ESG Rating,External Attention And Stock Price Crash Risk

Environmental,social,and corporate governance(ESG)evaluation comprehensively measures the performance in environmental protection,social responsibility and corporate governance,reflecting the sustainable ability of the firm.In recent years,sustainable investment based on stability,long-term economic value and coordinated development has attracted increasing attention from all walks of life.ESG development continues to spring up,and the concept of ESG investment gradually rises in global.The stock market serves as a vital component of the financial system,but stock price crash is not uncommon in China.With the further opening of China’s financial market,our country proposes more requirements to maintain financial stability.Therefore,it is of great significance to study the stock price crash risk of A-share listed companies.In consequence,based on sustainable investment,this paper conducts theoretical analysis and empirical research on the relationship between ESG rating and stock crash risk,and investigates whether the firm’s external attention has a moderating effect on the above relationship,which has vital theoretical and practical significance.This paper conducts an empirical study on the relationship between ESG rating and future stock price crash risk based on the ESG evaluation system of Sino-Securities,using the sample of listed firms in China from 2009 to 2020.From the perspective of external attention,this paper studies whether the attention of ordinary investors,institutional investors,security analysts,and media influences the above relationship.In the research on the attention of institutional investors,this paper specifically divides institutional investors into two types:long-term institutional investors and short-term institutional investors,and studies the impact of their attention respectively.Further,this paper examines the impact of the property rights of a firm on the relationship between its ESG rating and the stock price crash risk and adopts various methods for endogeneity control and robustness test.In the basis of the research,this paper draws the following conclusions.First and foremost,this paper reveals the significantly negative correlation between the ESG rating and future stock price crash risk,suggesting that the raise in ESG rating of firm leads to lower future crash risk.Furthermore,this paper finds that ordinary investor attention,institutional investor attention,security analyst attention and media attention all have a moderating effect on the relationship between ESG rating and stock price crash risk of listed firms.High ordinary investor attention,low institutional investor attention,low security analyst attention and low media attention enhances the significance of the relationship between ESG rating and stock price crash risk of firm in the case of the same conditions.In particular,the empirical result shows that the long-term institutional investor attention has a moderating effect on the relationship between the ESG rating and the stock price crash risk of listed firms,while the short-term institutional investor attention has no significant moderating effect.In addition,this paper comes to a conclusion that the negative correlation between ESG rating and the risk of future stock price crash of non-state-owned enterprises appears more prominent,compared with state-owned enterprises.In the light of the conclusions,this paper puts forward policy recommendations,providing reference for investors to make investment decisions and regulators to manage financial risks.