Research on the effect of ESG performance on stock price synchronicity: Empirical evidence from China's capital markets

被引：41
作者：
Hu, Jianxiong [1 ]
Zou, Qing [1 ]
Yin, Qianqian [2 ,3 ]
机构：
[1] Nanjing Univ Finance & Econ, Sch Accounting, Nanjing, Peoples R China
[2] Bank Nanjing, Res Ctr Accounting, Nanjing, Peoples R China
[3] Bank Nanjing, Res Ctr Accounting, 3 Wenyuan Rd, Nanjing 210023, Jiangsu, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 55卷
基金：
中国国家自然科学基金;
关键词：
ESG performance; Stock price synchronicity; Information asymmetry; RISK;
D O I：
10.1016/j.frl.2023.103847
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study explores the effects of corporate ESG performance on stock price synchronicity, using data from Chinese listed companies from 2010 to 2021. We find strong evidence that high-level corporate ESG performance improves the stock price synchronicity. We address the endogeneity concerns using method such as PSM test. Furthermore, corporate ESG performance has a "noise reduction" effect. That is, ESG performance reduces information asymmetry and thus improves stock price synchronicity. In addition, the "noise reduction" effect of ESG performance is significantly higher in state-owned companies and companies with high investor trust.
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页数：7
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