摘要
随着责任投资的迅速发展,企业ESG表现被普遍认为可以带来超额投资回报,但可能知情卖空者的行为并不一致。基于2011—2019年沪深A股上市公司的数据,研究企业ESG表现对卖空者交易行为的影响。研究发现:企业ESG表现显著增加了卖空者交易,该结论在经过一系列稳健性测试后仍然成立。作用机制检验结果表明:股价高估和代理成本在企业ESG表现影响卖空者交易的过程中发挥部分中介作用,表明企业ESG表现会带来错误定价,更多体现为管理层的自利工具。进一步研究发现,当媒体报道较多、管理层权力较大时,企业ESG表现对卖空者交易的影响更显著。
With the rapid development of responsible investment,corporate ESG performance is widely believed to bring excess investment return,but the behavior of informed short sellers may not be consistent.Based on the data of A-share listed companies in Shanghai and Shenzhen from 2011 to 2019,this paper studies the influence of corporate ESG performance on short sellers’trading behavior.The results show that ESG performance significantly increases short seller trading,and the conclusion is still hold after a series of robustness tests.The results of mechanism test show that stock price overvaluation and agency costs play a partial intermediary role in the process of ESG performance affecting short sellers’trading,indicating that ESG performance will bring about mispricing and is more reflected as a self-interested tool of management.Further research shows that ESG performance has a more significant impact on short sellers’trading when there is more media coverage and management has more power.
作者
徐莉萍
李曼雪
彭江平
XU Liping;LI Manxue;PENG Jiangping(Hunan University,Changsha 410006)
出处
《财贸研究》
北大核心
2023年第11期99-110,共12页
Finance and Trade Research
基金
国家自然科学基金面上项目“企业慈善基金会行为机理、利益输送路径挖掘及多元治理研究”(71774050)
国家自然科学基金青年项目“慈善组织理事会治理对会计信息质量的影响研究:权变理论视角”(72004061)
国家自然科学基金面上项目“基于组织治理实践提升供销合作社共生效率研究”(72174057)。
