Research On ESG Pperformance And Stock Price Crash Risk:The Next Crisis Warning Indicator?

Reviewing the development history of China’s capital market for more than 30 years,the degree of marketization is deepening,and the invisible hand of the market has begun to play an important role.As the degree of marketization becomes higher and higher,the volatility of individual stocks also begins to become larger and larger.As the supervision begins to shift from pre-investment to post-investment management,the operation and information disclosure of enterprises begin to rely more on "consciousness",which naturally leads to the polarization of "voluntary disclosure" and "intentional false disclosure".In June 2019,China’s science and Technology Innovation Board was officially opened,marking the beginning of China’s capital market from the approval system to the registration system,and the core of the registration system happens to be full information disclosure.Therefore,the importance of information disclosure is self-evident.Previous scholars have conducted in-depth studies on the relationship between corporate information disclosure and stock price crash risk.Jin and Myers proposed the "bad news cellar hypothesis" in 2006.They believed that under the framework of agency theory,enterprise managers would hide or delay the disclosure of "bad news" and selectively disclose "good news" by virtue of information asymmetry between internal and external personnel,resulting in asymmetric stock prices.And once the accumulated "bad news" exceeds the threshold,there may be a point at which the news can burst into a concentration,culminating in a so-called "black swan" event that triggers a collapse in share prices.However,the existing research is still focused on the disclosure of financial information and business information.However,with the continuous development of ESG investment concept,more investors begin to use ESG performance to decide investment behavior,and THE source of ESG information happens to be non-financial information and social responsibility report of enterprises.Therefore,this paper intends to explore the relationship between ESG performance and stock price crash risk.By collecting ESG score and financial information of listed companies,this paper makes an in-depth study of ESG and stock price crash risk by using panel data fixed effect model and intermediary effect model.At the same time,the prediction ability of ESG index is tested by using random forest model in artificial intelligence field.The research of this paper shows that the information disclosure of enterprises is more "instrumentalism",that is,by establishing excellent social image to cover up business risks,so as to increase the risk of stock price collapse.This effect is very significant in environmental policy,but not in corporate governance and social governance.Meanwhile,the transmission between ESG and stock price crash risk is mainly through information opacity.Therefore,investors should be more cautious when making investment decisions with ESG,especially those enterprises with average performance but good ESG performance scores should be more cautious in investing.In terms of forecasting ability,ESG index has certain forecasting ability,but it cannot be the only early-warning index for investors to invest.