ESG评级、机构投资者持股比例与股价崩盘风险

ESG Rating,Institutional Investor Shareholding Ratio,and Risk of Stock Price Collapse

本文使用2012-2021年沪深A股上市公司的数据,研究分析上市公司ESG信息披露对股价崩盘风险的影响。研究结果表明:(1)上市公司ESG信息披露水平与股票市场价格崩盘风险呈显著的负相关。(2)机制检验表明,上市公司ESG信息披露能够促进机构投资者增加持股比例,作为资本市场的信息中介,机构投资者将会释放更多积极的股价信息,对资本市场产生积极效应,并促进投资者进行合理的投资决策,进而降低股价崩盘风险。(3)异质性分析发现,对于非国有企业、非重污染企业、大规模上市公司,其ESG信息披露抑制股价崩盘风险的作用更强。

This paper uses the data of A-share listed companies in Shanghai and Shenzhen Stock Exchanges during 2012-2021 to analyze the impact of ESG information disclosure by listed companies on the risk of stock price collapse.The research results indicate that:(1)there is a significant negative correlation between the level of ESG information disclosure of listed companies and the risk of stock market price collapse;(2)mechanism testing shows that ESG information disclosure by listed companies can promote institutional investors to increase their shareholding ratio;as an information intermediary in the capital market,institutional investors will release more positive stock price information which has a positive effect on the capital market and promotes investors to make reasonable investment decisions,so as to reduce the risk of stock price collapse;(3)the heterogeneity analysis shows that ESG information disclosure has a stronger inhibitory effect on the risk of stock price collapse for non-state-owned enterprises,non heavily polluting enterprises,and large-scale listed companies.