ESG信息披露对上市公司股价波动性影响研究——基于分析师关注度及年报可读性视角
Research on the Impact of ESG Information Disclosure on Stock Price Volatility of Listed Companies—From the Perspective of Analyst Attention and Annual Report Readability
摘要: 基于2009至2022年沪深两市A股上市公司的样本数据，本文运用双向固定效应模型，通过在回归模型中同时控制个体固定效应和时间固定效应探讨了ESG信息披露对股票价格波动的影响。实证分析结果表明，ESG信息披露能够有效抑制股票价格的波动，且这一结论在经过一系列稳健性检验后依然得到确认。机制检验的结果指出，ESG披露主要通过增加分析师关注度来减少股价波动。此外，进一步的分析显示年报可读性增强了ESG信息披露所带来的风险降低效果。异质性检验结果表明，在非国有企业以及中东部地区的企业中，ESG披露对股价波动风险的抑制作用更为显著。本研究不仅为探讨ESG信息披露的经济后果提供了新的理论视角，也为资本市场的发展、稳定及风险防范提供了实证支持。
Abstract: This paper examines the impact of ESG information disclosure on stock price volatility using a two-way fixed effects model by controlling both individual fixed effect and time fixed effect in the regression model, based on data from A-share listed companies in the Shanghai and Shenzhen stock markets from 2009 to 2022. The results show that ESG disclosure reduces stock price volatility, with robustness tests confirming this finding. Mechanism tests suggest that ESG disclosure achieves this by increasing analyst attention, while further analysis reveals that annual report readability enhances the risk-reducing effect. Heterogeneity tests indicate a stronger impact in non-state-owned and central/eastern region companies. This study offers new theoretical insights and empirical support for ESG disclosure’s role in promoting capital market stability and risk mitigation.
文章引用：徐一宁. ESG信息披露对上市公司股价波动性影响研究——基于分析师关注度及年报可读性视角[J]. 运筹与模糊学, 2025, 15(1): 361-373. https://doi.org/10.12677/orf.2025.151034

参考文献

[1] Venkatachalam, M. (2000) Discussion of Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility. Journal of Accounting Research, 38, 203-207. [Google Scholar] [CrossRef] 
[2] Kelly, B. and Ljungqvist, A. (2012) Testing Asymmetric-Information Asset Pricing Models. Review of Financial Studies, 25, 1366-1413. [Google Scholar] [CrossRef] 
[3] 毛杰, 刘红忠. 股市信息不对称对股价暴跌的影响——基于不确定性的新视角[J]. 管理科学学报, 2023, 26(8): 117-132.
[4] Healy, P.M., Hutton, A.P. and Palepu, K.G. (1999) Stock Performance and Intermediation Changes Surrounding Sustained Increases in Disclosure. Contemporary Accounting Research, 16, 485-520. [Google Scholar] [CrossRef] 
[5] Tamimi, N. and Sebastianelli, R. (2017) Transparency among S&P 500 Companies: An Analysis of ESG Disclosure Scores. Management Decision, 55, 1660-1680. [Google Scholar] [CrossRef] 
[6] 何诚颖, 刘明晗, 赵松慧, 等. ESG评级、机构投资者持股比例与股价崩盘风险[J]. 金融论坛, 2023, 28(8): 47-58.
[7] 辛清泉, 孔东民, 郝颖. 公司透明度与股价波动性[J]. 金融研究, 2014(10): 193-206.
[8] 刘广. 信息披露、投资者信任与股价波动——基于沪深上市公司面板数据的实证分析[J]. 征信, 2018, 36(3): 35-39.
[9] 谢诗蕾, 周波兰. ESG绩效、投资者关注与企业信息披露质量——基于年报文本挖掘的分析[J]. 中国注册会计师, 2022(10): 54-61.
[10] 叶莹莹, 王小林. 企业ESG表现如何影响股票收益波动率?——基于A股上市公司的实证研究[J]. 会计研究, 2024(1): 64-78.
[11] Yu, E.P., Guo, C.Q. and Luu, B.V. (2018) Environmental, Social and Governance Transparency and Firm Value. Business Strategy and the Environment, 27, 987-1004. [Google Scholar] [CrossRef] 
[12] Huang, Q., Li, Y., Lin, M. and McBrayer, G.A. (2022) Natural Disasters, Risk Salience, and Corporate ESG Disclosure. Journal of Corporate Finance, 72, Article 102152. [Google Scholar] [CrossRef] 
[13] 陶雄华, 李钰燕, 张计宝. 年报可读性、融资约束与企业价值[J]. 统计与决策, 2022, 38(23): 165-170.
[14] 江艇. 因果推断经验研究中的中介效应与调节效应[J]. 中国工业经济, 2022(5): 100-120.
[15] 沈小波, 陈语, 林伯强. 技术进步和产业结构扭曲对中国能源强度的影响[J]. 经济研究, 2021, 56(2): 157-173.

为你推荐