Minghua Dong, Miaomiao Li, Hongxia Wang, Yuanyuan Pang
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引用次数: 0
Abstract
The ESG ratings have been focused in response to the requirements for green development. However, the uncertainty created by ESG disagreements has caused market participants to question their reliability. This study empirically examines how ESG disagreements affect stock price crash risk based on data from Shanghai and Shenzhen A-share listed companies. We find that ESG disagreement significantly reduces stock price crash risk and that this relationship is largely driven by environmental disagreement. The mechanism analysis suggests that ESG disagreement increases media attention, subsequently leading to a reduction in stock price crash risk. Additional analysis shows that the driving effect of environmental disagreement is more significant in non-heavy-polluting industries. Positive environmental protection policies help reduce stock price crash risk.
期刊介绍：
The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering.
Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome.
Officially cited as: Asia-Pac Financ Markets
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