基金社会责任与基金暴跌风险——基于基金持股CSR的实证研究

Fund Social Responsibility and Fund-level Crash Risk—An Empirical Study Based on Fund-level CSR

我国当前正在构建绿色金融体系,而包括ESG(environmental,social,and governance)在内的社会责任投资理念将在此过程中扮演重要角色.本文利用基金持股的加权平均CSR(corporate social responsibility)评分来度量基金社会责任,并从基金暴跌风险的视角探讨了社会责任投资在资本市场中的表现以及对应的机制.基准回归结果表明基金社会责任能显著缓和基金暴跌风险,呼应了既往研究中企业CSR降低股价暴跌风险的结论.在控制反向因果、选择偏误及其它内生性问题后该缓和作用依然稳健.机制分析表明,高基金社会责任的基金有适当范围内更高的持股集中度,且面向因重视社会责任而对财务收益相对不敏感的投资者,这些都有助于降低基金暴跌风险.在经济高质量绿色发展的要求下,本研究对于全面认识我国社会责任投资理念与金融系统风险之间的内在联系具有重要的理论和现实意义.

China is now building a green financial system,and the concept of socially responsible investing(SRI),including environmental,social,and governance(ESG),will play an important role in this process.This paper scores fund social responsibility(FSR)using weighted average corporate social responsibility(CSR)scores of firms held by the fund,and discusses the performance of SRI in the capital market and the corresponding mechanism from the perspective of fund-level crash risk.The result of baseline regression shows that FSR significantly reduces fund-level crash risk,which echos the results in previous studies that CSR reduces the crash risk of stock prices.This effect remains robust after controlling for reverse causation,selection bias and other endogenous problems.Mechanism analysis shows that high-FSR funds exercise appropriately high levels of portfolio concentration and that they face investors valuing social responsibility and relatively insensitive to financial returns,both of which help reduce fund-level crash risk.Under the requirements of high-quality and green economic development,this study has important theoretical and practical significance for comprehensively understanding the internal relationship between the SRI concept and risks in the financial system of China.