Research On ESG Performance And Stock Price Collapse Risk Based On Listed Companies

In February 2023,China Securities Regulatory Commission(CSRC)issued the relevant system rules for the full implementation of the stock issuance registration system,indicating the arrival of the era of the full registration system.In retrospect,China’s securities market has made remarkable achievements after decades of development,but with the rapid development of China’s securities market,the phenomenon of stock price collapse has become a nightmare for investors.China’s stock market is dominated by individual investors.The irrational sentiment in the market is more serious,and the share price is more prone to collapse.The collapse of stock prices will seriously undermine the confidence of investors and is not conducive to the functioning of the financial market.At this stage,scholars mainly study the risk of stock price collapse from the perspective of corporate fundamentals,managers’ characteristics and behavioral finance.As socialism with Chinese characteristics enters a new era and the economy changes from high-speed development to high-quality development,ESG has been introduced into China as a new concept of sustainable development,and its advocacy of environmental protection and corporate social responsibility is highly consistent with national strategies such as ecological civilization and rural revitalization.ESG is the abbreviation of environment,social responsibility and corporate governance.It measures the comprehensive performance of enterprises in non-financial aspects from three dimensions.Companies that perform well in ESG tend to leave the impression of being conscientious and responsible,and are more likely to gain investors’ trust in the stock market with asymmetric information.At present,the mainstream view is that incorporating ESG and other non-financial indicators into investment decisions can better control investment risks.Therefore,studying the relationship between ESG performance and risk of listed companies is of great significance for promoting ESG investment philosophy,improving information disclosure system and strengthening market supervision.So will ESG performance affect the risk of share price collapse?On the basis of summing up the existing research,based on the information asymmetry theory,signal transmission theory,stakeholder theory,reputation theory,and bounded rationality theory,this paper puts forward assumptions about the relationship between ESG performance of listed companies and the risk of stock price collapse,selects the ESG rating of China Securities as the proxy variable of ESG performance,and constructs the negative return skewness coefficient and the fluctuation of the yield as the measurement indicators of the risk of stock price collapse,Taking China’s A-share listed companies from 2012 to 2021 as the research object,this paper controls the industry and year fixed effects,and tests the impact of ESG performance on the risk of stock price collapse.At the same time,considering the serious characteristics of irrational sentiment in China’s stock market,such as chasing the rise and killing the fall,and speculation,this paper explores the regulatory role of investor sentiment between ESG and the risk of stock price collapse.After that,this paper divides the research sample into different categories and explores whether the ESG performance of companies with different ownership nature,different regions and different industries has different impacts on the risk of stock price collapse.Finally,the transmission mechanism is analyzed to explore whether the quality of information disclosure and the attention of analysts play an intermediary role in the impact of ESG performance on the risk of stock price collapse.This paper draws the following conclusions: First,the ESG performance of listed companies is negatively correlated with the risk of stock price collapse,which is mainly affected by mitigating information asymmetry and agency problems.In addition,the reputation accumulated by the company may alleviate the sharp decline of share price.Second,investor sentiment plays a regulatory role in the relationship between the two.When investor sentiment is high,the mitigation effect of ESG performance of listed companies on the risk of stock price collapse will be reduced.This is because it is difficult for investors to remain rational when the mood is high,and it is difficult for ESG performance and other information to be reflected in the stock price.Third,there is heterogeneity in the relationship between ESG performance and the risk of stock price collapse.The good ESG performance of non-state-owned listed companies is better than that of state-owned listed companies in mitigating the risk of share price collapse.The good performance of ESG in nonpolluting industries is better than that in polluting industries in mitigating the risk of stock price collapse.The good performance of ESG,a listed company in the eastern region,is better than that in the central and western regions in mitigating the risk of share price collapse.The above heterogeneity may be due to differences in investors’ expectations of ESG.Fourth,the quality of information disclosure and the attention of analysts act as the intermediary between ESG performance and the risk of stock price collapse,and both play a part of the intermediary effect.Companies with better ESG performance have higher quality of information disclosure and are more likely to attract the attention of securities analysts.Information asymmetry and agency problems have been effectively alleviated,so the risk of share price collapse is smaller.