企业ESG表现与风险传导效应研究
摘要
本研究基于2011-2023年中国A股上市公司数据，探讨企业ESG表现对股价崩盘风险的影响机制及风险传导路径。通过构建多元回归模型，结合负收益偏态系数（NCSKEW）、收益上下波动比率（DUVOL）等指标衡量股价崩盘风险，并引入分析师关注与机构投资者持股作为中介与调节变量。实证结果显示，企业ESG表现与股价崩盘风险呈显著正相关，支持“自利工具”假说，表明ESG表现可能被管理层用于掩盖负面信息，加剧坏消息累积与市场波动。进一步分析发现，分析师关注在企业ESG表现与股价崩盘风险间发挥部分中介作用，反映市场信息传递的双重效应。机构投资者持股能够削弱ESG表现对股价崩盘风险的正面影响，验证其外部监督功能。研究探讨了ESG表现与资本市场风险的复杂关联，为完善ESG信息披露机制与投资者决策提供经验证据。
关键词：企业ESG表现；股价崩盘风险；风险传导效应；机构投资者
ResearchonESGPerformanceandRiskTransmissionEffectsofEnterprises
ABSTRACT
BasedonthedataofChineseA-sharelistedcompaniesfrom2011to2023,thisstudyexplorestheinfluencemechanismandrisktransmissionpathofanenterprisesESGperformanceontheriskofstockpricecrash.Byconstructingamultipleregressionmodelandcombiningindicatorssuchasthenegativereturnskewcoefficient(NCSKEW)andthereturnfluctuationratio(DUVOL)tomeasuretheriskofstockpricecrash,andintroducinganalystattentionandinstitutionalinvestorholdingsasmediatingandmoderatingvariables.EmpiricalresultsshowthattheESGperformanceofenterprisesissignificantlypositivelycorrelatedwiththeriskofstockpricecrashes,supportingtheself-interesttoolhypothesis.ThisindicatesthatESGperformancemaybeusedbymanagementtocoverupnegativeinformation,intensifyingtheaccumulationofbadnewsandmarketfluctuations.FurtheranalysisrevealsthatanalystsfocusplaysapartialmediatingrolebetweentheESGperformanceofenterprisesandtheriskofstockpricecrashes,reflectingthedualeffectsofmarketinformationtransmission.InstitutionalinvestorsshareholdingcanweakenthepositiveimpactofESGperformanceontheriskofstockpricecrashesandverifyitsexternalsupervisionfunction.ThestudyexploredthecomplexcorrelationbetweenESGperformanceandcapitalmarketrisks,providingempiricalevidenceforimprovingtheESGinformationdisclosuremechanismandinvestordecision-making.
Keywords:EnterpriseESGperformance;R