社会责任与企业风险——基于新冠感染疫情冲击的证据

Social Responsibility and Corporate Risk:Evidencefrom the COVID-19 Shock

2020年初新冠感染疫情暴发,突发的疫情给中国经济增长带来了严重的冲击,金融市场处于严重的震荡中,企业不得不面对突发风险。在此背景下,研究企业应对外部不确定性的策略,对维护中国金融市场稳定具有现实意义。基于风险来源和特质,把企业风险划分为系统风险和特质风险。以新冠感染疫情期间中国A股上市企业为研究样本,采取CAPM模型计算在此期间企业的两类风险,探究新冠感染疫情作为准实验冲击时,社会责任对企业的系统风险和特质风险的影响及其机制。由于社会责任与企业风险之间存在较强的内生性问题,分别采用双重差分法、倾向值匹配法、工具变量法和安慰剂检验4种识别机制,检验社会责任对企业风险影响的稳健性。研究结果表明,企业履行社会责任能够显著降低企业的系统风险和特质风险。就经济意义而言,社会责任每提高一个单位的标准差,企业的系统风险下降6.127%,特质风险下降3.250%,意味着在新冠感染疫情冲击期间,社会责任展现出较强的风险对冲效果。对影响机制的研究表明,在高风险暴露的样本组中,社会责任的风险对冲效果更强,在社会责任机制与公司治理机制、证券分析师沟通机制、融资约束机制3种机制之间的关系中,社会责任机制的风险对冲作用是独立存在的,并不与其他影响企业风险的机制共同作用。研究结果丰富了关于社会责任的风险对冲机制的相关研究,对促进企业履行社会责任具有一定的启示意义;拓展了关于企业应对重大公共卫生事件的策略研究,对企业如何对冲风险、渡过生存危机具有引导意义;对于在当前背景下,支持实体经济发展、维护金融市场稳定、促进经济修复具有政策意义。

The sudden outbreak of the COVID-19 in early 2020 has impacted on Chinese economic growth and shocked the financial market,so that firms must face sudden potential risks.In this context,it is of practical significance to study the strategies of firms to deal with external uncertainties to maintain the stability of financial market.Based on the source and characteristics of risk,this study divides the total risk of firms into systematic risk and idiosyn-cratic risk.Then,this study takes Chinese A-share listed enterprises during the COVID-19 as the research sample,and adopts the CAPM model to calculate the two types of risks of firms during this period to explore the impact of social responsibility on the systematic risk and idiosyncratic risk of company and its mechanism based on taking COVID-19 as quasi-experimental shock.Meanwhile,because of the endogenous problem between social responsibility and corporate risk,four identification mechanisms,namely,difference-in-differences method,propensity score matching method,instrumental variable method and Placebo test,were used to check the robustness for the relation between social responsibility on corporate risk.The study finds that social responsibility can significantly reduce the systematic risk and idiosyncratic risk of firms.For economic significance,an increase in one standard deviation on social responsibility reduce the systematic risk by 6.127%and the idiosyncratic risk by 3.250%,which means that during the COVID-19 epidemic,social responsibility shows a strong risk hedging effect.Meanwhile,the impact mechanism of social responsibility on corporate risk is discussed.It is found that in the sample group with high-risk exposure,the risk hedging effect of social responsibility is stronger.Finally,this study further tests the relationship between social responsibility mechanism and corporate governance mechanism,securities analyst communication mechanism and financing constraint mechanism,and finds that the risk hedging effect of social responsibility mechanism is independent and does not play the same role with other mechanisms that affect corporate risk.This study enriches the relevant literature on the risk hedging mechanism of social responsibility,and has certain enlightenments for promoting firms to fulfill social responsibility.This study expands the literature on the coping strategies of firms facing major public health events,which has guiding significance for firms to hedge risks and survive the crisis.Finally,this study has policy significance for supporting the development of real economy,maintaining the stability of financial market and promoting economic repair under the current background.