ESG and Stock Price Volatility Risk: Evidence from Chinese A-share Market

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-08-23 DOI:10.1016/j.najef.2024.102277

Zhixiang Xu , Dehong Liu , Yushu Li , Fanyu Guo

引用次数: 0

Abstract

This study investigates whether Environmental, Social, and Governance (ESG) performance influences stock idiosyncratic and extreme risks. We find that listed companies’ ESG performance significantly reduces stock idiosyncratic and extreme risks. Furthermore, we find that this mitigating effect is shaped by the nature of enterprise ownership and the firm life cycle. Through an additional mechanistic analysis, we confirm that ESG performance affects the stock price volatility risk of listed companies by reducing the levels of corporate earnings management and bolstering corporate reputation, thereby alleviating both idiosyncratic and extreme risk in stock prices.

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ESG与股价波动风险：来自中国A股市场的证据

本研究探讨了环境、社会和治理（ESG）绩效是否会影响股票的特异性风险和极端风险。我们发现，上市公司的环境、社会和治理绩效能显著降低股票的特异性风险和极端风险。此外，我们还发现，企业所有权的性质和企业生命周期也会影响这种降低风险的效果。通过额外的机理分析，我们证实了环境、社会和公司治理绩效通过降低企业盈利管理水平和提高企业声誉来影响上市公司的股价波动风险，从而减轻股价的特异性风险和极端风险。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.