Li Zengfu, Feng Liuhua, Pan Zheng, Sohail Hafiz M
School of Economics & Management, South China Normal University, Guangzhou, Guangdong China.
College of Management, Zhongkai University of Agriculture and Engineering, Guangzhou, Guangdong China.
Humanit Soc Sci Commun. 2022;9(1):242. doi: 10.1057/s41599-022-01259-5. Epub 2022 Jul 18.
This paper investigates the role of environmental, social, and governance (ESG) performance in stock prices during the market financial crisis caused by the COVID-19 pandemic. We use the Chinese listed company data as the bases for adopting an event-study method to identify the impact of ESG performance on cumulative abnormal returns. Empirical results suggest that ESG performance significantly increases firms' cumulative abnormal returns and has asymmetric effects during the pandemic. Our results are robust to various robustness checks that consider the replacement of event window period, ESG measurement, adding other control variables, and sample exclusion of Hubei Province. We further find that reputation and insurance effects are important mechanisms through which ESG performance influences stock prices. Lastly, heterogeneous analyses show that ESG effects are considerably pronounced among firms with low human capital and bad image and in high-impact regions.
本文研究了环境、社会和治理（ESG）绩效在由新冠疫情引发的市场金融危机期间对股价的作用。我们以中国上市公司数据为基础，采用事件研究法来确定ESG绩效对累计异常回报的影响。实证结果表明，ESG绩效显著提高了公司的累计异常回报，并且在疫情期间具有不对称效应。我们的结果在各种稳健性检验中都是稳健的，这些检验考虑了事件窗口期的替换、ESG衡量方法、添加其他控制变量以及湖北省样本的排除。我们进一步发现，声誉和保险效应是ESG绩效影响股价的重要机制。最后，异质性分析表明，ESG效应在人力资本低、形象差的公司以及高影响地区中相当显著。
