”作用,并且这一影响在危机发生后的一段时间内仍然持续。对于市场化程度和地区信任水平更高的企业,通过承担社会责任更容易与投资者和利益相关者建立信任,“信任保险”角色功能发挥得程度更高。对于危机期间大股东减持比例更低和分析师预测更乐观的这类信任能够更有效发挥“类保险”作用的企业,其社会责任降低个股左尾系统风险的程度更高。本文的研究丰富了危机冲击、企业社会责任和左尾系统风险的相关文献,为企业切实践行社会责任提供了经验证据,也为政府加速推进企业社会责任共识形成,创造良好的外部制度与文化环境以促进企业社会责任发挥积极作用提供了理论支撑。

Against the background of the world economy undergoing profound changes and adjustments,the concept of sustainable development requires that corporates are no longer satisfied with mere performance improvement and innovative output,and the importance of CSR has become increasingly prominent.Focusing on the relationship between CSR and corporate stock price left-tail systemic risk under crisis shocks helps maintain financial stability.This paper uses the A-share listed corporates in China from 2013—2018 as sample,and uses the 2015 Chinese stock market crisis as a crisis shock to firstly,measure the tail systemic risk of stock prices through extreme value correlation with the help of Symmetrized Joe-Clayton Copula(SJC Copula)function.Second,a DID test is conducted to empirically test how CSR affects the left-tail systematic risk of stock prices in a crisis scenario.The results show that facing the impact of crisis,CSR reduces the left-tail systemic risk of individual stocks,and plays the role of“trust insurance”,and this effect continues for some time after the crisis.Mechanism test shows that the dampening effect of CSR on the left-tail systemic risk of stock prices is more pronounced when CSR is more likely to build trust with stakeholders and when trust can play a more effective“insurance-like”role during a crisis.Specifically,for firms with higher levels of marketization and regional trust,their social responsibility behavior is easier to establish trust with investors and stakeholders,and the function of“trust insurance”could be played to a higher degree.For firms with lower share reduction rate of major shareholders and more optimistic analyst forecasts during crisis,trust can play the role of insurance more effectively,and CSR can reduce the left tail systemic risk of individual stocks to a higher degree.Based on the results,this article gives three policy recommendations.Firstly,government departments should accelerate the formation of consensus in the field of CSR and encourage corporates to take the initiative to assume CSR.Secondly,the government should vigorously promote the construction of a good system and cultural environment,forming market-oriented and socialized incentives and constraints.Thirdly,listed corporates should improve their governance structure and promote the effective implementation of CSR.