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论文编号：	13923
作者编号：	2120213299
上传时间：	2023/6/6 16:43:04
中文题目：	企业ESG表现与股价波动性研究
英文题目：	Research on Corporate ESG Performance and Stock Price Volatility
指导老师：	姚颐
中文关键字：	ESG理念；股价波动性；经济政策不确定性；投资者信心
英文关键字：	ESG; Stock price volatility; Economic policy uncertainty; Investor confidence
中文摘要：	在经历新冠疫情冲击、地缘政治纷争后，以可持续发展为内核的ESG理念正逐渐被市场认可和采纳。2020年“碳达峰、碳中和”目标的提出，助力了ESG在中国市场的快速扎根，ESG信息披露、ESG评级，以及以ESG为主题的投资快速发展。但与市场繁荣不匹配的是，ESG报告的披露数量较少，披露质量也较低，目前缺乏统一的ESG信息披露规范来约束企业行为。市场中也经常会出现企业为掩盖自身的不端行为，主动承担社会责任以寻求声誉保护。因此企业会出于怎样的动机提升自身ESG表现，以及在中国市场中，企业不同的ESG表现能够带来怎样的经济后果是一个值得研究的问题。 本文从股价波动性视角对上述问题进行研究。股票价格受企业基本面信息影响较大，能够直接反映企业ESG表现带来的经济后果，企业提升ESG表现的动机也能够从研究结果中得到答案。本文以2012-2021年A股上市公司为样本，研究企业ESG表现与股价波动性之间的关系。研究结果表明，在中国资本市场中，企业普遍出于对ESG理念的“价值认可”而提升自身ESG表现，ESG表现与股价波动性呈显著的负相关关系。利用E、S、G分项研究发现，企业环境表现（E）和治理表现（G）的提升能够显著降低股价波动性，而社会表现（S）与股价波动性的负相关关系并不显著，回归系数为正，表明企业在进行“声誉管理”时更可能选择提升社会维度的表现（S），造成股价波动性升高。机制分析表明，良好的ESG表现会通过降低企业风险和增强投资者信心两个途径降低股价波动性。ESG表现与股价波动性的负相关关系在非环境敏感型行业、经济政策不确定性较高时期更加显著。
英文摘要：	After experiencing the COVID-19 and geopolitical disputes, the concept of ESG with sustainable development as its core is gradually being recognized and adopted by the market. The goal of "carbon peaking and carbon neutrality" in 2020 has helped ESG to take root in the Chinese market. ESG disclosure, ESG ratings, and ESG-themed investments are growing rapidly. However, what does not match the prosperity of the market is that the number of ESG reports disclosed is relatively small, and the quality of disclosure is also relatively low. Currently, there is a lack of unified ESG information disclosure norms to restrict corporate behavior. It is also common for corporates to actively assume social responsibilities to cover up their violations and seek reputation protection. Therefore, it is worth studying what motivation corporates will use to improve their ESG performance and what economic consequences their ESG performance will bring in the Chinese market. This dissertation studies the above questions from the perspective of stock price volatility. Stock prices are greatly influenced by corporate fundamental information and can directly reflect the economic consequences of corporate ESG performance. The motivation for companies to improve ESG performance can also be answered from the research results. This dissertation uses A-share listed companies from 2012 to 2021 as a sample to study the relationship between ESG performance and stock price volatility. The results show that in China's capital market, companies generally enhance their ESG performance out of "value recognition" of ESG concepts, and there is a significant negative correlation between ESG performance and stock price volatility. According to E, S and G sub analysis, the improvement of environmental performance (E) and governance performance (G) can significantly reduce stock price volatility, while the negative correlation is not significant between social performance (S) and stock price volatility. Corporates are more likely to promote social performance (S) for the motivation of "reputation management", resulting in higher stock price volatility. Mechanism analysis shows that good ESG performance can reduce the stock price volatility by reducing enterprise risk and enhancing investor confidence. The negative correlation between ESG performance and stock price volatility is more significant in non-environmentally sensitive industries, periods of high economic policy uncertainty.
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