摘要
文章基于2005-2021年我国A股上市公司数据,采用多期双重差分模型,实证考察ESG评级对股价同步性的影响及作用机制。研究发现:ESG评级公布能够显著降低股价同步性,控制内生性问题等稳健性检验后结论仍成立。且上述关系在非国有企业和非重污染企业样本中更加显著。进一步的影响机制分析表明ESG评级通过降低盈余管理、吸引机构持股以及缓解环境不确定性来抑制股价同步性。结论丰富了ESG评级建设的经济后果研究,也为全面深化我国资本市场改革提供了有益启示。
Based on the data of A-share listed companies in China from 2005 to 2021,this paper empirically examines the influence of ESG ratings on stock price synchronicity and its action mechanism by using a muti-phase DID model.It is found that ESG rating announcement can significantly decrease stock price Synchronicity,and the conclusion is still valid under robustness tests such as controlling endogenous problems.The above relationship is more prominent in the sample of non-state-owned enterprises and non-heavy-polluting enterprises.Further analyses of impact mechanisms show that ESG ratings inhibit stock price Synchronicity by reducing earnings management,attracting institutional holdings and alleviating environmental uncertainty.The conclusion enriches research on the economic consequences of ESG rating construction,and provides some useful suggestions for deepening capital market reform of China.
作者
朱康
唐勇
Zhu Kang;Tang Yong(School of Economics and Management,Fuzhou University,Fuzhou,Fujian province 350108)
出处
《财经理论研究》
2023年第6期97-109,共13页
Journal of Finance and Economics Theory
基金
国家社会科学基金项目(21BJY033)。
关键词
ESG评级
股价同步性
盈余管理
机构持股
环境不确定性
ESG rating
share price synchronicity
earnings management
institutional shareholding
environmental uncertainty
