ESG评级披露对企业股价波动的影响研究——基于ESG评级事件的准自然实验

The Impact of ESG Rating Disclosure on the Volatility of Corporate Stock Prices —A Quasi-Natural Experiment Based on ESG Rating Events

摘要: 以2010~2022年我国A股非金融类上市公司为样本，利用多期DID模型，实证分析了企业ESG评级披露对企业股价波动的影响。机制研究结果表明：ESG评级披露通过促进公司的透明度和前五大股东持股比例降低了股价波动。调节效应分析显示：ESG评级披露对股价波动的抑制作用在高财务杠杆企业、大规模企业中更为显著。通过采用倾向得分匹配法、安慰剂检验等稳健性检验后研究结论仍然成立。结论丰富了企业ESG评级披露的经济后果相关研究，为上市公司削弱股价波动风险提供了经验证据，对促进企业高质量发展具有实践意义。

Abstract: Using the sample of non-financial A-share listed companies in China from 2010 to 2022, this study empirically analyzes the impact of corporate ESG rating disclosures on stock price volatility through a multi-period DID model. The results of the mechanism study show that ESG rating disclosure reduces stock price volatility by promoting corporate transparency and reducing the shareholding ratio of the top five shareholders. The moderation effect analysis shows that the suppressing effect of ESG rating disclosure on stock price volatility is more significant in enterprises with high financial leverage and large scale. The research conclusion remains valid after robustness tests such as propensity score matching method and placebo test. The conclusion enriches the research on the economic consequences of corporate ESG rating disclosure, provides empirical evidence for listed companies to mitigate stock price volatility risk, and has practical significance for promoting high- quality development of enterprises.