The Impact Of ESG Performance Of Listed Companies On Stock Price Crash Risk

With China’s economy shifting from high-speed growth to high-quality development,especially General Secretary Xi Jinping announced that "China would strive to peak CO2 emissions before 2030 and achieve carbon neutrality before 2060"at the United Nations General Assembly in September 2020,the ESG performance of the enterprises has received unprecedented attention.ESG performance covers three aspects:environmental responsibility,social responsibility and corporate governance,and can replace a single financial indicator to comprehensively measure the internal and external benefits of a company’s operations.In addition,in recent years,the global capital market has been in turbulent,and stock price crashes,i.e.,sudden and significant declines in the stock prices of listed companies,have occurred frequently,which seriously affects the stability of the capital market.In this context,it is of great significance to explore the impact of ESG performance of listed companies on stock price crash risk.This paper uses the ESG rating data of listed companies disclosed by Shanghai Huazheng Index Information Service Co.,Ltd.to portray the ESG performance of companies,selects the negative skewness of weekly returns and stock price volatility indicators to measure the stock price crash risk of companies,and empirically tests the impact and mechanism of ESG performance of listed companies on stock price crash risk.The empirical analysis concludes that there is a significant negative relationship between ESG performance and stock price crash risk,i.e.,good ESG performance of a company helps to reduce stock price crash risk,and this finding is still true after adding a series of control variables.On this basis,this paper further examines the dynamic impact of ESG performance on stock price crash risk for companies with different life cycles,and finds that the relationship between the two is more significant for immature companies.Subsequently,by changing the measure of stock price crash risk,using instrumental variable method,bootstrap sampling method,changing the sample and using double clustering robust standard error method for robustness testing,the research conclusion is still valid,that is,the better the ESG performance of listed companies,the lower their future stock price crash risk.Finally,this paper conducts mechanism analysis and heterogeneity analysis on the impact of ESG performance of listed companies on stock price crash risk.The results of mechanism analysis show that good ESG performance of listed companies reduces the stock price crash risk of companies through two channels:reducing the level of company’s surplus management and alleviating company’s financing constraints.The results of heterogeneity analysis show that the suppression effect of good ESG performance of listed companies on stock price crash risk is more significant when the size of the company is smaller,the concentration of equity is lower,non-state owned enterprises,and the level of institutional environment in the region where the company is located is higher.The above findings provide an empirical basis for exploring the impact of ESG performance of listed companies on stock price crash risk,and enrich the research on the m icro-level influencing factors of stock price crash risk,at the same time,it provides experience for improving the ESG disclosure system of listed companies,stabilizing China’s capital market and promoting the realization of China’s "dual carbon" goal.