The Impact Of ESG Ratings On The Risk Of Stock Price Collapse

ESG,as a theoretical system formed by the superposition and reconstruction of social trends such as social responsibility and sustainable development,has been rapidly developed and applied in concrete practice in the past 30 years.Especially in recent years,with the outbreak of the COVID-19 under the low-carbon background,the international economic uncertainty has increased.The ESG score of listed companies has become the primary factor for investors to make investment decisions,playing an increasingly important role in the entire financial market.ESG rating alleviates information asymmetry and agency cost issues between enterprises and investors by scoring the three non-financial dimensions of enterprise environment,society,and corporate governance,guiding the effective circulation of funds in the capital market,and effectively reducing the risk of stock price collapse for enterprises.However,under the global low-carbon background,heavily polluting enterprises are facing increasingly serious financing constraints and development issues.Can ESG ratings effectively reduce the risk of stock price collapse? Will green companies have better performance in reducing the risk of stock price collapse due to ESG ratings?This is worth further research and exploration.Therefore,based on the perspective of corporate heterogeneity,this article explores whether there are differences in the impact of ESG ratings on the risk of stock price collapse,taking heavily polluting companies,green companies,and all listed companies as research objects,with the aim of providing reference and suggestions for the development of ESG ratings under the implementation of the dual carbon policy in the future.Based on panel data from Chinese A-share listed companies from 2011 to 2020,this article explores the relationship,impact path,heterogeneity,and regulatory effects of ESG ratings on the risk of stock price collapse among heavily polluting,green,and full sample companies.Empirical research has found that:(1)ESG ratings can alleviate the risk of stock price collapse for both heavily polluting and green enterprises.(2)Mechanism testing shows that ESG ratings can affect the risk of stock price collapse and promote financial market stability by reducing corporate financing constraints,improving information transparency,and reducing agency costs;Heavy polluting enterprises can also mitigate the risk of stock price collapse by reducing their financing costs;Compared to heavily polluting enterprises and other enterprises,green enterprises have more significant transmission effects of information asymmetry and agency costs.(3)From the perspective of enterprise heterogeneity,grouping regression of listed companies based on the nature of property rights and industry shows that ESG ratings have a more significant mitigation effect on the risk of stock price collapse in non-state heavily polluting enterprises and green manufacturing enterprise.(4)Further analysis of regulatory effects found that heavily polluting enterprises cannot regulate the risk of stock price collapse through ESG ratings under the influence of environmental uncertainty,but it will suppress the impact of ESG ratings on the risk of stock price collapse for green enterprises and full sample enterprises;Green enterprises and full sample enterprises can promote the inhibitory effect of ESG ratings on the risk of stock price collapse by improving audit quality.A series of robustness test results show that the empirical conclusions of this paper are still valid.