企业社会责任披露与投资者响应——基于多层次资本市场的研究

Specific Disclosure of Social Responsibility and Investor Reaction: A Research Focuses on the Role of Multi-level Capital Market

本文以中国多层次资本市场为切入点,运用2010-2016年中国主板、中小企业板和创业板A股上市公司数据,研究了投资者对企业社会责任披露响应的"偏好隔离"和"理性隔离"现象。研究发现:(1)主板投资者倾向于认为承担并披露社会责任是企业的一种增值行为,而中小企业和创业板投资者则对社会责任信息披露持有一种不确定的评价,这种现象可以称为多层次资本市场的"偏好隔离"。(2)可以认为主板投资者更接近贝叶斯投资者,因为他们可以理性地分析企业不同程度的社会责任披露,而中小企业和创业板投资者则是一种反应不足的启发式投资者,他们的决策多基于简略的社会责任报告,这种现象可以称为多层次资本市场的"理性隔离";(3)雾霾对投资者有关企业社会责任披露的偏好和理性评价具有系统性调节作用,这种作用也存在着多层次资本市场上的分割。

This article, based on the theories of information economics and behavioral finance, investigates the preference segmentation and rationality segmentation roles of the Chinese multi-level capital market in investor reaction to CSR disclosure. By combining an event study and a panel data analysis, using data from 2010 to 2016 in the Chinese Mainboard and SME-GEM A-share companies we found out that(1) The Mainboard investors tend to judge the social responsibility as a desirable feature of their invested firms, but SME-GEM investors have an uncertain evaluation of the social responsibility disclosure, which shows an investor preference segmentation role of Chinese multi-level capital market;(2) The Chinese Mainboard investors are basically Bayesians, who are rational enough to analyze different kinds of CSR disclosure, but SME-GEM investors are underreacting heuristics, who make decisions based on the general disclosure, which suggests an investor rationality segmentation role of the multi-level capital market;(3) The pollution haze of the Chinese environment exerts a moderating effect on the investor preference and rationality, and this effect also exists segmentation in the multi-level capital market: In the Mainboard market, the pollution haze has a 'silver lining', which can enable investors to give a more positive evaluation of CSR disclosure, and also urge investors to interpret CSR information with greater rationality. In the SME-GEM investors have the mentality of 'CSR useless' and 'big firms have the priority order regarding CSR'. Investors[ recognition of CSR depends on a better natural environment. But despite this, the pollution haze has increased the investors] attention to CSR. This paper can provide following inspirations for the real world: First, it can provide guidelines for CSR information disclosure strategies for listed companies in China[s multi-level capital markets. Secondly, it can provide guidance for investors in China]s multi-level capital market to self-locate, self-diagnose and make rational decisions. Finally, this paper gives some characteristics of the biggest immature multi-level capital market from one aspect of asset pricing, and supports the comparison with mature markets.